2015-07-29

Topics in Mathematics with Applications in Finance (Fall 2013 at MIT)

# playlist of the 24 videos (click the upper-left icon of the video)

source: MIT OpenCourseWare       Last updated on 2015年4月23日
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
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/mathematics/18-s096-topics-in-...
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Peter Kempthorne, Choongbum Lee, Vasily Strela, Jake Xia
License: Creative Commons BY-NC-SA
More information at http://ocw.mit.edu/terms
More courses at http://ocw.mit.edu

1. Introduction, Financial Terms and Concepts 1:00:30
2. Linear Algebra 1:12:37
3. Probability Theory 1:18:25
5. Stochastic Processes I 1:17:41
6. Regression Analysis 1:22:13
7. Value At Risk (VAR) Models 1:21:15
8. Time Series Analysis I 1:16:19
9. Volatility Modeling 1:21:16
10. Regularized Pricing and Risk Models 1:29:57
11. Time Series Analysis II 1:23:48
12. Time Series Analysis III 1:17:39
13. Commodity Models 1:20:45
14. Portfolio Theory 1:24:55
15. Factor Modeling 1:25:49
16. Portfolio Management 1:28:38
17. Stochastic Processes II 1:15:59
18. Itō Calculus 1:18:03
19. Black-Scholes Formula, Risk-neutral Valuation 49:52
20. Option Price and Probability Duality 1:20:29
21. Stochastic Differential Equations 56:06
23. Quanto Credit Hedging 1:37:37
24. HJM Model for Interest Rates and Credit 1:47:16
25. Ross Recovery Theorem 1:27:46
26. Introduction to Counterparty Credit Risk 1:21:35

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