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18.S096 Topics in Mathematics with Applications in Finance

18.S096 Topics in Mathematics with Applications in Finance (Fall 2013, MIT OCW). Instructors: Dr. Peter Kempthorne, Dr. Choongbum Lee, Dr. Vasily Strela, and Dr. Jake Xia. The purpose of the class is to expose undergraduate and graduate students to the mathematical concepts and techniques used in the financial industry. Mathematics lectures are mixed with lectures illustrating the corresponding application in the financial industry. MIT mathematicians teach the mathematics part while industry professionals give the lectures on applications in finance. (from ocw.mit.edu)

Introduction


Lecture 01 - Introduction, Financial Terms and Concepts
Lecture 02 - Linear Algebra
Lecture 03 - Probability Theory
Lecture 04
Lecture 05 - Stochastic Processes I
Lecture 06 - Regression Analysis
Lecture 07 - Value At Risk (VAR) Models
Lecture 08 - Time Series Analysis I
Lecture 09 - Volatility Modeling
Lecture 10 - Regularized Pricing and Risk Models
Lecture 11 - Time Series Analysis II
Lecture 12 - Time Series Analysis III
Lecture 13 - Commodity Models
Lecture 14 - Portfolio Theory
Lecture 15 - Factor Modeling
Lecture 16 - Portfolio Management
Lecture 17 - Stochastic Processes II
Lecture 18 - Ito Calculus
Lecture 19 - Black-Scholes Formula, Risk-neutral Valuation
Lecture 20 - Open Price and Probability Duality
Lecture 21 - Stochastic Differential Equations
Lecture 22
Lecture 23 - Quanto Credit Hedging
Lecture 24 - HJM Model for Interest Rates and Credit
Lecture 25 - Ross Recovery Theorem
Lecture 26 - Introduction to Counterparty Credit Risk

References
Topics in Mathematics with Applications in Finance
Instructors: Dr. Peter Kempthorne, Dr. Choongbum Lee, Dr. Vasily Strela, and Dr. Jake Xia. Lecture Notes. Assignments (no Solutions). Instructor Insights. Download Course Materials.