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
1:47:16HJM Model for Interest Rates and Credit
This lecture introduces the Heath-Jarrow-Morton (HJM) model for interest rates and credit, covering its application in hedging risk on interest and credit rate derivatives through no-arbitrage pricing.
MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
This is a guest lecture that describes the HJM model for interest rates and credit, including hedging risk on interest and credit rate derivatives.