Topics in Mathematics with Applications in Finance

Calendar

LEC #	LECTURE TYPE	TOPICS	INSTRUCTOR(S)	KEY DATES
1	Applications	Introduction, Financial Terms and Concepts	Peter Kempthorne Choongbum Lee Vasily Strela Jake Xia
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