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 
BlackScholes Formula, Riskneutral 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
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Fall
2013
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