Financial Mathematics (MTL732)
Credit
3.00 (L-T-P: 3-0-0)
Department / Center / School / Unit
Course Contents
Financial markets, Interest computation, value, growth and discount factors, derivative products, basic option theory: single and multi-period binomial pricing models, Cox- Ross-Rubinstein (CRR) model, volatility, Black-Scholes formula for option pricing as a limit of CRR model, Greeks and hedging, Mean-Variance portfolio theory: Markowitz model, Capital Asset Pricing Model (CAPM), factor models, interest rates and interest rate derivatives, Binomial tree models.