Multi-Period Asset Pricing
Course Number: 46941
Concentration: Mathematics
Semester(s): Fall, Mini 2
Required/Elective: Required
Prerequisite(s): None
This course covers the theory of arbitrage-free pricing of derivative securities for multi-period financial models. The list of topics includes:
- Arbitrage and replication.
- Risk-neutral measures and martingales.
- Fundamental theorems of asset pricing.
- State and Markov processes.
- American options and optimal stopping.
- Backward induction.
A complete set of lecture notes is provided.