Course

M565 - Mathematical Foundations for Finance

Course No: 
M565
Credit: 
4
Prerequisites: 
M472
Approval: 
2014
UG-Elective
Syllabus: 
Financial market models in finite discrete time, Absence of arbitrage and martingale measures, Valuation and hedging in complete markets, Basic facts about Brownian motion, Stochastic integration, Stochastic calculus: ItÔ’s formula, Girsanov transformation, Itˆo’s representation theorem, BlackScholes formula
Reference Books: 
  1. J. Jacod, P. Protter, “Probability Essentials”, Universitext, Springer-Verlag, 2003.
  2. D. Lamberton, B. Lapeyre, “Introduction to Stochastic Calculus Applied to Finance”, Chapman-Hall, 2008.
  3. H. F ̈ollmer, A. Schied, “Stochastic Finance: An Introduction in Discrete Time”, de Gruyter, 2011.

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School of Mathematical Sciences

NISERPO- Bhimpur-PadanpurVia- Jatni, District- Khurda, Odisha, India, PIN- 752050

Tel: +91-674-249-4081

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