Programme PhD Term VI Academic Year 2021-22

Course title Mathematical Finance Area Finance and Accounting Credits 1.50

Prof. Arnab K Laha

Course Description & Objectives
The aim of this course is to introduce the participants to the topic of mathematical finance from a rigorous stand-point. The participants will become familiar with Measure theoretic probability, Stochastic Processes, Stochastic Integration, Stochastic Differential Equations, Risk Neutral Pricing and Jump Processes along with their applications to various problems of finance. It is expected that after going through the course the participants would be able to read books and papers in finance which use continuous time models with reasonable degree of comfort.