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.
Offered
Fall Spring