LEC # | LECTURE TYPE | TOPICS | INSTRUCTOR(S) | KEY DATES |
---|---|---|---|---|
1 | Applications |
Introduction, Financial Terms and Concepts |
Peter Kempthorne |
|
2 | Math | Linear Algebra | Choongbum Lee | |
3 | Math | Probability Theory | Choongbum Lee | |
4 | Applications | Matrix Primer | Morgan Stanley Matrix Team | |
5 | Math | Stochastic Processes I | Choongbum Lee | |
6 | Math | Regression Analysis | Peter Kempthorne | Problem Set 1 Due |
7 | Applications | Value At Risk (VAR) Models |
Kenneth Abbott, Morgan Stanley |
|
8 | Math | Time Series Analysis I | Peter Kempthorne | |
9 | Math | Volatility Modeling | Peter Kempthorne | Problem Set 2 Due |
10 | Applications | Regularized Pricing and Risk Models |
Ivan Masyukov, Morgan Stanley |
|
11 | Math | Time Series Analysis II | Peter Kempthorne | Problem Set 3 Due |
12 | Math | Time Series Analysis III | Peter Kempthorne | Problem Set 4 Due |
13 | Applications | Commodity Models |
Alexander Eydeland, Morgan Stanley |
|
14 | Math | Portfolio Theory | Peter Kempthorne | |
15 | Math | Factor Modeling | Peter Kempthorne | Problem Set 5 Due |
16 | Applications | Portfolio Management | Jake Xia | |
17 | Math | Stochastic Processes II | Choongbum Lee | |
18 | Math | Itō Calculus | Choongbum Lee | Problem Set 6 Due |
19 | Applications |
Black-Scholes Formula, Risk-neutral Valuation |
Vasily Strela | |
20 | Applications | Option Price and Probability Duality |
Stephen Blythe, Harvard Management Company |
Problem Set 7 Due |
21 | Math | Stochastic Differential Equations | Choongbum Lee | |
22 | Applications | Calculus of Variations and its Application in FX Execution |
Eric Pan, Morgan Stanley |
Problem Set 8 Due |
23 | Applications | Quanto Credit Hedging |
Stefan Andreev, Morgan Stanley |
|
24 | Applications | HJM Model for Interest Rates and Credit |
Denis Gorokhov, Morgan Stanley |
|
25 | Applications | Ross Recovery Theorem |
Peter Carr, Morgan Stanley |
Problem Set 9 Due (optional) |
26 | Applications |
Introduction to Counterparty Credit Risk, Conclusions |
Yi Tang, Morgan Stanley Kempthorne, Lee, Strela, & Xia |
Calendar
Course Info
Departments
As Taught In
Fall
2013
Level
Learning Resource Types
theaters
Lecture Videos
notes
Lecture Notes
assignment
Problem Sets
Instructor Insights