### MA5950 MATHEMATICAL FINANCE

#### Course Details

Introduction to Stochastic Processes, Poisson Process, Browian Motion, Martingales.

Present Value Analysis, Interest rate analysis, Marlet model Specification problems.

Arbitage theorem, Multi-Period binomial Model, Block- Scholes formula.

Valuing investments by expected utility, Portfolio selection problem, Capital Assets Pricing model, Rates of return, Single period and geometric Browian motion, Mean-Variance analysis of risk- neutral-priced call options, Autoregressive models and mean regression, Other pricing options and applications.

#### Course References: