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Course Info

Instructors:
  • Dr. Peter Kempthorne
  • Dr. Choongbum Lee
  • Dr. Vasily Strela
  • Dr. Jake Xia
Course Number:
  • 18.S096
Departments:
  • Mathematics
As Taught In: Fall 2013
Level: Undergraduate

Topics

  • Business
    Finance
  • Mathematics
    Applied Mathematics
    Probability and Statistics

Learning Resource Types

theaters Lecture Videos
notes Lecture Notes
assignment Problem Sets
co_present Instructor Insights
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Course Info
Topics in Mathematics with Applications in Finance
  • Syllabus

  • Calendar

  • Instructor Insights

  • Lecture Notes & Slides

  • Case Studies

  • Video Lectures

  • Assignments

  • Projects

  • Related Resources

Video Lectures

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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
Lecture 12: Time Series Analysis III
Lecture 13: Commodity Models
Lecture 14: Portfolio Theory
Lecture 15: Factor Modeling
Lecture 16: Portfolio Management
Lecture 17: Stochastic Processes II
Lecture 18: Itō Calculus
Lecture 19: Black-Scholes Formula, Risk-neutral Valuation
Lecture 20: Option Price and Probability Duality
Lecture 21: Stochastic Differential Equations
Lecture 23: Quanto Credit Hedging
Lecture 24: HJM Model for Interest Rates and Credit
Lecture 25: Ross Recovery Theorem
Lecture 26: Introduction to Counterparty Credit Risk

Course Info

Instructors:
  • Dr. Peter Kempthorne
  • Dr. Choongbum Lee
  • Dr. Vasily Strela
  • Dr. Jake Xia
Course Number:
  • 18.S096
Departments:
  • Mathematics
As Taught In: Fall 2013
Level: Undergraduate

Topics

  • Business
    Finance
  • Mathematics
    Applied Mathematics
    Probability and Statistics

Learning Resource Types

theaters Lecture Videos
notes Lecture Notes
assignment Problem Sets
co_present Instructor Insights
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