<h3>MA 5950 MATHEMATICAL FINANCE</h3>
<br/>
<h4>Course Details</h4>
Introduction to Stochastic Processes, Poisson Process, Brownian Motion, Martingales Present Value Analysis, Interest rate analysis, Market Model Specification problems. Arbitrage 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 Brownian motion, Mean-variance analysis of risk - neutra-lpriced call options, Autoregressive models and mean regression, Other pricing options and applications.
<br/>
<h4>Course References:</h4>
1. S.M.Ross, "An Introduction to Mathematiacl Finance", Cambridge University Press, 1999<br>
2. A.J.Prakash, R.M.Bear, K.Dandapani, G.L.G.T.E.Pactwa and A.M.Parchigari, "The return Generating Models in Global Finance", Pergamon Press, 1998<br>
3. S.M.Ross, "Applied Probability models with Optimization Applications", Holdenday, 1980.