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.

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