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Massachusetts Institute of Technology

MIT 18.S096 Topics in Mathematics w Applications in Finance

via YouTube Video playlist

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Overview

The purpose of the class is to expose undergraduate and graduate students to the mathematical concepts and techniques used in the financial industry. Mathematics lectures are mixed with lectures illustrating the corresponding application in the financial industry. MIT mathematicians teach the mathematics part while industry professionals give the lectures on applications in finance. An investment game ( https://www.hedgehogcamp.ai/ ) is also available as an additional learning resource.

http://ocw.mit.edu/courses/mathematics/18-s096-topics-in-mathematics-with-applications-in-finance-fall-2013/

View newer version of the course: https://ocw.mit.edu/courses/18-642-topics-in-mathematics-with-applications-in-finance-fall-2024/

YouTube Playlist (Fall 2024): https://www.youtube.com/playlist?list=PLUl4u3cNGP601Q2jo-J_3raNCMMs6Jves

Videos in this playlist 24

  1. 1. Introduction, Financial Terms and Concepts
  2. 2. Linear Algebra
  3. 3. Probability Theory
  4. 5. Stochastic Processes I
  5. 6. Regression Analysis
  6. 7. Value At Risk (VAR) Models
  7. 8. Time Series Analysis I
  8. 9. Volatility Modeling
  9. 10. Regularized Pricing and Risk Models
  10. 11. Time Series Analysis II
  11. 12. Time Series Analysis III
  12. 13. Commodity Models
  13. 14. Portfolio Theory
  14. 15. Factor Modeling
  15. 16. Portfolio Management
  16. 17. Stochastic Processes II
  17. 18. Itō Calculus
  18. 19. Black-Scholes Formula, Risk-neutral Valuation
  19. 20. Option Price and Probability Duality
  20. 21. Stochastic Differential Equations
  21. 23. Quanto Credit Hedging
  22. 24. HJM Model for Interest Rates and Credit
  23. 25. Ross Recovery Theorem
  24. 26. Introduction to Counterparty Credit Risk

Advantages and disadvantages

Advantages

  • Free and complete: every lecture is in the playlist, in order.
  • Watch at 1.5x, skip what you know, rewatch what you don't.
  • Taught by Massachusetts Institute of Technology, one of the strongest names in its field.
  • 7,966,637 views, so help and notes are easy to find.
  • Completely free.
  • Self-paced: start any time.
  • A clear syllabus (24 videos) you can see before you start.
  • Start watching right away, no sign-up.

Disadvantages

  • No certificate, deadlines or graded work.
  • Quality and depth vary: check that the playlist is finished before you start.
  • No certificate.
  • No graded assignments or feedback.

Some points apply to every course of this kind; see how we rank.

Free

  • Free: Watch on YouTube, no account needed.
  • Certificate: None. Code or take notes along to make it stick.

Massachusetts Institute of Technology is in Tier 1: world-leading universities and India's top institutes of our institution ranking (98/100). OpenCourseWare is the gold standard for free university material.

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