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Course Co-ordinated by IIT Kanpur
Coordinators
 
Dr. Joydeep Dutta
IIT Kanpur

 

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This course provides the minimum mathematical requirements to study mathematical finance or more precisely the pricing of financial derivatives.

 

 
Week

Topics

1.

Fundamentals of Interest Rate
Fixed income securities
Term structure of Interest rate-I
Term structure of Interest rate-II
Optimization problems in Finance

2.

Crash course on Karush-Kuhn-Tucker Conditions
Mean Variance Portfolio Optimization
Marketing Model & Related Issues
The Capital Asset Pricing Model-I
The Capital Asset Pricing Model-II

3.

The Basics of Financial Markets & Financial Derivatives
Binomial Trees and Arbitrage
Pricing Options using Binomial Trees-I
Pricing Options using Binomial Trees-II
Girsanov's Theorem

4.

Black Scholes Formula:The Risk Neutral Approach
More on Black Scholes Formula
Dividend Paying Stocks
Pricing Forwards & Futures-I
Pricing Forwards & Futures-II

Mathematics should be at least a course among the minor subjects.


Investment Science-D.G.Luenberger



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