Finance in Discrete Time



The course gives a modern overview of the main concepts in mathematical finance in discrete-time stochastic models. The course will focus on the Cox-Ross-Rubinstein (binomial) model. Topics include no-arbitrage pricing of financial derivatives, replication, hedging, self-financed portfolios, risk-neutral probability measures, and the Black-Scholes-Merton option pricing models. European and American options in discrete time and the numerical algorithms for their evaluation will also be presented.

Course period12/01/20 → …