The course consists of a mix of mathematics lectures taught by MIT instructors and lectures on applications in finance given by industry professionals.
Lecture 1: Introduction. Financial Terms and Concepts. Bond Math.
Peter Kempthorne, Jake Xia, Vasily Strela
Lecture 2: Linear Algebra
Math Lecture: Peter Kempthorne
Lecture 3: Quantitative Equity Investing
Applications Lecture: Jeff Shen, BlackRock Investment Institute
Problem Set 1 due
Lecture 4: Linear Algebra (cont.); Probability Theory
Math Lecture: Peter Kempthorne
Lecture 5: Probability Theory (cont.); Stochastic Processes I
Math Lecture: Peter Kempthorne
Lecture 6: Stochastic Processes I (cont.); Regression Analysis
Math Lecture: Peter Kempthorne
Lecture 7: Linear Rates, Products, and Models
Applications Lecture: Andrew Gunstensen, Mizuho Financial Group
Problem Set 2 due
Lecture 8: Regression Analysis (cont.)
Math Lecture: Peter Kempthorne
Lecture 9: Principal Component Analysis in Finance
Applications Lecture: Stefan Andreev, Two Sigma Investments
Problem Set 3 due
Lecture 10: Counterparty Risk Optimization
Applications Lecture: James Shepherd, Quantile Technologies (LSEG)
Lecture 11: Regression Analysis (cont.)
Math Lecture: Peter Kempthorne
Lecture 12: Time Series Analysis
Math Lecture: Peter Kempthorne
Lecture 13: Portfolio Management
Applications Lecture: Jake Xia
Lecture 14: Stochastic Processes II
Math Lecture: Peter Kempthorne
Lecture 15
Student Presentations of Mid-Semester Group Project
Lecture 16
Student Presentations of Mid-Semester Group Project
Lecture 17
Student Presentations of Mid-Semester Group Project
Lecture 18: Applying Data Science and Artificial Intelligence to Managing Biomedical Portfolios
Applications Lecture: Andrew W. Lo, MIT Sloan School of Management
Problem Set 4 due
Lecture 19: Volatility Modeling
Math Lecture: Peter Kempthorne
Lecture 20: Building the First Federally (CFTC) Regulated Exchange Dedicated to Trading on Events
Applications Lecture: Tarek Mansour, Kalshi.com Financial Exchange and Prediction Market
Lecture 21: Black-Scholes Formula, Risk Neutral Valuation
Applications Lecture: Vasily Strela
Lecture 22: The Spectrum of Systematic Trading Strategies in Liquid Instruments
Applications Lecture: Ross Garon, Millennium Management
Problem Set 5 due
Lecture 23: Introduction to Machine Learning
Applications Lecture: John Hull, University of Toronto
Lecture 24: Stochastic Calculus
Math Lecture: Peter Kempthorne
Lecture 25: Stochastic Calculus (cont.); Stochastic Differential Equations
Math Lecture: Peter Kempthorne
Lecture 26
Final Paper Student Presentations
