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Courses » Probability and Stochastics for finance

Probability and Stochastics for finance

ABOUT THE COURSE
This course provides the minimum mathematical requirements to study mathematical finance or more precisely the pricing of financial derivatives.

INTENDED AUDIENCE
Senior UG or PG students in Mathematics,Physics, Economics or Finance with mathematics as one of the subjects. Professionals from the finance industry.

INDUSTRIES THAT WILL VALUE THIS
Any financial firms like Goldman Sachs, Investment Department of Banks would be interested.

1307 students have enrolled already!!

COURSE INSTRUCTOR


Joydeep Dutta is currently a Professor with the Economics Group in the Department of Humanities and Social Sciences at IIT Kanpur. He was previously a faculty in the Department of Mathematics at IIT Kanpur. His major research interest lies in convex and nonsmooth optimization. He enjoys teaching Mathematical Finance. He had introduced and taught the first ever course in Mathematical Finance at IIT Kanpur.
COURSE LAYOUT

 Week 1:
Basic Probability
Interesting problems in Probability
Random variables, Distribution Functions and Independence
Chebyshev's Inequality, Borel-Cantelli Lemmas and related issues
Law of Large Numbers and Central Limit Theorem

Week 2:
Conditional Expectation
Martingales
Brownian Motion

Week 3:
Ito Integral
Ito Calculus

Week 4:
Ito Integral in Higher Dimensions
Applications of Ito Integral
Black-Scholes Formula 

Certification Exam

The exam is optional. Exams will be on 20 March 2016 and 27 March 2016.
Time: 2pm-5pm

Tentative list of exam cities: http://nptel.ac.in/noc/pdf/Exam%20City-list.pdf

Registration url: Announcements will be made when the registration form is open for registrations.

The online registration form has to be filled and the certification exam fee of approximately Rs 1000 needs to be paid.

Certificate

Certificate will be given to those who register and write the exam. Certificate will have your name, photograph and the score in the final exam.

It will have the logos of NPTEL and IIT Kanpur. It will be e-verifiable at nptel.ac.in/noc.