MATH 515 - 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. Prerequisite: STAT 471 or consent of the Department. Note: This course may not be taken for credit if credit has already been obtained in MATH 415.

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