Multi-Period Asset Pricing
Professor: Dmitry Kramkov
Course Number: 46941
Description: This course covers the theory of arbitrage-free pricing of derivativesecurities 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. The book "Stochastic Calculus for Finance I: The Binomial Asset Pricing Model" by Steven Shreve is recommended for additional reading.