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Massachusetts Institute of Technology

Topics in Mathematics with Applications in Finance

Massachusetts Institute of Technology via MIT OpenCourseWare

Overview

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This is the first version of {{% resource_link "d1090ad2-6097-4c81-b758-c21d1243282b" "*18.642 Topics in Mathematics with Applications in Finance*" %}} from Fall 2024. Please visit the {{% resource_link "d1090ad2-6097-4c81-b758-c21d1243282b" "*18.642* site" %}} for more materials and lecture recordings. We are planning to add a trading game as an additional learning resource. The link will be published on this page. Stay tuned! 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.

Syllabus

1. Introduction, Financial Terms and Concepts.
2. Linear Algebra.
3. Probability Theory.
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.
23. Quanto Credit Hedging.
24. HJM Model for Interest Rates and Credit.
25. Ross Recovery Theorem.
26. Introduction to Counterparty Credit Risk.

Taught by

Dr. Peter Kempthorne , Dr. Choongbum Lee , Dr. Vasily Strela and Dr. Jake Xia

Reviews

3.6 rating, based on 5 Class Central reviews

Start your review of Topics in Mathematics with Applications in Finance

  • Profile image for VAN SERICK BOUANGA LATCHYBOU
    VAN SERICK BOUANGA LATCHYBOU
    I completed an MIT mathematics course recently and found it to be a genuinely rewarding experience. The course was intellectually challenging in the best way — it pushed me to think deeply rather than just apply formulas mechanically. The lectures w…
  • Mohammad Reza Ilkhani
    MIT’s Topics in Mathematics with Applications in Finance is a math‑heavy course that actually connects theory to real financial problems. The main goal is to expose students to core mathematical tools used in finance, mixing lectures on linear algeb…
  • Profile image for Mehak Sehdev
    Mehak Sehdev
    The finance course did not meet my expectations. The content felt unorganized and lacked depth in important areas such as investment analysis and financial planning. Many topics were rushed, leaving little room for proper understanding or practice. The teaching style was more theoretical with very few real-life examples, which made it hard to connect concepts with practical applications.
  • Paul-Louis Käckell
    ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎ ‎…
  • Justin Iheakanwa
    Great course.I was exposed to some mathematical concepts used in finance.I am happy to partake in this course and am grateful to the organizers.

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