Term1/ Term2 / Term 3 will be common for all PGDM
TERM 4:
Asset Pricing I : This course provides a general introduction to asset pricing, one of the most fundamental topics in finance. The theoretical underpinnings of informational efficiency, decision making under certainty, risk preferences, asset allocation models are discussed in detail; the course also delves into the empirical performance of these models.
Financial Econometrics I : This course covers the basic statistical techniques that are commonly used in quantitative finance. These include classical linear regression model, non-linear and multiple equation models etc.
Financial Derivatives: This course exposes the students to the exciting world of derivative instruments. A range of instruments, ranging from simple futures to exotic options, are introduced and their applications to structuring, trading and risk management are discussed.
Stochastic Calculus for Finance: This covers lays a strong foundation in probability, measure theory, random process, stochastic calculus, and stochastic differential equations. These key concepts are introduced in a completely applied framework; fundamental results in derivatives pricing such as Black-Scholes would be derived from first principles.
TERM 5:
Asset Pricing II: This course builds upon the first Asset Pricing course. After introducing multifactor models such as APT, the course considers implementation of factor pricing models that are popular in finance. Students are then provided with a time-series perspective in studying the issue of predictability in asset returns, culminating in a detailed discussion on time varying risk and risk premiums and how important it is to model them in a consistent way.
Empirical Corporate Finance: This course introduces the methodology used in empirical corporate finance research. Uniquely structured around seminal contributions and important research papers, this course provides students with a perspective on how econometric methods are used in answering standard corporate finance questions.
Fixed Income and Credit Derivatives: This course explores the design and pricing of a wide range of fixed income and credit derivative instruments - swaps, caps, floors, credit default swaps, and structured products built around these products such as range accruals, TARNs, etc. Various pricing models, ranging from the basic Vasicek, CIR models to the more advanced models such as HJM, LMM are subsequently discussed.
Simulation Techniques for Finance: The objectives of the course are two-fold: to provide a rigorous hands-on introduction to Monte Carlo simulation techniques and to introduce students to the recent literature on the use of Monte Carlo techniques in pricing contingent claims and risk management. Matlab will be used for all simulation exercises.
TERM 6:
Case Studies in Financial Engineering: The course uses a series of case studies that exposes students to a range of situations that demand creative financial engineering - managing tax outflows, insuring portfolios, reducing the borrowing cost, securitizing non-financial assets etc. Students will not only have to come up with an innovative solution that meets the clients' requirements, but also have to value/price the structure correctly. This course builds on coursework from the first two terms.
Financial Econometrics II: This course revisits some of the basic ideas introduced in Financial Econometrics I, with the aim of obtaining a more rigorous understanding of financial time series models. ARMA processes, time series forecasting, maximum likelihood estimation (MLE), Generalized Method of Moments (GMM) and models of conditional heteroskedasticity (GARCH and others) will be discussed in great deptg.
Insurance Mathematics: The goal of this course is to give an exposition of the basic modeling of insurance processes and the tools involved in actuarial pricing. The aim is to convey this material using basic probability theory. Topics covered include premium calculation principles, retentions and reinsurance, calculation of reserves and Insurance derivatives.
Advanced Financial Risk Management: The course introduces students to various risks - financial and non-financial - faced by corporates and banks. Students are then provided with detailed illustrations of real-life implementation of tools that can be used to measure and mitigate these risks.
