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)
1:47:16Lecture 18: Itō Calculus (18.S096)
This lecture provides a rigorous explanation of Itō calculus, elucidating its fundamental theorems and applications in the context of stochastic differential equations crucial for financial modeling.
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Choongbum Lee
Lecture 17: Stochastic Processes II (18.S096)
Next · Lecture 18Lecture 19: Black-Scholes Formula, Risk-neutral Valuation (18.S096)