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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 .No

Topic

1

Basic Probability
Interesting problems in probablity
Random variables,distribution functions and independence
Chebyshev inequality,Borel-Cantelli lemmas and related issues
Law of Large Numbers and Central Limit Theorem

2

Conditional Expectation
Martingales
Brownian Motion

3

Deterministic vs random differential equation
Stochastic Integrals
Ito Calculus

4

Stochastic Differential Equations:Definitions and Examples
Properties of the solution of stochastic differential equations

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