Page 133 - Academic Handbook FoS+29june

production inventory and to maintenance problems, feedback control in inventory management; Dynamic Programming: Bellman's
principle of optimality, characteristics of a dynamic programming problem, solutions of simple classical problems with single
constraint. Solution to linear programming problem and integer programming problem using dynamic programming approach;
Applications of Dynamic Programming: Shortest path through a network, production planning, inventory problems, investment
planning, cargo loading and knapsack problems.
References:
1. J. K. Sharma, Operations Research: Theory and Applications, McMillan India Ltd. 2013.
nd
2. S. Axsater. Inventory Control, International Series in Operations Research & Management Science. Springer pub., 2
edition. 2006.
3. Zipkin, Foundations of Inventory Management, Mc-Graw Hill Inc., 2000.
st
4. R. E. Larson and J. l. casti, "Principles of Dynamic Programming", 1 edition, 1982.
5. F. Naddor, Inventory System, John Wiley & Sons, Inc. New York, 1966.

MA2242: INFORMATION THEORY [3 1 0 4]
Introduction: Mathematical theory of information theory in communication system, entropy and its properties, measures of
information, self-information, mutual information, average information, Csiszar’s f-divergence measure and their applications;
Discrete Memoryless Channels: Classification of channels, calculation of channel capacity, decoding scheme-the ideal observer, the
time-discrete Guassian channel, fundamental theorem of information theory, uncertainty of absolutely continuous random
variable, the converse to the coding theorem for time-discrete Gaussian channel, the time-continuous Gaussian channel, band–
limit channels; Source Model and Coding: Channels model and coding, unique decipherable codes and problems, condition of
instantaneous codes, code word length, kraft inequality, noiseless coding theorem, Construction of Codes: Shannon Fano, Shannon
binary and Huffman codes; Error Correcting Codes: Minimum distance principle, relation between distance and error correcting
properties of codes, the hamming bound, parity check coding, bounds on the error correcting ability of parity check codes.
References:
1. R.G. Gallager, Information theory and Reliable Communication, Wiley India, 2002.
2. R. Ash, Information Theory, John Wiley & Sons, 2012.
3. W.W. Peterson and E.J. Weldon, Error Correcting Codes, MIT Press, 1972.
4. R. Bose, Information Theory, Coding and Crptography, TMH, 2007.
5. S. Gravano, Introduction to Error Control Codes, Oxford University Press, 2007.

MA2243: MATHEMATICAL FINANCE [3 1 0 4]
Basic Principles: Comparison, arbitrage and risk aversion, interest (simple and compound, discrete and continuous), time value of
money, inflation, net present value, internal rate of return (calculation by bisection and Newton-Raphson methods), comparison of
NPV and IRR, bonds, bond prices and yields, Macaulay and modified duration; Term Structure of Interest Rates: spot and forward
rates, explanations of term structure, running present value, floating-rate bonds, immunization, convexity, putable and callable
bonds, asset return, short selling, portfolio return, (brief introduction to expectation, variance, covariance and correlation), random
returns, portfolio mean return and variance, diversification, portfolio diagram, feasible set; Markowitz Model: (review of Lagrange
multipliers for 1 and 2 constraints), Two fund theorem, risk free assets, one fund theorem, capital market line, Sharpe index, Capital
Asset Pricing Model (CAPM), betas of stocks and portfolios; Security Market Line: use of CAPM in investment analysis and as a
pricing formula, Jensen’s index.
References:
1. D. G. Luenberger, Investment Science, Oxford University Press, Delhi, 1998.
2. J. C. Hull, Options, Futures and Other Derivatives, 6th Ed., Prentice-Hall India, Indian reprint, 2006.
3. S. Ross, An Elementary Introduction to Mathematical Finance, 2nd Ed., Cambridge University Press, USA, 2003.

DSE – III (A)
MA3140: BASIC ECONOMETRICS [2 1 0 3]
Introduction: Definition and scope of econometrics, methodology of econometric research; Simple Linear Regression Model:
Assumptions, estimation (through OLS method), desirable properties of estimators, Gauss- Markov theorem, interpretation of
regression coefficients, testing of regression coefficients, test for regression as a whole, coefficient of determination; Multiple
Regression Analysis: problem of estimation and problem of inference; Problems in OLS Estimation: Multicollinearity, nature,
consequences, detection and remedial measures. Heterosedasticity: Nature, consequences, detection and remedial measures,
autocorrelation: concept, consequences of autocorrelated disturbances, detection of autocorrelation, their estimation and testing,
estimation using Durbin-Watson statistic.
References:
1. S.P. Singh, A.K Parashar and H.P. Singh, Econometrics, S. Chand and Company Ltd, New Delhi, 2000.
th
2. D.N. Gujarati, Basic Econometrics, 4 edition, McGraw−Hill, New Delhi, 2004.
3. W. H. Greene, Econometric Analysis, Pearson, 8th edition, 2017.
4. W.F. Griffith, R.H. Hill and G.G. Judge, Learning and Practicing Econometrics, John Wiley, New York, 1993.
th
5. J. Johnston, Econometric Methods, McGraw Hill, New York, 4 edition, 1997.
116