Semester(s) Offered:
Prerequisite(s):
MAP 3105 Matrix and Linear Algebra, MAC 2313 Calculus III, or consent of instructor.
Textbook(s):
Introduction to Mathematical Finance: Discrete Time Models, by Stanley R. Pliska
Description:
Single-period market model, arbitrage opportunity, risk-neutral probability measure, completeness of market, mean-variance portfolio analysis, multi-period market and binomial tree model, contingent claim pricing.