B.Sc. Mathematics
8th Semester Syllabus
Select Paper in this Semester
MJC-16 : Mathematical Finance
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Unit 1: Interest Rates
◦Interest rates
◦Types of rates
◦Measuring interest rates
◦Zero rates
◦Bond pricing
◦Forward rate
◦Duration
◦Convexity
◦Exchange traded markets and OTC markets
Unit 2: Derivatives
◦Derivatives--Forward contracts
◦Futures contract
◦Options
◦Types of traders
◦Hedging
◦Speculation
◦Arbitrage
◦No Arbitrage principle
◦Short selling
◦Forward price for an investment asset
Unit 3: Options
◦Types of Options
◦Option positions
◦Underlying assets
◦Factors affecting option prices
◦Bounds on option prices
◦Put-call parity
◦Early exercise
◦Effect of dividends
Unit 4: Option Pricing Models
◦Binomial option pricing model
◦Risk neutral valuation (for European and American options on assets following binomial tree model)
◦Lognormal property of stock prices
◦Distribution of rate of return
◦Expected return
Reference Books:
- Hull, J. C., &Basu, S. (2010). Options, Futures and Other Derivatives (7th ed.). Pearson Education. New Delhi
- Luenberger, David G. (1998). Investment Science, Oxford University Press. Delhi
- Ross, Sheldon M. (2011). An elementary Introduction to Mathematical Finance (3rd ed.). Cambridge University Press. USA