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Course11110312641 lectures

Mathematical Finance

Prof. N. Selvaraju and Prof. Siddhartha Pratim Chakrabarty · IIT Guwahati

Start with lecture 1 At NPTEL

Lectures

Module 1: Introduction to Financial Markets and Instruments

  1. Lecture 1: Introduction to Financial Markets and Bonds Video
  2. Lecture 2: Introduction to Stocks, Futures & Forwards and Swaps Video
  3. Lecture 3: Introduction to Options Video

Module 2: Time Value of Money and Riskfree Assets

  1. Lecture 1: Interest Rates and Present Value Video
  2. Lecture 2: Present & Future Values, Annuities, Amortization and Bond Yield Video
  3. Lecture 3: Price Yield Curve and Term Structure of Interest Rates Video

Module 3: Modern Portfolio Theory - I

  1. Lecture 7: Markowitz Theory, Return & Risk and Two Asset Portfolio Video
  2. Lecture 8: Minimum Variance Portfolio and Feasible Set Video
  3. Lecture 9: Multi Asset Portfolio, Minimum Variance Portfolio, Efficient Frontier and Minimum Variance Line Video

Module 3: Modern Portfolio Theory - II

  1. Lecture 10: Minimum Variance Line (Continued), Market Portfolio Video
  2. Lecture 11: Capital Market Line, Capital Asset Pricing Model Video
  3. Lecture 12: Performance Analysis Video

Fundamentals of Derivatives

  1. Lecture 13: No-Arbitrage Principle and Pricing of Forward Contracts Video
  2. Lecture 14: Futures, Options and Put-Call-Parity Video
  3. Lecture 15: Bounds on Options Video

Derivative pricing by replication in binomial model.

  1. Lecture 16: Derivative Pricing in a Single Period Binomial Model Video
  2. Lecture 17: Derivative Pricing in Multiperiod Binomial Model Video
  3. Lecture 18: Derivative Pricing in Binomial Model and Path Dependent Options Video

Risk-Neutral Pricing in Discrete-Time

  1. Lec 19: Discrete Probability Spaces Video
  2. Lec 20: Filtrations and Conditional Expectations Video
  3. Lec 21: Properties of Conditional Expectations Video

Risk-Neutral Pricing in Discrete-Time-II

  1. Lecture 22: Examples of Conditional Expectations, Martingales Video
  2. Lecture 23: Risk-Neutral Pricing of European Derivatives in Binomial Model Video
  3. Lecture 24: Actual and Risk-Neutral Probabilities, Markov Process, American Options Video

Introductory Stochastic Calculus-I

  1. Lecture 25: General Probability Spaces, Expectations, Change of Measure Video
  2. Lecture 26: Filtrations, Independence, Conditional Expectations Video
  3. Lecture 27: Brownian Motion and its Properties Video

Introductory Stochastic Calculus-II

  1. Lecture 28: Itô Integral and its Properties Video
  2. Lecture 29: Itô Formula, Itô Processes Video
  3. Lecture 30: Multivariable Stochastic Calculus, Stochastic Differential Equations Video

Risk-Neutral Pricing in Continuous-Time-I

  1. Lec 31: Black-Scholes-Merton (BSM) Model, BSM Equation, BSM Formula Video
  2. Lec 32: Greeks, Put-Call Parity, Change of Measure Video
  3. Lec 33: Girsanov Theorem, Risk-Neutral Pricing of Derivatives, BSM Formula Video

Risk-Neutral Pricing in Continuous-Time-II

  1. Lec 34: MRT and Hedging, Multidimensional Girsanov and MRT Video
  2. Lec 35: Multidimensional BSM Model, Fundamental Theorems of Asset Pricing Video
  3. Lec 36: BSM Model with Dividend-Paying Stocks Video

Live Session

  1. Live Session 07-10-2020 Video
  2. Live Session 29-10-2020 Video
  3. Live Session 17-11-2020 Video
  4. Live Session 05-11-2019 Video
  5. Live Session 30-08-2019 Video

Syllabus and materials

At NPTEL, as the course publishes them.

Credits and licence

Institution
IIT Guwahati
Department
Mathematics
Taught by
Prof. N. Selvaraju, Prof. Siddhartha Pratim Chakrabarty
Level
Undergraduate
Language
English
Subjects
Mathematics
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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