Mathematical Finance

Code: MA592 | L-T-P-C: 3-0-0-6

Financial markets and financial instruments; Risk-free and risky assets, discrete time binomial and continuous time geometric Brownian motion models for risky assets; Financial derivatives, forwards and futures, options, swaps; No-arbitrage principle; Properties of forwards and futures; General properties of options, pricing of options by Cox-Ross-Rubinstein Formula and Black-Scholes formula; Properties of swaps; Financial risk management, dynamic hedging of bonds using Duration and Convexity, hedging of options positions, Value-at-Risk.

Texts:

1. M. Capinski and T. Zastawniak, Mathematics for Finance: An Introduction to Financial Engineering, Springer Undergraduate Mathematics Series, 2nd Edition, Springer, 2010.

References:

1. J. C. Hull, Options, Futures and Other Derivatives, 10th Edition, Pearson, 2018.
2. J. Cvitanic and F. Zapatero, Introduction to the Economics and Mathematics of Financial Markets, Prentice-Hall of India, 2007.