| 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 |
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2013
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