MACF 401
Mathematical and Computational Finance I
Winter 2026 · Selected Topics in Probability, Statistics and Actuarial Mathematics
Topics
- One- and multi-period binomial no-arbitrage pricing
- State prices, changes of measure and Radon–Nikodym derivatives
- CAPM, utility maximization and optimal investment
- European, American and exotic derivatives
- Stopping times
- Interest-rate binomial models and bond derivatives
- Forward measure, Ho–Lee and Black–Derman–Toy models
- Forward and futures contracts
Readings
- Steven Shreve. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model. Springer, 2005.
- Self-contained lecture slides.
Sources
- Course catalogue ↗2026–2027
- Syllabus or course outline ↗Winter 2026
- Historical course outline ↗Winter 2025
- Historical course outline ↗Winter 2024
- Historical course outline ↗Winter 2023
- Historical course outline ↗Winter 2022
- Winter 2026 outline. Course header explicitly lists MACF 401, MAST 729, MAST 881. The content is based on Shreve, but purchasing the book is explicitly optional because the slides are self-contained.
- Historical source. Generic Textbook/References headings remain requirement-unspecified. Bibliographic editions and years are retained as printed; source inconsistencies may remain. Automated extraction with conservative filtering; distinct bibliography strings screened for false positives; entire syllabus not manually reviewed.
- Historical source. Generic Textbook/References headings remain requirement-unspecified. Bibliographic editions and years are retained as printed; source inconsistencies may remain. Automated extraction with conservative filtering; distinct bibliography strings screened for false positives; entire syllabus not manually reviewed.
- Historical source. Generic Textbook/References headings remain requirement-unspecified. Bibliographic editions and years are retained as printed; source inconsistencies may remain. Automated extraction with conservative filtering; distinct bibliography strings screened for false positives; entire syllabus not manually reviewed.
- Historical source. Generic Textbook/References headings remain requirement-unspecified. Bibliographic editions and years are retained as printed; source inconsistencies may remain. Automated extraction with conservative filtering; distinct bibliography strings screened for false positives; entire syllabus not manually reviewed.