Resources | Topics in Mathematics with Applications in Finance | Mathematics | MIT OpenCourseWare

Course Info

Instructors

Departments

Mathematics

As Taught In

Fall 2013

Level

Undergraduate

Topics

Learning Resource Types

Lecture Videos

Lecture Notes

Problem Sets

Instructor Insights

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Lecture Videos

Lecture 1: Introduction, Financial Terms and Concepts

Lecture 2: Linear Algebra

Lecture 3: Probability Theory

Lecture 5: Stochastic Processes I

Lecture 6: Regression Analysis

Lecture 7: Value At Risk (VAR) Models

Lecture 8: Time Series Analysis I

Lecture 9: Volatility Modeling

Lecture 10: Regularized Pricing and Risk Models

Lecture 11: Time Series Analysis II

Assignments

Problem Set 1: Linear Algebra

Problem Set 2: Probability Theory and Stochastic Process

Problem Set 3: Regression Analysis

Problem Set 4: Time Series Analysis

Problem Set 5: Volatility Modeling

Problem Set 6: Time Series II and Portfolio Theory

Problem Set 7: Factor Modeling

Problem Set 8: Stochastic Calculus

Problem Set 9: Stochastic Differential Equations

Lecture Notes

Black-Scholes Formula & Risk neutral valuation

Commodity Models

Factor Modeling

HJM Model for Interest Rates and Credit

Introduction & Financial Terms and Concepts

Introduction to Counterparty Credit Risk Conclusions

Itō calculus

Linear Algebra

Portfolio Management

Portfolio Theory

Course Info

Instructors

Departments

Mathematics

As Taught In

Fall 2013

Level

Undergraduate

Topics

Learning Resource Types

Lecture Videos

Lecture Notes

Problem Sets

Instructor Insights

Download Course

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