Department of Mathematics at University of Minnesota has 4 online lectures on financial mathematics - Lectures on financial mathematics:
David Harper aka Bionic Turtle has set of small videos on his website about quantitative finance and risk management - Bionic Turtle videos
Salomon Center at NYU Stern School of Business has free to download videos from Derivatives 2009 and Derivatives 2007 conferences with presentations by J.Hull, P.Carr, E.Derman and others:
There is a mathfinance "tube":
Quite a lot of lectures on Wilmott.com: http://wilmott.com/av.cfm
I strongly recommend Robert Shiller's "Financial Markets".
A couple of lecture note links, no video or audio, but these are pretty useful nonetheless.
Notes from Emmanuel Derman's 2007 Columbia course on the Volatility Smile
Andrew Lesniewski's 2009 notes on Interest Rate and Credit pricing, on his Lectures and Presentations page, there are a few other interesting presentations there as well.
This is a great question. I hope there are many valuable contributions.
The recent (Jan 27, 28) MIT 150 Symposium, "Economics and Finance: From Theory to Practice to Policy". https://mit150.mit.edu/symposia/economics-finance.html
Specifically, the Jan 28 should be of interest (Finance). I particularly enjoyed Ross.
"Finding Alpha" Videos (based on Falkenstein's Wiley Finance book. http://www.efalken.com/video/index.html
I haven't watched any yet, nor read the book - but intend to - so I cannot vouch for quality.
I like http://videolectures.net/, lots of conferences/lectures in computer science and maths, some in finance ...
I'm putting up videos about what I'm learning while I read through Paul Wilmott on Quantitative Finance, it's at NathansLessons.com. So far I have 23 videos covering chapters 1 through 16. The videos are in "virtual blackboard" format, like Khan Academy.
Khan Academy now offers finance videos (he already started with e.g. the basics of option trading strategies and arbitrage pricing):
While not strictly quantitative finance, for the first year in the PhD I found this Youtube-Channel extremely helpful:
I covers almost only math, but does a very good job at explaining the basics of probability theory. Most people will already have mastered that stuff, but it will surely help those unfamiliar with the basics.
Eric Zivot's Introduction to Computational Finance and Financial Econometrics on Coursera.
Coursera had a Computational Investing course by Prof. Tucker Balch as well.
Looks like it is being offered again in February 2013. Useful for someone who wants to learn basic finance and coding for Finance in Python. They use a software developed for the same course in GeorgiaTech.
Hope this is useful.
To brush up on some of the basics, Yale has the following: http://oyc.yale.edu/economics
Three of four are financial.
I’ve found the following insightful:
If you are into Asset pricing, check out Financial Theory with John Geanakoplos.