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MIT OpenCourseWare

MIT 18.S096 Topics in Mathematics w Applications in Finance

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24 items
Last updated on Apr 23, 2015
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The purpose of the class is to expose undergraduate and graduate students to the mathematical concepts and techniques used in the financial industry. Mathematics lectures are mixed with lectures illustrating the corresponding application in the financial industry. MIT mathematicians teach the mathematics part while industry professionals give the lectures on applications in finance.

http://ocw.mit.edu/courses/mathematic...
MIT OpenCourseWare
1. Introduction, Financial Terms and Concepts
1:00:30
1. Introduction, Financial Terms and Concepts

MIT OpenCourseWare
2. Linear Algebra
1:12:37
2. Linear Algebra

MIT OpenCourseWare
3. Probability Theory
1:18:25
3. Probability Theory

MIT OpenCourseWare
5. Stochastic Processes I
1:17:41
5. Stochastic Processes I

MIT OpenCourseWare
6. Regression Analysis
1:22:13
6. Regression Analysis

MIT OpenCourseWare
7. Value At Risk (VAR) Models
1:21:15
7. Value At Risk (VAR) Models

MIT OpenCourseWare
8. Time Series Analysis I
1:16:19
8. Time Series Analysis I

MIT OpenCourseWare
9. Volatility Modeling
1:21:16
9. Volatility Modeling

MIT OpenCourseWare
10. Regularized Pricing and Risk Models
1:29:57
10. Regularized Pricing and Risk Models

MIT OpenCourseWare
11. Time Series Analysis II
1:23:48
11. Time Series Analysis II

MIT OpenCourseWare
12. Time Series Analysis III
1:17:39
12. Time Series Analysis III

MIT OpenCourseWare
13. Commodity Models
1:20:45
13. Commodity Models

MIT OpenCourseWare
14. Portfolio Theory
1:24:55
14. Portfolio Theory

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15. Factor Modeling
1:25:49
15. Factor Modeling

MIT OpenCourseWare
16. Portfolio Management
1:28:38
16. Portfolio Management

MIT OpenCourseWare
17. Stochastic Processes II
1:15:59
17. Stochastic Processes II

MIT OpenCourseWare
18. Itō Calculus
1:18:03
18. Itō Calculus

MIT OpenCourseWare
19. Black-Scholes Formula, Risk-neutral Valuation
49:52
19. Black-Scholes Formula, Risk-neutral Valuation

MIT OpenCourseWare
20. Option Price and Probability Duality
1:20:29
20. Option Price and Probability Duality

MIT OpenCourseWare
21. Stochastic Differential Equations
56:05
21. Stochastic Differential Equations

MIT OpenCourseWare
23. Quanto Credit Hedging
1:37:37
23. Quanto Credit Hedging

MIT OpenCourseWare
24. HJM Model for Interest Rates and Credit
1:47:16
24. HJM Model for Interest Rates and Credit

MIT OpenCourseWare
25. Ross Recovery Theorem
1:27:46
25. Ross Recovery Theorem

MIT OpenCourseWare
26. Introduction to Counterparty Credit Risk
1:21:35
26. Introduction to Counterparty Credit Risk