Discrete-Time Financial Modelling - FMA 675

This course introduces the most common financial contracts that are traded on exchanges between the financial institutions and their clients. It discusses Arbitrage pricing within the framework on one period model; Valuation and hedging of European and American options; The Cox-Ross-Rubinstein Model; Arbitrage free discrete time models of spot and futures markets; Fundamental Theorems of Asset Pricing for a finite model of security market. Prerequisites: MAT 670, FMA 640.