Carnegie Mellon University

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:

  1. Arbitrage and replication.
  2. Risk-neutral measures and martingales.
  3. Fundamental theorems of asset pricing.
  4. State and Markov processes.
  5. American options and optimal stopping.
  6. Backward induction.

A complete set of lecture notes is provided.