Carnegie Mellon University

Multi-Period Asset Pricing

Professor: Dmitry Kramkov

Department: Math

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:

  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. The book "Stochastic Calculus for Finance I: The Binomial Asset Pricing Model" by Steven Shreve is recommended for additional reading.

Prerequisites: 46921