Summer School

A summer school with a title "Stock price Model Calibration from Time Series Data" was arranged during May-July of 2017. This summer school was open for both external and internal students. There were 16 participants for this school. Among them 11 were internal whereas 5 were from outside IISER-Pune. This school included three short courses among which two were theoretical and one on numerical experiments. The courses were on various topics related to Mathematical finance. The topics included (a) Stock price Model Calibration from Time Series Data, (b) Stochastic Calculus for Finance (ItĂ´-Calculus), (c) Black-Scholes-Merton Model, (d) Exponential distributions & other non-negative random variables, and (e) coding in Python.

The Short Courses

  1. Option Pricing Theory by Anindya Goswami, IISER-Pune
  2. Exponential distributions and related topics by Arunangshu Biswas, Statistics Department, Presidency University
  3. Investigation of duration of low volatility by Milan Kumar Das, IISER-Pune

For more details about the school follow this link.