STCS Course Announcement: Second semester 2014-15
to be held at TIFR, Mumbai for students from Centre for Excellence
in Basic Sciences
Title:
Financial Mathematics
Instructor:
Sandeep Juneja, TIFR, Mumbai Room No A-233 juneja@tifr.res.in
Structure:
The course will have weekly three hours of lectures and an hour of
tutorial. These will be held on Saturdays, 2:30 pm onwards. The first
introductory short meeting would be on January 17, 2015 at 2:30
pm in TIFR. Room will be announced later.
Venue:
on Jan 17 AG-80. Thereafter AG-69, TIFR
Course Content:
Discrete derivatives pricing theory, Review of measure theoretic probability,
stochastic calculus, continuous time pricing theory, stochastic volatility models,
partial differential equations in finance, interest rate models, Monte Carlo methods
in finance (if time permits)
Prerequisites: A basic course in probability. A background in analysis would be a
big plus though not essential.
Main texts:
1. Stochastic Calculus for Finance, Volume 1 and 2. Steven Shreve
2. Stochastic Calculus and Financial Applications, Michael Steele
Reference Books:
3. Brownian Motion and Stochastic Calculus by Ioannis Karatzas and Steven E.
Shreve Springer-Verlag, New York Second Edition, 1991.
4. The Mathematics of Arbitrage, Delbaen and Schachermayer
5. Essentials of Stochastic Finance, Albert Shiryaev
6. Martingale methods in Financial Modeling, M. Musiela and M. Rutkowski,
Springer, 1998.
7. Methods of Mathematical Finance by Ioannis Karatzas and Steven E. Shreve
Springer-Verlag, New York 1998
8. Monte Carlo Methods in Finance. Paul Glasserman