**Lecture 1 (September 4):** | Mortgage models of default and absorption probabilities |

**Lecture 2 (September 11):** | Elementary probability, conditional probability, independence |

| Some linear algebra |

| Classification of states, stationary distributions and convergence |

**Lecture 3 (September 18):** | Probability densities and expected values |

**Lecture 4 (September 25):** | Fitting Markov chains |

**Lecture 5 (October 2):** | Markov chains in credit modeling (homework distributed) |

**Lecture 6 (October 9):** | Algorithms and dynamic programming (homework collected) | |

**Lecture 7 (October 16):** | Homework discussions |

**Lecture 8 (October 23):** | Midterm Exam |

**Lecture 9 (October 30):** | Hidden Markov models, Expectation Maximization and regime-switching models (homework discussed) |

**Lecture 10 (November 6):** | Optimal trading strategies |

**Lecture 11 (November 13):** | Bayesian analysis and Markov Chain Monte Carlo (homework distributed) |

**Lecture 12 (November 20):** | Markov Chain Miscellanea (homework collected) |

**Lecture 13 (December 4):** | Homework discussions |

**Lecture 14 (December 11):** | Final Exam |