Mathematical Finance 3Q7RBE10R6

URI	`m2://res/3Q7RBE10R6`
Kind	course
Creators	N. Selvaraju (instructor), Siddhartha Pratim Chakrabarty (instructor)
Date	2019-07-03
Scope	in
Ids	course 0022nd079:111103126

Expressions

e1: edition

Language	en
Date	2019-07-03

m1: page, IIT Guwahati (record). nptel 111103126
m2: page, 2019-07-03 (record). nptel 111103126

Contents

part 1: Module 1: Introduction to Financial Markets and Instruments
session 1: Lecture 1: Introduction to Financial Markets and Bonds
session 2: Lecture 2: Introduction to Stocks, Futures & Forwards and Swaps
session 3: Lecture 3: Introduction to Options
part 2: Module 2: Time Value of Money and Riskfree Assets
session 4: Lecture 1: Interest Rates and Present Value
session 5: Lecture 2: Present & Future Values, Annuities, Amortization and Bond Yield
session 6: Lecture 3: Price Yield Curve and Term Structure of Interest Rates
part 3: Module 3: Modern Portfolio Theory - I
session 7: Lecture 7: Markowitz Theory, Return & Risk and Two Asset Portfolio
session 8: Lecture 8: Minimum Variance Portfolio and Feasible Set
session 9: Lecture 9: Multi Asset Portfolio, Minimum Variance Portfolio, Efficient Frontier and Minimum Variance Line
part 4: Module 3: Modern Portfolio Theory - II
session 10: Lecture 10: Minimum Variance Line (Continued), Market Portfolio
session 11: Lecture 11: Capital Market Line, Capital Asset Pricing Model
session 12: Lecture 12: Performance Analysis
part 5: Fundamentals of Derivatives
session 13: Lecture 13: No-Arbitrage Principle and Pricing of Forward Contracts
session 14: Lecture 14: Futures, Options and Put-Call-Parity
session 15: Lecture 15: Bounds on Options
part 6: Derivative pricing by replication in binomial model.
session 16: Lecture 16: Derivative Pricing in a Single Period Binomial Model
session 17: Lecture 17: Derivative Pricing in Multiperiod Binomial Model
session 18: Lecture 18: Derivative Pricing in Binomial Model and Path Dependent Options
part 7: Risk-Neutral Pricing in Discrete-Time
session 19: Lec 19: Discrete Probability Spaces
session 20: Lec 20: Filtrations and Conditional Expectations
session 21: Lec 21: Properties of Conditional Expectations
part 8: Risk-Neutral Pricing in Discrete-Time-II
session 22: Lecture 22: Examples of Conditional Expectations, Martingales
session 23: Lecture 23: Risk-Neutral Pricing of European Derivatives in Binomial Model
session 24: Lecture 24: Actual and Risk-Neutral Probabilities, Markov Process, American Options
part 9: Introductory Stochastic Calculus-I
session 25: Lecture 25: General Probability Spaces, Expectations, Change of Measure
session 26: Lecture 26: Filtrations, Independence, Conditional Expectations
session 27: Lecture 27: Brownian Motion and its Properties
part 10: Introductory Stochastic Calculus-II
session 28: Lecture 28: ItÃ´ Integral and its Properties
session 29: Lecture 29: ItÃ´ Formula, ItÃ´ Processes
session 30: Lecture 30: Multivariable Stochastic Calculus, Stochastic Differential Equations
part 11: Risk-Neutral Pricing in Continuous-Time-I
session 31: Lec 31: Black-Scholes-Merton (BSM) Model, BSM Equation, BSM Formula
session 32: Lec 32: Greeks, Put-Call Parity, Change of Measure
session 33: Lec 33: Girsanov Theorem, Risk-Neutral Pricing of Derivatives, BSM Formula
part 12: Risk-Neutral Pricing in Continuous-Time-II
session 34: Lec 34: MRT and Hedging, Multidimensional Girsanov and MRT
session 35: Lec 35: Multidimensional BSM Model, Fundamental Theorems of Asset Pricing
session 36: Lec 36: BSM Model with Dividend-Paying Stocks
part 13: Live Session
session 37: Live Session 07-10-2020
session 38: Live Session 29-10-2020
session 39: Live Session 17-11-2020
session 40: Live Session 05-11-2019
session 41: Live Session 30-08-2019

Catalogue records

nptel: 111103126 (manifestation)
nptel_video: 111103126 (manifestation)