About Workshop


Financial markets, especially derivative markets have seen unprecedented global growth in the last four decades in terms of diversity, volume and sophistication. The requirements of innovation, especially in terms of complex pricing requirements, have given a great impetus to the growth of mathematical finance as an important area of study. There are several broad areas within mathematical finance, like option pricing, hedging, portfolio management, risk management and computational finance where significant strides have been made. Financial derivatives are a relatively new concept in Indian markets and were introduced in 2000. Since then there has been an enormous growth of this market in terms of trading volume. However, there is a huge shortage in India of skilled professionals who can develop and implement sophisticated mathematical ideas which is a key component required for sustained growth of such markets in India.

In order to facilitate awareness and growth of research in this area, the Department of Mathematics, IIT Guwahati, along with IISc Mathematics Initiative (IMI), is organizing a "Workshop on Mathematical Finance" at IIT Guwahati. The IMI is an interdisciplinary programme under which workshops/conferences on a particular theme are organized every year. The proposed "Workshop on Mathematical Finance" is a part of the 2012-2013 thematic year on "Probability: Theory and Applications". The resource persons for the workshop are leading researchers in mathematical finance, both from India and abroad. Each speaker will deliver a series of lectures in their respective areas of expertise, to an intended audience of post-graduate students, research scholars, academic and industry participants. Some of the areas that are intended to be covered in the workshop are:

  • Stochastic Calculus
  • Stochastic Differential Equations
  • Option Pricing
  • Portfolio Management
  • Risk Management
  • Computational Finance
  • Econophysics

Participants from the North-Eastern states will be particularly encouraged to apply for the workshop and their applications will be given strong consideration. Mathematical finance as a subject in the regular curriculum is not offered in any of the institutions of this region except at IIT Guwahati, where it is offered primarily at the undergraduate level. This workshop is expected to encourage interested individuals from this region to explore this area as a career option.

Organizing Committee

  • Mrinal K. Ghosh, IISc, Bangalore
  • N. Selvaraju, IIT Guwahati
  • Siddhartha P. Chakrabarty, IIT Guwahati