FINANCIAL MATHEMATICS II

Undergraduate

This course explores foundational notions and models in financial mathematics. Topics include attainable payoffs, arbitrage, completeness, the law of one price, first and second Fundamental Theorems of Asset Pricing, introduction to discrete-time stochastic calculus, conditional expectations, risk-neutral martingale measures, dynamic replication in the binomial model for European, American and exotic options, general multi-asset multi-period models. PREREQUISITE: MATH 2610 and AMS 2410 or AMS 3420, and STAT 2910 Three lecture hours per week