| Course Archives Theoretical Statistics and Mathematics Unit | ||
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Course: Special Topics - Quantitative Finance Level: Postgraduate Time: Currently not offered |
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| Syllabus Past Exams Syllabus: (i) Corporate Finance: Discount Factors, Betas, Mean-Variance Frontiers, Efficient Portfolios, CAPM. (ii) Fixed Income Securities: Treasury bills and bonds, STRIPS, defaultable bonds, mortgage-backed securities like Collateraized Mortgage Obligations and derivative securities like swaps, caps, floors, and swaptions; relation between yields and forward rates, and factor models of yield curve dynamics. (iii) Asset Pricing: Arbitrage, complete markets, preliminaries of Martingales, risk-neutral measure, Fundamental Theorems. (iv) Brownian motion, Stochastic Integration and Ito's formula, Black Scholes option pricing and hedging, Cameron Martin Formula and Barrier Options, and Girsanov's Theorem. (v) Risk Management including VaR, expected shortfall, coherent risk measures, and the Basel accords. Suggested Texts : (a) J. Berk and P. DeMarzo, Corporate Finance. (b) B. Tuckman and A. Serrat, Fixed Income Securities. (c) D. Duffie, Dynamic Asset Pricing Theory. (d) J.H. Cochrane, Asset Pricing. (e) J.C. Hull, Options, Futures and Other Derivatives. (f) S.E. Shreve, Stochastic Calculus for Finance II. (g) D. Duffie and K.J. Singleton, Credit Risk: Pricing, Measurement and Management. Top of the page Past Exams | ||
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[ Semester Schedule ][ SMU ] [Indian Statistical Institute] |