MATH 415 - Mathematical Finance I

3 units (fi 6)(EITHER, 3-0-0)

Faculty of Science

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. Corequisite: STAT 471 or consent of the Department.

No syllabi

Fall Term 2024


Section Capacity Class times Login to view Instructor(s) and Location
2024-09-03 - 2024-12-09 (MWF)
10:00 - 10:50