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MATH515 - 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. Prerequisite: STAT 471 or consent of the Department.

Fall Term 2017

Lecture Sections

Fall Term 2017 - LEC A1 (70226)

MWF 10:00:00 - 10:50:00 (CAB 457)
Instructor: tchoulli@ualberta.ca - Profile
Fall Term 2016

Lecture Sections

Fall Term 2016 - LEC B1 (66612)

MWF 09:00:00 - 09:50:00 (CAB 457)
Instructor: tchoulli@ualberta.ca - Profile
Fall Term 2015

Lecture Sections

Fall Term 2015 - LEC A1 (56234)

MWF 10:00:00 - 10:50:00 (CAB 373)
Instructor: melnikov@ualberta.ca - Profile
Fall Term 2014

Lecture Sections

Fall Term 2014 - LEC A1 (67041)

MWF 10:00:00 - 10:50:00 (CAB 373)
Instructor: abel@ualberta.ca - Profile
Fall Term 2013

Lecture Sections

Fall Term 2013 - LEC A1 (47855)

MWF 10:00:00 - 10:50:00 (CAB 373)
Instructor: abel@ualberta.ca - Profile
Fall Term 2012

Lecture Sections

Fall Term 2012 - LEC A1 (49160)

MWF 10:00:00 - 10:50:00 (CAB 657)
Instructor: tchoulli@ualberta.ca - Profile
Fall Term 2011

Lecture Sections

Fall Term 2011 - LEC A1 (39892)

MWF 10:00:00 - 10:50:00 (CAB 657)
Instructor: melnikov@ualberta.ca - Profile
Fall Term 2010

Lecture Sections

Fall Term 2010 - LEC A1 (41427)

MWF 10:00:00 - 10:50:00 (CAB 657)
Instructor: cfrei@ualberta.ca - Profile
Fall Term 2009

Lecture Sections

Fall Term 2009 - LEC A1 (36602)

MWF 10:00:00 - 10:50:00 (CAB 657)
Instructor: abel@ualberta.ca - Profile
Winter Term 2009

Lecture Sections

Winter Term 2009 - LEC Q1 (80231)

MWF 14:00:00 - 14:50:00 (CAB 457)
Instructor: melnikov@ualberta.ca - Profile
Fall Term 2007

Lecture Sections

Fall Term 2007 - LEC B1 (99723)

MWF 10:00:00 - 10:50:00 (CAB 657)
Instructor: abel@ualberta.ca - Profile