Topics:In our lecture we present an
introduction to the mathematics of finance, and in particular the models with discrete time.
We are going
to discuss, among others, the following questions: mathematical finance in one
period, the fundamental theorem of asset pricing, the multi-period market
model, arbitrage opportunities and martingale measures, binomial trees and the
CRR model, introduction to optimal stopping and American options, risk
measures, indifference valuation and optimal derivative design, optimal risk
transfer in principal agent games, bonds and contracts for bonds, contracts swap
and swaptions, contracts cap and floor, models with
infinite set of simple events.
Books:The lecture will be based on a
book by Stanley R. Pliska Introduction to Mathematical Finance: Disrete
Time Models Blackwell Publishing Ltd, Oxford 2004.
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Last modified on Sunday, 13 March 2016 22:04