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Course Content

Course content for game theory

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Rupam Kumawat
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56 views1 page

Course Content

Course content for game theory

Uploaded by

Rupam Kumawat
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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MTL-732: Course Content: Semester I, 2024-25

Basic Definitions and Terminology from financial market, interest computation, value of money,
growth and discount factors.
Derivative products and pricing: Forward, Futures, Forward rate agreemant Options (european and
American)
Basic option theory: single and multi-period binomial pricing models, Cox-Ross-Rubinstein (CRR)
model, Black-Scholes formula for option pricing as a limit of CRR model, Dividend.
Black-Scholes differential equation, Black-Scholes formula derivation, Hedging and Greeks
Mean-Variance Portfolio Theory: Markowitz Model of Portfolio Optimization, Value at risk, CVaR,
portfolio models with different risk metrics, Capital Asset Pricing model (CAPM), French and Fama
factor models.
Interest Rates and Interest Rate Derivatives: Binomial lattice model, Vasicek, Hull and White, and
Cox-Ingersoll-Ross (CIR) models for bond pricing.
Suggested Books
• D. G. Luenberger: Investment Science, Oxford University Press 1999.
• M. Capińsky and T. Zastawniak: Mathematics for Finance: An Introduction to Financial Engineer-
ing, Springer 2004.
• Amber Habib: The Calculus of Finance, Universities Press, 2011.
• S. Chandra, S Dharmaraja, A. Mehra, Introductory Financial Mathematics, Narosa 2009.
• Donald G Saari, Mathematics of Finance An Intuitive Introduction, Springer, 2019.
• G. Campolieti and R. N. Makarov, Financial Mathematics, a comprehensive treatment, CRC Press,
2021.
Evaluation
Minor 25
Major 35
2 announced quizzes in offline mode 20
4 announced short online quizzes 4 × 5 = 20
Online quizzes by TAs
Platform Gradescope/Moodle; small submission time window
Negative marking enforced in online quiz
The following will be implemented on missing evaluation due to medical ground or some urgent reasons.

Missed minor Reminor


Missed offline quiz (one or both) Appear in reminor for quiz compensation
Missed minor and one offline quiz Reminor with extra questions to compensate one quiz
Missed minor and both offline quizzes Reminor with extra questions to compensate only one quiz
No separate re-quiz day
Missed any online quiz No re-quiz for any reason and for anyone
No late submission
Audit pass criteria ≥ 35/100 marks; must appear in
at least one offline quiz and at least one online quiz

Teaching Assistants and course coordinator:


Ms. Divyanee Garg [email protected]
Mr. Priyanshu Yadav [email protected]
Prof. Aparna Mehra [email protected]

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