MTL 733 (Stochastic of Finance)
3
Credits (300)
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. BlackScholes 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).
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
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