Mathematics | Markets and Multi-Period Asset Pricing
M551 | ALL | Tba


M551 Markets and Multi-Period Asset Pricing (3 cr.) P: M463, M343, or
equivalent. The concepts of arbitrage and risk-neutral pricing are
introduced within the context of dynamic models of stock prices, bond
prices, and currency exchange rates. Specific models include multi-
period binomial models, Markov processes, Brownian motion, and
martingales.