QIP
Short Term Course
on
Introductory
Financial Mathematics
July 2 –
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.
COVERAGE/TOPICS
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
Date: July
2 –
Venue:
Department of Mathematics, I.I.T Delhi
For further
inquiry, please contact the course coordinators
Dr S Dharmaraja
Dr Aparna Mehra
Department
of Mathematics
Indian
Hauz Khas,
Tel:
26597104, 26597106.
Fax: +91-011-26581005.
http://web.iitd.ac.in/~dharmar/STCFM2012/main.html
Email: dharmar@maths.iitd.ac.in