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 |