GIVE NOW about ocw help & faqs contact us
18.642 | Fall 2024 | Undergraduate

# Topics in Mathematics with Applications in Finance

### Problem Sets

Problem Set 1 (PDF)

Problem Set 2 (PDF)

Problem Set 3 (PDF)

- The following paper is referenced in problem 2: Gron, Anne. “Optimal Portfolio Choice and Stochastic Volatility.” Applied Stochastic Models in Business and Industry, 2012. https://doi.org/10.1002/asmb.898
- The following readings relate to problem 4 and principal components analysis:
  - Principal Components Analysis in Finance Modeling the Dynamics of Interest Rates (PDF)
  - Sample R Code from the reading “Principal Components Analysis in Finance Modeling the Dynamics of Interest Rates (2016)” and Principal Components Analysis (PCA) of US Treasury Yields over a 5-Year Period (PDF)

Problem Set 4 (PDF)

Problem Set 5 (PDF)

- The following paper is referenced in this problem set: Parkinson, Michael. “The Extreme Value Method for Estimating the Variance of the Rate of Return.” The Journal of Business 53, no. 1 (1980): 61–65. http://www.jstor.org/stable/2352357
- Volatility Case Study R Markdown (ZIP)

## Course Info

##### Instructors

- Dr. Peter Kempthorne
- Dr. Vasily Strela
- Dr. Jake Xia

##### Departments

- Mathematics

##### As Taught In

Fall 2024

##### Level

Undergraduate

##### Topics

- Business
  - Finance
- Mathematics
  - Applied Mathematics
  - Probability and Statistics

##### Learning Resource Types

notes Lecture Notes
theaters Lecture Videos
assignment Problem Sets
assignment Activity Assignments
group_work Projects
Readings

Browse Resources

# You are leaving MIT OpenCourseWare

Please be advised that external sites may have terms and conditions, including license rights, that differ from ours. MIT OCW is not responsible for any content on third party sites, nor does a link suggest an endorsement of those sites and/or their content.