MATH 426 Finance in Discrete Time
The course gives a modern overview of the main concepts in mathematical finance in discrete-time
stochastic models. The course will focus on the Cox-Ross-Rubinstein (binomial) model. Topics include
no-arbitrage pricing of financial derivatives, replication, hedging, self-financed portfolios, risk-neutral
probability measures, and the Black-Scholes-Merton option pricing models. European and American options in discrete time and the numerical algorithms for their evaluation will also be presented.
Prerequisite
MATH 212, MATH 214, MATH 231, MATH 243, MATH 245
Offered
Fall Spring