Introduction, Financial Terms and Concepts
1:00:30Linear Algebra
1:12:36Probability Theory
1:18:25Stochastic Processes I
1:17:41Regression Analysis
1:22:12Value At Risk (VAR) Models
1:21:15Time Series Analysis I
1:16:19Volatility Modeling
1:21:15Regularized Pricing and Risk Models
1:29:57Time Series Analysis II
1:23:48Time Series Analysis III
1:17:39Commodity Models
1:20:45Portfolio Theory
1:24:55Factor Modeling
1:25:49Portfolio Management
1:28:38Stochastic Processes II
1:15:59Itō Calculus
1:18:03Black-Scholes Formula, Risk-neutral Valuation
49:52Option Price and Probability Duality
1:20:29Stochastic Differential Equations
56:05Quanto Credit Hedging
1:37:37HJM Model for Interest Rates and Credit
1:47:16Option Price and Probability Duality
This guest lecture examines the profound duality between option prices and probabilities, illustrating how these seemingly distinct concepts are intrinsically linked within financial mathematics.
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Stephen Blyth
Black-Scholes Formula, Risk-neutral Valuation
Next · Lecture 20Stochastic Differential Equations