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Programme in Mathematical Finance 2010-11


Certified by icici bank


The 9th edition of this programme is being conducted from September 15, 2010 at

YWCA of Delhi, Ashoka Road, New Delhi

(A two minute walk from the Patel Chowk Metro Station near Connaught Place)



Our pioneering part-time programme provides a unique opportunity to learn about the exciting world of modern Finance and the role of Mathematics in it. It was created in consultation with leading members of the academic and corporate worlds, and has been running successfully since 1998. Its special feature is the combining of conceptual understanding with practical ability.


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Contents in Brief
Suitable for a wide variety of students - from undergraduates to those pursuing professional courses or in employment. We assume no prior knowledge beyond Class X mathematics.
Finance I: The science of designing a combination of investments, while balancing profit against risk. Culminates with the Capital Asset Pricing Model, for which the economists Markowitz and Sharpe were awarded the Nobel Prize. (Read a sample lesson)
 Builds up from basic concepts to advanced Nobel Prize-winning work. The tools we teach are indispensable not only for financial institutions but for any corporate entity dealing in materials with fluctuating prices.
Finance II: Modern financial markets encompass a rich variety of activities, apart from the direct sale or purchase of stocks and bonds. For instance, contracts called derivatives provide further avenues for profit or elimination of risk. The highlights of this course are the Binomial Options Pricing Model and the Black-Scholes Model (another Nobel winning work), and their applications to analyzing and managing risk.
 Extensive numerical work in the Computer Lab (using Microsoft Excel and VBA), based on real-life data.
 Probability: Here we learn about the various kinds of randomness that are useful in modeling the behaviour of markets.
 40 hours are devoted to the labs and 60 to lectures.
Students have carried out internships at leading financial institutions like ICICI Bank, HDFC Bank, Citibank, Citifinance, IndusInd Bank, Murugappa Group, HSBC, Morgan Stanley, Sundaram Newton, etc.
Statistics and Econometrics: Any mathematical model has to be compared with reality, and this is the function of statistics. This course will cover the techniques of sampling, statistical estimation and regression. Problems of Finance will be used to both motivate and illustrate the mathematical concepts.
   Numerical Techniques (Lab): The programme emphasizes practical work. This will be based on Microsoft Excel and VBA. No previous knowledge of these is required. (View a sample spreadsheet)