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MA570

Financial Mathematics in Discrete Time

0.5 credits · Graduate

Fall 2018

Topics

  • Discrete-time pricing and hedging
  • arbitrage and martingale measures
  • market completeness
  • contingent claims
  • American options
  • introductory Black–Scholes methods.

Readings

  • Financial Mathematics: A Comprehensive Treatment — G. Campolieti and R. N. Makarov (2014).
    Listed
Sources