On April 23-24, 2009 I gave a workshop at LUISS University in Rome. It was a bit different from the one I gave in January at New York University as it didn't emphasize as much coding aspects and GPU computing. I spent more time on Mathematical Finance.I recorded all of my lectures and posted the AVI files below. I am also posting my handwritten notes and the lecture notes.

Wednesday I: Local and Global Calibration
Wednesday II: De Finetti's Fundamental Theorem
Wednesday III: Lattice models
Wednesday IV: Interest rate derivatives
Thursday V: Path dependent options
Thursday VI: Case study on interest rate derivatives
Thursday VII: Case study on equity and credit derivatives
Handwritten notes for the entire workshop
Lecture notes