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Course10910410420 lectures

Probability and Stochastics for Finance II

Prof. Joydeep Dutta · IIT Kanpur

Start with lecture 1 At NPTEL

Lectures

Week 1

  1. Fundamentals of Interest Rates Video
  2. Fixed Income Securities Video
  3. Term Structure of Interest Rates- I Video
  4. Optimization Models In Finance Video
  5. Crash course on KKT Condition Video

Week 2

  1. Mean Variance Portfolio Optimization I Video
  2. Mean Variance Portfolio Optimization II Video
  3. Mean Variance Portfolio Optimization III Video
  4. Mean Variance Portfolio Optimization IV Video
  5. Last lecture on Portfolio Optimization Video

Week 3

  1. Capital Asset Pricing Model Video
  2. The Binomial Model [Lox-Ross-Rubenstein Model] Video
  3. The Binomial Method II Video
  4. Binomial Method III (Multiperiod model) Video
  5. Binomial model IV Video

Week 4

  1. Girsanav's Theorem (Basic tool) Video
  2. Girsanav's Theorem (Statement and proof) Video
  3. Stock price under risk netral measure Video
  4. The Black -Scholes formula Video
  5. Final Lecture Video

Syllabus and materials

At NPTEL, as the course publishes them.

Credits and licence

Institution
IIT Kanpur
Department
Humanities and Social Sciences
Teacher
Prof. Joydeep Dutta
Level
Undergraduate
Language
English
Subjects
Society and politics
Source
NPTEL
Licence
CC BY-NC-SA, as NPTEL states it. Non-commercial use only. NPTEL's terms
Attribution
NPTEL states: "Distributed under Creative Commons Attribution-ShareAlike / CC BY - NC - SA", beside a BY-NC-SA badge.
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