Lecture 9: Principal Component Analysis in Finance
MIT 18.642 Topics in Mathematics with Applications in Finance, Fall 2024 Instructor: Stefan Andreev View the complete course: https://ocw.mit.edu/courses/18-642-to... YouTube Playlist: • MIT 18.642 Topics in Mathematics with Appl... This lecture features a detailed guest lecture by Stefan Andreev on Principal Component Analysis (PCA) and its critical applications in quantitative finance, especially in modeling the U.S. bond market. The lecture explains PCA’s mathematical foundations, practical challenges, and how it helps identify key factors driving yield curve dynamics, enabling portfolio construction and risk management in highly correlated financial markets. License: Creative Commons BY-NC-SA More information at https://ocw.mit.edu/terms More courses at https://ocw.mit.edu Support OCW at http://ow.ly/a1If50zVRlQ We encourage constructive comments and discussion on OCW’s YouTube and other social media channels. Personal attacks, hate speech, trolling, and inappropriate comments are not allowed and may be removed. More details at https://ocw.mit.edu/comments.
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