Programme

PhD

Term

VI

Academic Year

2021-22

Course title

Mathematical Finance

Area

Finance and Accounting

Credits

1.50

Instructor(s)

Prof. Arnab K Laha

Course Description & Objectives

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.