MTL 733 (Stochastic of Finance)
3
Credits (3-0-0)
II Semester 2022-23
Lecture Classes (Slot AD): Tuesday and Friday between 3:30 PM and 4:50 PM
Prerequisite:
MTL 601 (Probability and Statistics) / MTL 106 (Probability and Stochastic
Processes)
Knowledge begin with (click this pdf file)
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.
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).
(To be filled later)
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
Tutorial Sheets