2. Linear Algebra

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
Instructor: Choongbum Lee

This lecture is a review of the linear algebra needed for the course, including matrices, linear transformations, eigenvalue, and eigenvectors.

License: Creative Commons BY-NC-SA

[SeikoVanPaath]

Some notable Timestamps:
0:01:16 Matrices
0:05:22 Eigenvalues & Eigenvectors
0:11:40 Diagonalization
0:23:04 Singular Value Decomposition (SVD)
1:03:20 Perron-Frobenius Theorem

[duyloc]

The lecturer is now working as a portfolio manager at Millennium Management, one of the more successful investment firms out there.

[bowenzheng]

This is actually a very good lecture despite a few mistakes. I don’t have solid background in math or linear algebra but if you just carefully go through the lecture and pause to look up concepts that are not familiar, I am pretty certain you can fully understand it. A good place to get some visual understanding for basic concepts is 3Blues1Brown’s linear algebra series. It took me a whole day to go through this lecture but it’s very rewarding.

[amanpreetsinghgala]

I think this usually happens when you have thoughts and knowledge flowing at a greater speed than what you need to explain the class as a whole. This is what a scholar in action looks like. Mr. Lee, reminded me of my professor who used to brim with knowledge on a subject, and I pray if I could become half as good as him. Mr. Lee is a great instructor and its a review class, and not an elementary class of a school. So, e & oe. and we should be matured enough to read between the lines and be revision ready with him. If we are, then there should be no problem.

[gilbertobatres-estrada]

I have a MSc in theoretical physics and a MSc in applied math. I can tell you this is a great lecture.

[fidelesteves]

Incredibile, professor. I have seen this content several times and now suddenly you gave me another way to understand some linear transformations.

[Diana-yljo]

I haven't watch this video yet but I have to say that if you want to learn Linear Algebra go to see course called Linear Algebra in MIT or Khan. This is just one concentrated course for those who need to be remembered than apply it into finance.

[thiagovasco]

You can watch as many MIT lectures as you want on the same topic and you will always learn something new.

[rezakian]

This guy is a great lecturer. Clear and concise.

[edkure]

His handwriting on the board mesmerizes me! Such a talent 👍🏾

[nadekang]

This whole series of math in finance is more like a "Survey of Financial Mathematics". Only if you go through proofs and definitions like matrices, vector space, determinant, eigenvectors/eigenvalues and linear transformation, then go into probability theory(should be advanced probability theory as this is where they mention sigma-algebra and probability measure), statistics, regression (better with matrices), and then real analysis, advanced calculus, stochastic calculus (focus on Martingale), then you'll have an idea what they're really talking about.

[EasyGameEh]

the difference in view numbers between this and the intro video is hilarious. even wathcing mit lecture course people are saying that they still are only interested in most generic and shallow knowledge with some entertainment value.

[tljstewart]

@59:00 answers the question "What does the eigen vector mean for stock price matrix...?"

[owletkami]

So confusing when an instructor is walking you through something and as you are paying attention they go " oops made a mistake at the very beginning, let me just explain everything again "

[MedCreativityPlant]

Watch the instructor writing at 2x speed - lose grip on reality

[nikon]

Very intuitive explanation of SVD. Thanks

[Ibradiouf]

For all the plaintiffs in this chat, remember that you came to watch this video because you do not fully understand it - So please stop pretend that the lecturer is not so good . At least he is lecturing at MIT and you 'so called better' are watching him. top the hate please. Ibra Diouf

[stepkurniawan]

The first 15 mins of the lecture have slapped me in the face. I know nothing about matrices.

[tobiassugandi]

This is insanely good! love u Choongbum Lee

[tomctutor]

Most lecturers will sympathize with CL's dilemma of explaining a really complicated idea, as simple as he can without losing accuracy. If you think that he is in error you should also see Strang's MIT Lectures on Linear Algebra where he sweeps over difficult areas much the same way (and Strang is by far the expert in this field).
I found this lecture very informative and inspiring, just wonder if he has any follow up vids here on MIT?