Course Meeting Times
Lectures: 2 sessions/week, 1.5 hours/session
Prerequisites
18.03 Differential Equations (or approval of instructor), 18.05 Introduction to Probability and Statistics or 18.600 Probability and Random Variables, and 18.06 Linear Algebra
Broad familiarity with linear algebra, statistics, stochastic processes and partial differential equations will be helpful (but not required). Prior knowledge of economics or finance is not required but may be helpful for some lectures.
Course Description
The purpose of the class is to expose undergraduate and graduate students to the mathematical concepts and techniques used in the financial industry. The course will consist of a set of mathematics lectures on topics in linear algebra, probability, statistics, stochastic processes, and numerical methods. Mathematics lectures will be mixed with lectures illustrating the corresponding application in the financial industry. MIT mathematicians will teach the mathematics part, while industry professionals will give the lectures on applications in finance. The schedule includes lecturers from investment banks, FinTech and hedge fund industries as well as academia.
Requirements
The class will have five assignments covering math lecture topics and preparation of a mid-semester group project (a lecture note and in-class presentation). Instead of a final exam, there is a final paper on a math finance topic of the student’s choice.
Grading
The grade will be 40% based on the homework, 20% based on group presentations, 10% based on participation, and 30% based on the final paper.
About the Instructors
Dr. Peter Kempthorne is a lecturer in the MIT Department of Mathematics on financial mathematics and statistics. He is also president of Kempthorne Analytics and formerly was an associate professor and principal research scientist at MIT Sloan School of Management with research focus on statistical modeling in finance.
Dr. Vasily Strela is a managing director and the global head of fixed income quantitative analytics at RBC Capital Markets. He is also a research affiliate in the MIT Department of Mathematics.
Dr. Jake Xia is a research affiliate in the MIT Department of Mathematics. He is managing director of Harvard Management Company. Prior to that, he was managing director of Morgan Stanley.
