QIP Short Term Course
Introductory Financial Mathematics
July 2 –
Download short term course brochure here
ABOUT THE S
The main aim of this QIP short term course is to discuss certain basic topics in Financial Mathematics at an introductory level. As many Universities/Institutes have now introduced Financial Mathematics related courses at U.G/P.G level, it will provide a unique opportunity to enhance one’s capability to teach such courses. Efforts will also be made to have certain guest faculty from Industries to give a first hand field experience to the participants. In the later part of the course certain specialized topics will be discussed so as to motivate participants to study advanced topics at a future date.
Module 1: An overview of Financial Mathematics
This module will provide a general description of various issues and topics to be covered in the course.
Module 2: Discrete Time Models
This module will discuss discrete time models related to derivative securities. In particular, Forward and Future Contracts and Binomial Pricing Models for Call and Put options will be studied.
Module 3: This module is in continuation of Module 2. Here, C.R.R. model will be discussed leading to the famous Black-Scholes formula for Option pricing.
Module 4: Portfolio Optimization
This module will discuss Markowitz Mean-Variance Theory and some of its generalizations for Portfolio Optimization.
Module 5: Elementary Stochastic Calculus with Applications
This module will discuss Brownian Motion, Ito Calculus and Stochastic Differential Equations at an elementary level. The famous theorem of Girsanov and its application to the pricing of financial securities will constitute an important component of this module.
Module 6: Special Topics in Financial Mathematics
(i) Special Topic 1: Optimal Trading Strategies
(ii) Special Topic 2: Interest Rate and Interest Rate Derivatives
(iii) Special Topic 3: Credit Risk Modeling
(iii) Special Topic 4: Monte Carlo Simulation in Finance
Some of these topics will be covered depending upon the availability of faculty.
Date and Venue
Venue: Department of Mathematics, I.I.T Delhi
Campus Map: How to reach IIT Delhi
For further inquiry, please contact the course coordinators
Dr S Dharmaraja
Dr Aparna Mehra
Department of Mathematics
Tel: 26597104, 26597106.