|FINANCE I – PORTFOLIO DESIGN
FINANCE II – FINANCIAL DERIVATIVES
- Deterministic Cash Flows: Interest, present and future value, internal rate of return.
- Fixed Income Securities: Bonds, prices and yields, duration, immunisation, term structure of interest rates.
- Random Cash Flows: Asset return, portfolio return, random returns, portfolio mean return and variance, diversification, portfolio diagram, feasible set, Markowitz model, Two fund theorem, One fund theorem.
- Capital Asset Pricing Model: Capital market line, CAPM, betas of stocks and portfolios, Security market line, Use of CAPM in investment analysis and as a pricing formula.
- Forwards and Futures: Forward and futures prices and values, hedging, stock index futures, currency futures.
- Options: Factors influencing options premia, Put-call parity, Binomial option pricing model (BOPM), dynamic hedging, pricing of American options.
- Black-Scholes Model: Modelling of stock prices, analogy with BOPM, delta hedging, hedging parameters – “The Greeks”.
- Option Spreads: Spreads, butterflies, straddles, and strangles.
- Value at Risk (VaR): Estimating VaR by linear and quadratic models, Monte Carlo Simulation.
- Calculus: Partial derivatives, Lagrange multipliers method for optimisation.
- Basic Probability
- Random variables: Discrete and continuous random variables, expectation and variance, binomial, normal and lognormal variables.
- Multivariate distributions: Conditional probability and distributions, independence, covariance, conditional expectation.
- Sampling: Sample mean and variance, large sample approximations, data fitting.
Detailed enrolment instructions will be available soon.
Excel in Business:
- Extensive practical work on MS Excel: Financial and Statistical Functions, Goal Seek, Solver, Analysis Toolpak, Statistical Simulation.
This course focuses on the many functions and tools provided by spreadsheet programs such as MS Excel and OpenOffice Calculator for data handling and analysis and their use in Corporate Finance.
It provides a recipe for a successful career in insurance companies, financial firms, the banking sector, etc., in areas such as investor education and counseling, project choice, portfolio management and risk analysis.
In comparison to the Course in Mathematical Finance, Excel in Business is less mathematical and much more oriented towards computer skills.
- Duration = 15 weeks (one semester), including exams.
- Target Audience: Mainly students of business & management, and also undergraduate students and professionals. A version of the course is being taught by IIIMIT faculty as a compulsory credit course to the students of the BSc in Financial and Actuarial Mathematics at the Islamic University of Science & Technology in Awantipora, Kashmir.
- Prerequisites: Class XII Mathematics (a little knowledge of probability, differential calculus and matrices)
- Course Contents