MTL 733 (Stochastic of Finance)

3 Credits (3-0-0) 

INFORMATION SHEET

Basic Stochastic process involved in the study of mathematics of finance. Theory of Martingales, Stochastic Integration, Ito's formulae and Stochastic differential equations. Black-Scholes option pricing model, Girsanov's Theorem, Application of Option pricing Models.

Prerequisite:

MTL 601 (Probability and Statistics) / MTL 106 (Probability and Stochastic Processes)

 

Knowledge begin with (click this pdf file)

 

Main Text Book

1.    Stochastic Calculus for Finance, Vol. I & Vol. II, S. E. Shreve, Springer (2004).

2.    Introduction to Probability and Stochastic Processes with Applications, Liliana Blanco Castaneda, Viswanathan Arunachalam, Selvamuthu Dharmaraja, Wiley, Asian Edition, Jan. 2016.

3.    Financial Mathematics: An Introduction, Narosa Publishing House, Suresh Chandra, S. Dharmaraja, Aparna Mehra, R. Khemchandani, 2012.

 

Reference Text Books  

1.      Thomas Mikosh, "Elementry Stochastic Calculus with Finance in view", World Scientific (2006 print).

2.      Fred Espen Benth, "Option Theory with Stochastic Analysis: An introduction to mathematical finance", Springer (2002).

 


Tutorial Sheets

Tutorial Sheet 1


Tutorial Sheet 2


Tutorial Sheet 3


 

Scheme of Evaluation

Two Minor Tests of 25 Marks each

2 X 25

50

One Major Examination

1 X 50

50

 

Total

100

 

IMPORTANT INFORMATION

         Students are encouraged to contact the Course Coordinator or Tutorial Teacher for any difficulties regarding the course.

         Only those students who could not appear for one of the minor tests due to medical reasons are eligible for the make up examination which will be conducted before the major examination. However, submission of a valid medical certificate adhering to the institute norms is mandatory.

         The evaluated minor answer books will be returned to the students and they must retain with them as a proof of the marks secured.

INFORMATION about the Instructor

Name

Room No.

Phone No.

Email

S Dharmaraja

MZ 164

7104

dharmar@maths.iitd.ac.in

 

 

 

 

 

(S. Dharmaraja)

Course Coordinator