1 | Introduction & Financial Terms and Concepts (PDF) |
2 | Linear Algebra (PDF) |
3 | Probability Theory (PDF) |
4 | Matrix Primer [No lecture notes, but see The Morgan Stanley MatrixTM microsite for information about this topic] |
5 | Stochastic Processes I (PDF) |
6 | Regression Analysis (PDF) |
7 | Value At Risk (VAR) Models (PDF - 1.1MB) |
8 | Time Series Analysis I (PDF) |
9 | Volatility Modeling (PDF) |
10 | Regularized Pricing and Risk Models (PDF - 2.0MB) |
11 | Time Series Analysis II (PDF) |
12 | Time Series Analysis III (PDF) |
13 | Commodity Models (PDF - 1.1MB) |
14 | Portfolio Theory (PDF) |
15 | Factor Modeling (PDF) |
16 | Portfolio Management (PDF) |
17 | Stochastic Processes II (PDF) |
18 | Itō Calculus (PDF) |
19 | Black-Scholes Formula & Risk-neutral Valuation (PDF) |
20 | Option Price and Probability Duality [No lecture notes] |
21 | Stochastic Differential Equations (PDF) |
22 | Calculus of Variations and its Application in FX Execution [No lecture notes] |
23 | Quanto Credit Hedging (PDF - 1.1MB) |
24 | HJM Model for Interest Rates and Credit (PDF) |
25 | Ross Recovery Theorem (PDF) |
26 | Introduction to Counterparty Credit Risk Conclusions (PDF) |