These are the note made by me, typed on Latex for my courses this year. I wish at the beginning of the year someone gave me these. I would have learned everything much faster.
First is Stochastic Processes. Beautiful and practical class. Contents are Markov chain discrete and continuous, Poisson Processes, Stochastic Calculus for Poisson and Brownian Processes. My favourite part is the Markov chain one. It helps me answering so many interview question :).
4 Pages Summary of Stochastic Processes
Second is Quantitative Finance. Very practical class but quite ugly. Contents are Value at Risk, GARCH, EWMA model, backtesting. Black-Scholes, greeks, futures, forwards, interest rates.
9 Pages Summary of Quantitative Finance
Third is Complex Analysis. The most beautiful class, awesome teachers. Contents are Holomorphic function, differentials, integrals, Taylor series and Laurent series. And Harmonic function and Laplace PDE.
5 Pages Summary of Complex Analysis
Fourth is Time Series and Forecasting. The most practical class. Applied in all over the place in systematic trading. Topics include ARMA model, Spectrum analysis, and estimator of ARMA model.
Time Series
Fifth is Stochastic and Actuarial Methods in Finance. Very comprehensive class though a bit sleepy from time to time. First semester cover everything in the field of Portfolio management: CAPM, Utility, Arbitrage Pricing Theorem. Seconds semester covers the derivative pricing, with emphasis on theoretical framework, Girsanov theorem, risk-neutral pricing, Heath-Jarrow-Morton model (quite beautiful and sophisticated), credit risk. In contrast to FM320 Quantitative finance which focus on practical aspect: greek, hedging, mark to market futures, forward, interest rate swap etc.
Stochastic and Actuarial Methods in Finance
Sixth and the last one is Optimisation Theory. Quite uninteresting class as I was "forced" to take it. Topics include Bellman algorithm, Dijkstra algorithm to find shortest path. Lagrange theorem, Kuhn Tucker theorem to find max min. And Finite Horizon Dynamic Programming problem with Bellman equations.
Optimisation Theory