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Google Meet link: https://meet.google.com/nvc-kbsy-ssq
Every Thursday 5:30 -7:30 PM during 18 May - 29 June.
Topic: Summer School on Mathematical Finance
Duration: 6 weeks, Starting date: Thursday 18th May, End date: Thursday 29th June.
Topics: The basic theory of interest, fixed income securities, mean-variance portfolio theory. Meaning and pricing of forwards, futures, options, and swaps. Black-Scholes-Merton model and its various generalizations for continuous-time modeling of asset prices. European option pricing under some of these model assumptions.
Expectations: The participants are supposed to read the study materials in the references before starting summer school. It is important that they gain some level of understanding of the concepts presented in those. The details will be discussed during the summer project.
Reference:
Chapters 1,2,3, 6, 10 & 16 of Investment Science [David G. Luenberger]
Chapters 2, 3 & 4 of Introduction to Stochastic Calculus for Finance [Dieter Sondermann]
Additional Reading for Pre-requisite
Brownian motion and its quadratic variation. video16 video17 https://sites.google.com/site/anindyagoswami/teaching/pde
Participants
- Mr. Ashish Kumar Majhi
- Mr. Barish Sarkhel
- Mr. Bhaskar Goyal
- Mr. Jainish Shah
- Mr. karampuri Yash
- Mr. MANAS SHARMA
- Mr. SAPTARSI GHOSH
- Mr. Satyik Ghosh
- Mr. Shreyas kali
- Mr. Shreyas Madhav Kelkar
- Mr. SHUVAM BANERJEE
- Mr. Tanish Nimbalkar
- Mr. Vaibhav Makarand Sherkar
- Ms. Ananya Ranade
- Ms. Asmita Bhowmick
- Ms. Bhavana Singh
- Ms. Mansi Nagpal
- Ms. Shreeyash Chaudhari
Some Presentations
Data-Driven-OP.pdfPortfolio_1.pdfBSM Theory.pdfPage updated
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