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राष्ट्रीय विज्ञान शिक्षा एवंअनुसंधान संस्थान
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  2. M565 - Mathematical Foundations for Finance

M565 - Mathematical Foundations for Finance

By admin_sms on Thu, 17/07/2014 - 14:57
Course No
M565
Credit
4
Approval
2014
UG-Elective
Syllabus
Financial market models in finite discrete time, Absence of arbitrage and martingale measures, Valuation and hedging in complete markets, Basic facts about Brownian motion, Stochastic integration, Stochastic calculus: ItÔ’s formula, Girsanov transformation, Itˆo’s representation theorem, BlackScholes formula
Reference Books
  1. J. Jacod, P. Protter, “Probability Essentials”, Universitext, Springer-Verlag, 2003.
  2. D. Lamberton, B. Lapeyre, “Introduction to Stochastic Calculus Applied to Finance”, Chapman-Hall, 2008.
  3. H. F ̈ollmer, A. Schied, “Stochastic Finance: An Introduction in Discrete Time”, de Gruyter, 2011.

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