18.642 | Fall 2024 | Undergraduate

Topics in Mathematics with Applications in Finance

Lecture Notes

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1 MB
18.642 (F24): Federal Data Analysis
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522 kB
18.642 (F24): Lecture 01_1: Introduction. Financial Terms and Concepts. Bond Math
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175 kB
18.642 (F24): Lecture 01_2: Using R/R Studio to Analyze Financial Time Series
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704 kB
18.642 (F24): Lecture 02_1: Linear algebra
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522 kB
18.642 (F24): Lecture 02_2: One-Period Financial Models
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213 kB
18.642 (F24): Lecture 02_3: Instructions for Running Equal Weighted Portfolios.Rmd
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656 kB
18.642 (F24): Lecture 04_1: Probability Theory
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286 kB
18.642 (F24): Lecture 04_2: Probability Theory Applications
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2 MB
18.642 (F24): Lecture 05: Stochastic processes I
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658 kB
18.642 (F24): Lecture 06_1: Regression Analysis
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430 kB
18.642 (F24): Lecture 06_2: High−Yield Spread Poly Fits
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217 kB
18.642 (F24): Lecture 06_3: High−Yield Spread Fourier Fits
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929 kB
18.642 (F24): Lecture 06_4: ETF Case Study
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4 MB
18.642 (F24): Lecture 07: Linear Rates Models
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401 kB
18.642 (F24): Lecture 08: Hypothesis Testing in Regression Analysis
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2 MB
18.642 (F24): Lecture 09: Principal Component Analysis
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18.642 (F24): Lecture 10: Counterparty Risk Optimization
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828 kB
18.642 (F24): Lecture 11–12: Time Series Analysis
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711 kB
18.642 (F24): Lecture 13: Portfolio Management
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528 kB
18.642 (F24): Lecture 14_1: Stochastic Processes II
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2 MB
18.642 (F24): Lecture 14_2: Two-Dimensional Brownian Motion
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18.642 (F24): Lecture 14_3: Diffusion Normal Density
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3 MB
18.642 (F24): Lecture 14_4: Limiting Random Walk
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18.642 (F24): Lecture 14_5: Reflected Brownian Motion
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18.642 (F24): Lecture 14_6: Maximum Brownian Motion
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123 kB
18.642 (F24): Lecture 14_7: Hitting Time Density
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324 kB
18.642 (F24): Lecture 14_8: Gamblers Ruin
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3 MB
18.642 (F24): Lecture 14_9: Quadratic Variation
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676 kB
18.642 (F24): Lecture 17_1: Volatility Modeling
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882 kB
18.642 (F24): Lecture 17_2: Case Study: Estimating Historical Volatility of the S&P 500
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614 kB
18.642 (F24): Lecture 19_1: Stochastic Calculus
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18.642 (F24): Lecture 19_2: Simulations of Brownian Motion
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777 kB
18.642 (F24): Lecture 21: Risk Neutral Valuation, Black-Scholes Equation
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2 MB
18.642 (F24): Lecture 23: Introduction to Machine Learning
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314 kB
18.642 (F24): Lecture 24: Stochastic Differential Equations

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Fall 2024
Level
Undergraduate
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