Lecture 6
Video description: The lecture discusses martingales and their powerful applications in solving problems in stochastic processes, including random walks, stopping times, and gambler’s ruin probabilities, highlighting how martingale properties simplify complex analyses. It then introduces Markov processes and chains, explaining their memoryless property and applications in finance such as credit rating transitions and stock price modeling, before transitioning to regression analysis, focusing on multiple linear regression, model assumptions, and estimation techniques.
Regression Analysis Slides (PDF)
High−Yield Spread Poly Fits Slides (PDF)
High−Yield Spread Fourier Fits Slide (PDF)
HighYieldSpreadAutoRegressivefits.html
Lecture 7
Guest Lecture with Andrew Gunstensen, Mizuho Financial Group
Video description: Andrew Gunstensen, head of quantitative strategies at Mizuho in New York and MIT PhD in Geophysics, delivers an insightful and comprehensive talk on linear interest rate products, focusing on fundamentals, market structure, valuation, hedging, and electronic trading. He covers the basics of interest rates and their significance as the largest and most liquid financial markets, the transition from LIBOR to SOFR post-2008 financial crisis, and the complexities of discounting, yield curve construction, and swap valuation.
