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Mathematical Finance

Code: MA592 | L-T-P-C: 3-0-0-6

Financial markets and financial instruments; Risk-free and risky assets, discrete time binomial and continuous time geometric Brownian motion models for risky assets; Financial derivatives, forwards and futures, options, swaps; No-arbitrage principle; Properties of forwards and futures; General properties of options, pricing of options by Cox-Ross-Rubinstein Formula and Black-Scholes formula; Properties of swaps; Financial risk management, dynamic hedging of bonds using Duration and Convexity, hedging of options positions, Value-at-Risk.


  1. M. Capinski and T. Zastawniak, Mathematics for Finance: An Introduction to Financial Engineering, Springer Undergraduate Mathematics Series, 2nd Edition, Springer, 2010.


  1. J. C. Hull, Options, Futures and Other Derivatives, 10th Edition, Pearson, 2018.
  2. J. Cvitanic and F. Zapatero, Introduction to the Economics and Mathematics of Financial Markets, Prentice-Hall of India, 2007.