Course Page

Multi-Period Asset Pricing

Course Number:

46941


Program

MSCF


Concentrations

MSCF


Course Description

This course introduces the concepts of arbitrage and risk-neutral pricing within the context of multi-period financial models. Key elements of stochastic calculus such as Markov processes, martingales, filtration and stopping times will be developed within this context. Prerequisite: Probability 46-921.

Format

Lecture: 100min/wk and Recitation: 50min/wk


Pre-requisites

None