Course Syllabus

This syllabus outlines the modules of MJC-16 Mathematical Finance.

📝Coursemeta: Course card

MJC-16

📝Module: Unit 1 — Interest Rates and Markets

Interest rates, types of rates, measuring interest rates, zero rates, bond pricing, forward rate, duration, convexity, exchange traded markets and OTC markets.

📝Module: Unit 2 — Derivatives and Arbitrage

Derivatives: forward contracts, futures contracts, options, types of traders, hedging, speculation, arbitrage, no arbitrage principle, short selling, forward price for an investment asset.

📝Module: Unit 3 — Options and Parity

Types of options, option positions, underlying assets, factors affecting option prices, bounds on option prices, put-call parity, early exercise, effect of dividends.

📝Module: Unit 4 — Binomial Option Pricing Model

Binomial option pricing model, risk neutral valuation (for European and American options on assets following binomial tree model), lognormal property of stock prices, distribution of rate of return, expected return.