MA41031: Stochastic Processes In Finance
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| MA41031 | |||||||||||||||||||||||||||||
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| Course name | Stochastic Processes In Finance | ||||||||||||||||||||||||||||
| Offered by | Mathematics | ||||||||||||||||||||||||||||
| Credits | 4 | ||||||||||||||||||||||||||||
| L-T-P | 3-1-0 | ||||||||||||||||||||||||||||
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| Semester | Autumn | ||||||||||||||||||||||||||||
Syllabus
Syllabus mentioned in ERP
Definition and classification of stochastic processes, Poisson process, Birth and death process, Markov process in discrete time, random walks, gambler s (ruin), first return probabilities. Diffusion Processes - Brownian motion (introduction), Wiener process, Simulation of Brownian motion, Brownian Bridge, scaling symmetry, Brownian motion with drift, waiting times, geometric Brownian motion, applications in financial modeling. Introduction to Martingales. Stochastic Calculus - stochastic differential equations, stochastic integral (Ito s formula), applications in financial modeling.
Concepts taught in class
Student Opinion
How to Crack the Paper
Classroom resources
Additional Resources
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Time Table
| Day | 8:00-8:55 am | 9:00-9:55 am | 10:00-10:55 am | 11:00-11:55 am | 12:00-12:55 pm | 2:00-2:55 pm | 3:00-3:55 pm | 4:00-4:55 pm | 5:00-5:55 pm | |
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| Monday | ||||||||||
| Tuesday | ||||||||||
| Wednesday | NC334 | |||||||||
| Thursday | NC334 | |||||||||
| Friday | NC334 | NC334 |