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

Portfolio Management

Portfolio Theory

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