Topics in Mathematics with Applications in Finance
Massachusetts Institute of Technology via MIT OpenCourseWare
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Overview
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
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Reviews
3.6 rating, based on 5 Class Central reviews
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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…
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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…
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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.
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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.