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18.S096 Topics in Mathematics with Applications in Finance

18.S096 Topics in Mathematics with Applications in Finance (Fall 2013, MIT OCW). Instructors: Dr. Peter Kempthorne, Dr. Choongbum Lee, Dr. Vasily Strela, and Dr. Jake Xia. 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. (from ocw.mit.edu)

Lecture 24 - HJM Model for Interest Rates and Credit

This is a guest lecture that describes the HJM model for interest rates and credit, including hedging risk on interest and credit rate derivatives.

Go to the Course Home or watch other lectures:

Lecture 01 - Introduction, Financial Terms and Concepts

Lecture 02 - Linear Algebra

Lecture 03 - Probability Theory

Lecture 04

Lecture 05 - Stochastic Processes I

Lecture 06 - Regression Analysis

Lecture 07 - Value At Risk (VAR) Models

Lecture 08 - Time Series Analysis I

Lecture 09 - 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 - Ito Calculus

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

Lecture 20 - Open Price and Probability Duality

Lecture 21 - Stochastic Differential Equations

Lecture 22

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