Course Unit


Mathematics of finance, discrete models

  • Unit Coordinator: Maciej Sablik
  • Programme: Double Degrees
  • ECTS Credits: 6
  • Semester: 2
  • Year: 2
  • Campus: University of Silesia in Katowice
  • Language: English
  • Content:

    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 loor, models with infinite set of simple events.

  • Reading list:

    The lecture will be based on a book by Stanley R. Pliska Introduction to Mathematical Finance: Discrete Time Models, Blackwell Publishing Ltd, Oxford 2004.


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