1. Introduction, Financial Terms and Concepts
1:00:302. Linear Algebra
1:12:363. Probability Theory
1:18:255. Stochastic Processes I
1:17:416. Regression Analysis
1:22:127. Value At Risk (VAR) Models
1:21:158. Time Series Analysis I
1:16:199. Volatility Modeling
1:21:15Lecture 10: Regularized Pricing and Risk Models (18.S096)
1:29:57Lecture 11: Time Series Analysis II (18.S096)
1:23:48Lecture 12: Time Series Analysis III (18.S096)
1:17:39Lecture 13: Commodity Models (18.S096)
1:20:45Lecture 14: Portfolio Theory (18.S096)
1:24:55Lecture 15: Factor Modeling (18.S096)
1:25:49Lecture 16: Portfolio Management (18.S096)
1:28:38Lecture 17: Stochastic Processes II (18.S096)
1:15:59Lecture 18: Itō Calculus (18.S096)
1:18:03Lecture 19: Black-Scholes Formula, Risk-neutral Valuation (18.S096)
49:52Lecture 20: Option Price and Probability Duality (18.S096)
1:20:29Lecture 21: Stochastic Differential Equations (18.S096)
56:05Lecture 23: Quanto Credit Hedging (18.S096)
1:37:37Lecture 24: HJM Model for Interest Rates and Credit (18.S096)
1:47:169. Volatility Modeling
MIT Mathematics & Wall Street Practitioners
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013.
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Peter Kempthorne
This lecture introduces the topic of volatility modeling, including historical volatility, geometric Brownian motion, and Poisson jump diffusions.
8. Time Series Analysis I
Next · Lecture 9Lecture 10: Regularized Pricing and Risk Models (18.S096)
Seminar notes & discussion
No public seminar notes on this lecture yet.