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

Prerequisites: None