Course13010600375 lectures

Computational Finance 1

Prof. Sourish Das and Prof. Bikramaditya Datta · Chennai Mathematical Institute

About

This course introduces the fundamental concepts of Computational Finance through an integrated approach involving finance theory, mathematical techniques, and programming. Students will explore topics such as pricing bonds and options, portfolio optimization, and the Black-Scholes model. Each week connects financial applications with core mathematical tools like linear algebra, numerical methods, and probability. Programming concepts and algorithms support practical understanding and help develop computational skills for solving real-world finance problems.

Intended audience: Advanced Undergraduate / Postgraduate of Statistics, Finance, Economics, Engineering

Prerequisites: One course each in (1) probability and statistics, and (2) basic programming.

Lectures

Week 1

Week 2

Week 3

Week 4

Week 5

Week 6

Week 7

Week 8

Syllabus and materials

At NPTEL, as the course publishes them.

Syllabus

Credits and licence

Institution: Chennai Mathematical Institute
Department: Economics
Taught by: Prof. Sourish Das, Prof. Bikramaditya Datta
Level: Undergraduate
Language: English
Subjects: Economics
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. Coordinated by IIT Madras.
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