Topics in Mathematics with Applications in Finance (Fall 2013)

Topics in Mathematics with Applications in Finance (Fall 2013)

Dr. Peter Kempthorne , Dr. Choongbum Lee , Dr. Vasily Strela and Dr. Jake Xia via MIT OpenCourseWare Direct link

7. Value At Risk (VAR) Models

6 of 24

6 of 24

7. Value At Risk (VAR) Models

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Classroom Contents

Topics in Mathematics with Applications in Finance (Fall 2013)

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

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