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IIT Guwahati - Mathematical Finance by NPTEL 

  • Offered byNPTEL

Mathematical Finance by NPTEL
 at 
NPTEL 
Overview

Offered by Indian Institute of Technology Guwahati and NPTEL

Duration

12 weeks

Total fee

Free

Mode of learning

Online

Difficulty level

Intermediate

Official Website

Explore Free Course External Link Icon

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
Read more
Details Icon

Mathematical Finance by NPTEL
 at 
NPTEL 
Course details

More about this course
  • 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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Mathematical Finance by NPTEL
 at 
NPTEL 

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