MATH 426 Finance in Discrete Time
The course gives a modern overview of the main concepts of mathematical finance using discrete-time stochastic models. The course focuses on the Cox-Ross-Rubinstein (binomial) model. Topics include no-arbitrage pricing of financial derivatives, replication, hedging, self-financed portfolios, risk-neutral valuation, stopping times, and portfolio optimization. As the main application, European and American options in discrete time are studied, and the numerical algorithms for their pricing are presented.
Distribution
(3,0,3)Offered
Fall Spring