Below are some of the courses I taught in the CFRM program at the University of Washington in Seattle and at the University of Maryland College Park.
This is a course on Machine Learning methods for Finance that covers topics from linear regression to self-attention.
Here is a link to some of the material I wrote for this class on reinforcement learning, self-attention and GANs for time series.
Topics & Slides
Basic Fixed Income Assets
Review of Probability
Brownian Motion and Stochastic Calculus
No-Arbitrage Pricing
Short-rate Modeling
Calibration
Heath-Jarrow-Morton framework
Forward Measure
Defaultable Bond
Topics & Slides
Basic Concepts in Risk Management
Multivariate Distributions
Factor models and Dimensionality Reduction
Copula
Risk Measures
Mean-CVaR analysis
Extreme measure theory (if time permit)
Topics & Slides
Returns
Expected Utility Theory
Mean Variance Analysis
CAPM
The slides above are based upon the following sources:
Finance Theory course taught by Prof. Pete Kyle at the University of Maryland College Park in Fall 2018
Continuous Time Asset Pricing Theory course taught by Prof. Martin Haugh at Columbia University in Fall 2012
Asset Pricing and Portfolio Choice, K. Back, 2nd edition
Applied Conic Finance, D. B. Madan and W. Schoutens
Topics
Elements of Probability and Measure Theory
Information
From Random Walk to Brownian Motion
Stochastic Integration and Differentiation
Introduction to Levy processes and FFT-methods