Lecture 2
Video description: The lecture introduces linear algebra with a focus on its applications in quantitative finance, covering vector and matrix fundamentals, portfolio valuation, and concepts like short selling, arbitrage, and contingent claims. It further explores stochastic matrices and Markov chains, eigenvalues and eigenvectors, and their roles in modeling financial markets, culminating in discussions on no-arbitrage conditions, market completeness, and pricing measures essential for option pricing theory.
One-Period Financial Models Lecture Notes (PDF)
Instructions for Running Equal Weighted Portfolios.Rmd (PDF)
Equal Weighted Portfolios (ZIP)
See Problem Set 1, due one day after lecture 3
Lecture 3
Guest Lecture: “Quantitative Equity Investing” with Jeff Shen, BlackRock Investment Institute
Note: This guest lecture video is not available to OCW learners.
