IIT Guwahati - Mathematical Finance by NPTEL
- Offered byNPTEL
Mathematical Finance by NPTEL at NPTEL Overview
Duration | 12 weeks |
Total fee | Free |
Mode of learning | Online |
Difficulty level | Intermediate |
Official Website | Explore Free Course  |
Credential | Certificate |
Mathematical Finance by NPTEL at NPTEL Highlights
- Offered by IIT Guwahati
- Final score comprises of 25% for weekly assignment and 75% of the weightage for final exam
- Eligible for Certificate after scoring minimum 40% in Final Exam
- Enrollments start from 20 July 2020
- Course conducted by Prof. N. Selvaraju, Prof. Siddhartha Pratim Chakrabarty (IIT Guwahati alumnus)
- Enroll for free
- Pay for Certification Examination
Mathematical Finance by NPTEL at NPTEL Course details
- The course on ?Mathematical Finance? gives an introduction to this interesting and growing area. In particular, the course will cover two Nobel-prize winning frameworks, namely portfolio theory and the option pricing theory.
Mathematical Finance by NPTEL at NPTEL Curriculum
Week 1:
Introduction to financial markets, financial instruments, bonds, stocks and financial derivatives
Week 2:
Time value of money, simple and compound interest rate, net present value, internal rate of return and annuities
Week 3:
Markowitz portfolio theory, risk and return, two and multi asset portfolio theory, efficient frontier
Week 4:
Capital Asset Pricing Model and portfolio performance analysis
Week 5:
No arbitrage principle, pricing of forwards and futures, properties of options
Week 6:
Derivative pricing by replication in binomial model
Week 7:
Discrete probability spaces, filtration, conditional expectation
Week 8:
Discrete time martingales, Markov chain, risk-neutral pricing in binomial model for European and American derivatives
Week 9:
General probability spaces, conditional expectation, Brownian motion
Week 10:
Ito integral, Ito formula, Girsanov?s theorem, martingale representation theorem, stochastic differential equation
Week 11:
Black-Scholes-Merton (BSM) model, pricing of European derivatives in BSM framework
Week 12:
Valuation of European options in BSM model, BSM formula, BSM partial differential equation, hedging, model completeness, fundamental theorems of asset pricing
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