1. Basic notions in finance: Time value of money, Discount factor, Present value, Yield curve.
2. Classical concepts and theories: Arbitrage, Efficient market hypothesis, MPT, CAPM.
3. Derivative products and pricing: Random walk description of daily log returns, Binomial model, Black-Scholes.
4. Financial markets and products: Institutions, OTC vs Exchanges, Bonds, Hedging, MBS.
5. Observed distribution of daily log returns: Normality test, Volatility clustering, Volume, Skewness, Correlations.
6. Models of log return beyond the random walk: EWMA, ARMA, GARCH, Stochastic volatility models.
7. Time evolution of stock correlations: Block models, Network analysis, Random matrix method.
8. Valuation and Risk: Types of risk, VaR and ES, Risk models and management.
9. Measuring and Modeling market risk: Correlation copulas, Term structure of Rates, Volatility smiles.
10. Credit risk and derivatives: Default risk CDS, Counterparty risk CVA. Funding risk FVA.
11. Forecasting financial time series with the Long Short Term Memory Network.
12. Investment management: Factor models, Performance evaluators, Illiquid assets.
13. Review. Solving problems together.