Multi-Period Asset Pricing
Professor: Dmitry Kramkov
Course Number: 46941
Description: 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.
Text: The book "Stochastic Calculus for Finance I: The Binomial Asset Pricing Model" by Steven Shreve is recommended for additional reading.