Lecture Notes & Slides

LEC #	TOPICS
1	Introduction & Financial Terms and Concepts (PDF)
2	Linear Algebra (PDF)
3	Probability Theory (PDF)
4	Matrix Primer [No lecture notes, but see The Morgan Stanley Matrix^TM microsite for information about this topic]
5	Stochastic Processes I (PDF)
6	Regression Analysis (PDF)
7	Value At Risk (VAR) Models (PDF - 1.1MB)
8	Time Series Analysis I (PDF)
9	Volatility Modeling (PDF)
10	Regularized Pricing and Risk Models (PDF - 2.0MB)
11	Time Series Analysis II (PDF)
12	Time Series Analysis III (PDF)
13	Commodity Models (PDF - 1.1MB)
14	Portfolio Theory (PDF)
15	Factor Modeling (PDF)
16	Portfolio Management (PDF)
17	Stochastic Processes II (PDF)
18	Itō Calculus (PDF)
19	Black-Scholes Formula & Risk-neutral Valuation (PDF)
20	Option Price and Probability Duality [No lecture notes]
21	Stochastic Differential Equations (PDF)
22	Calculus of Variations and its Application in FX Execution [No lecture notes]
23	Quanto Credit Hedging (PDF - 1.1MB)
24	HJM Model for Interest Rates and Credit (PDF)
25	Ross Recovery Theorem (PDF)
26	Introduction to Counterparty Credit Risk Conclusions (PDF)

Course Info