Course Details

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.

Course References:

1. S.M.Ross, "An Introduction to Mathematiacl Finance", Cambridge University Press, 1999
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
3. S.M.Ross, "Applied Probability models with Optimization Applications", Holdenday, 1980.