MIT 18.S096 Topics in Mathematics w Applications in Finance

The purpose of the class is to expose undergraduate and graduate students to the mathematical concepts and techniques used in the financial industry. Created by MIT OpenCourseWare .

Average Course Length

40 hours

Skill Level

Intermediate

License

Creative Commons (non commercial)

Pick a lesson


1: Introduction, Financial Terms and Concepts
2: Linear Algebra
3: Probability Theory
4: Stochastic Processes I
5: Regression Analysis
6: Value At Risk (VAR) Models
7: Time Series Analysis I
8: Volatility Modeling
9: Regularized Pricing and Risk Models
10: Time Series Analysis II
11: Time Series Analysis III
12: Commodity Models
13: Portfolio Theory
14: Factor Modeling
15: Portfolio Management
16: Stochastic Processes II
17: Itō Calculus
18: Black-Scholes Formula, Risk-neutral Valuation
19: Option Price and Probability Duality
20: Stochastic Differential Equations
21: Quanto Credit Hedging
22: HJM Model for Interest Rates and Credit
23: Ross Recovery Theorem
24: Introduction to Counterparty Credit Risk