MIT OpenCourseWare

Browse materialsMIT 18.S096 · Fall 2013

Topics in Mathematics with Applications in Finance

Subjects: Finance · Mathematics · Statistics

Art: Johannes Kepler, Konjukce Saturnu a Jupiteru Originál, 1596 · Public domain

Instructors: Dr. Peter Kempthorne, Dr. Choongbum Lee, Dr. Vasily Strela, Dr. Jake Xia
Term: Fall 2013
Level: Undergraduate
What's inside: 24 videos · 9 problem sets · 1 lecture note · 68 other files · 7 web pages
Materials open: Videos here · files on MIT OCW

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About this course

Source: MIT OpenCourseWare 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013, Dr. Peter Kempthorne, Dr. Choongbum Lee, Dr. Vasily Strela, Dr. Jake Xia — original course page on ocw.mit.edu ↗. License: CC BY-NC-SA 4.0. Study order: MIT's own listing order, section by section. Taken from MIT's published course files, downloaded from ocw.mit.edu on September 23, 2026. How RedLectern is built.

Materials are grouped the way MIT organized them. A verified, course-wide order has not been established here.

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Prerequisites are not listed here. Check MIT's own syllabus for this course.

How this course was organized

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Materials by section

Grouped by section, as MIT organized them. Not sequenced or ordered.

Lecture Notes & Slides

23 files

Case Studies

20 files

Assignments

9 problem sets

Other materials from this course

1 file

fm_casestudy_0_InstallOrLoadLibraries Case_Study_2.rR script Download

24 video transcripts

3 images

MIT OpenCourseWare, Dr. Peter Kempthorne, Dr. Choongbum Lee, Dr. Vasily Strela, Dr. Jake Xia, 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013.

License: CC BY-NC-SA 4.0 · Edition: Fall 2013 · Open the original course on OCW ↗

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Topics in Mathematics with Applications in Finance

Before you start

What's here, and what isn't

Not included here

Materials by section

Lecture Notes & Slides

Case Studies

Assignments

Other materials from this course

Lecture 1: Introduction, Financial Terms and Concepts

Lecture 2: Linear Algebra

Lecture 3: Probability Theory

Lecture 5: Stochastic Processes I

Lecture 6: Regression Analysis

Lecture 7: Value At Risk (VAR) Models

Lecture 8: Time Series Analysis I

Lecture 9: Volatility Modeling

Lecture 10: Regularized Pricing and Risk Models

Lecture 11: Time Series Analysis II

Lecture 12: Time Series Analysis III

Lecture 13: Commodity Models

Lecture 14: Portfolio Theory

Lecture 15: Factor Modeling

Lecture 16: Portfolio Management

Lecture 17: Stochastic Processes II

Lecture 18: Itō Calculus

Lecture 19: Black-Scholes Formula, Risk-neutral Valuation

Lecture 20: Option Price and Probability Duality

Lecture 21: Stochastic Differential Equations

Lecture 23: Quanto Credit Hedging

Lecture 24: HJM Model for Interest Rates and Credit

Lecture 25: Ross Recovery Theorem

Lecture 26: Introduction to Counterparty Credit Risk