1 Applications

Introduction, Financial Terms and Concepts

Peter Kempthorne
Choongbum Lee
Vasily Strela
Jake Xia

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