Lecture 4: Linear Algebra (cont.); Probability Theory // TRAIN BRAIN

Lecture 4: Linear Algebra (cont.); Probability Theory

MIT 18.642 Topics in Mathematics with Applications in Finance, Fall 2024
Instructor: Peter Kempthorne
View the complete course: https://ocw.mit.edu/courses/18-642-topics-in-mathematics-with-applications-in-finance-fall-2024
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The lecture provides an overview of key linear algebra concepts such as eigenvalues, eigenvectors, matrix diagonalization, and singular value decomposition, emphasizing their applications in modeling dynamic systems and data analysis. It also introduces foundational probability theory concepts, including distributions, moments, covariance, principal component analysis, and their relevance to finance, portfolio management, and stochastic modeling.
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