18.S096 Special Subject in Mathematics (Fall 2013)

Topics in Mathematics with Applications in Finance

Time and Location: TR 2:30-4 (9-057)
Instructor: Vasily Strela, Jake Xia, Choongbum Lee, Peter Kempthorne

The purpose of the class is to expose undergraduate and graduate students to the mathematical concepts and techniques used in the financial industry. The course will consist of a set of mathematics lectures on topics in Linear Algebra, Probability, Statistics, Stochastic Processes and Numerical Methods. Mathematics lectures will be mixed with lectures illustrating the corresponding application in the financial industry.
MIT mathematicians will teach the mathematics part while industry professionals will give the lectures on applications in finance. Broad familiarity with linear algebra, statistics, stochastic processes and PDE will be helpful (but not required).
Prior knowledge of economics or finance is not required but may be helpful for some lectures.
The class will have a final paper and problem sets will be given.