Skip to content
lectern.tv
MIT 18.S096: Topics in Mathematics with Applications in Finance →0/22
1

1. Introduction, Financial Terms and Concepts

1:00:30
2

2. Linear Algebra

1:12:36
3

3. Probability Theory

1:18:25
4

5. Stochastic Processes I

1:17:41
5

6. Regression Analysis

1:22:12
6

7. Value At Risk (VAR) Models

1:21:15
7

8. Time Series Analysis I

1:16:19
8

9. Volatility Modeling

1:21:15
9

Lecture 10: Regularized Pricing and Risk Models (18.S096)

1:29:57
10

Lecture 11: Time Series Analysis II (18.S096)

1:23:48
11

Lecture 12: Time Series Analysis III (18.S096)

1:17:39
12

Lecture 13: Commodity Models (18.S096)

1:20:45
13

Lecture 14: Portfolio Theory (18.S096)

1:24:55
14

Lecture 15: Factor Modeling (18.S096)

1:25:49
15

Lecture 16: Portfolio Management (18.S096)

1:28:38
16

Lecture 17: Stochastic Processes II (18.S096)

1:15:59
17

Lecture 18: Itō Calculus (18.S096)

1:18:03
18

Lecture 19: Black-Scholes Formula, Risk-neutral Valuation (18.S096)

49:52
19

Lecture 20: Option Price and Probability Duality (18.S096)

1:20:29
20

Lecture 21: Stochastic Differential Equations (18.S096)

56:05
21

Lecture 23: Quanto Credit Hedging (18.S096)

1:37:37
22

Lecture 24: HJM Model for Interest Rates and Credit (18.S096)

1:47:16

Lecture 12: Time Series Analysis III (18.S096)

Peter KempthorneMIT

Professor

1:17:39·2015·undergraduate level

The final time series lecture examines cointegration, integrating VAR models, linear state-space models, and the Kalman filter for analyzing long-run economic relationships.

EngineeringEconomicsControl & Dynamical SystemsCointegrationVAR ModelsKalman Filter

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

Previous · Lecture 10

Lecture 11: Time Series Analysis II (18.S096)

Next · Lecture 12

Lecture 13: Commodity Models (18.S096)

Comments

Add a comment...Sign in