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MATH415 - Mathematical Finance I

Review of probability tools for discrete financial analysis; Conditional probabilities/expectations. Filtrations, adapted and predictable processes. Martingales, submartingales and supermartingales in discrete-time. Doob decomposition for supermartingales. Predictable representation. Discrete- time financial modes: Arbitrage, complete and incomplete markets. Self-financing property, value and gain processes. Valuation of contingent claims. Binomial model: Model specifications, Perfect hedging. Utility functions and consumption/ investment problems. European and American options in discrete time. Futures and forward contracts in discrete time. Transition to the continuous-time framework. Corequisite: STAT 471 or consent of the Department.

Fall Term 2020

Lecture Sections

Fall Term 2020 - LEC A1 (76606)

MWF 10:00:00 - 10:50:00 (CAB 373)

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