This is the first of three lectures introducing the topic of time series analysis, describing stochastic processes by applying regression and stationarity models.

Instructor: Peter Kempthorne

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

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.