Mar 28, 2024  
University of Alberta Calendar 2019-2020 
    
University of Alberta Calendar 2019-2020 [ARCHIVED CATALOG]

MATH 415 - Mathematical Finance I


★ 3 (fi 6) (either term, 3-0-0) Review of probability tools for discrete financial analysis; Conditional probabilities/expectations. Filtrations, adapted and predictable processes. Martingales, submartingales and supermartingales in discrete-time. Doob decomposition for supermartingales. Predictable representation. Discrete- time financial modes: Arbitrage, complete and incomplete markets. Self-financing property, value and gain processes. Valuation of contingent claims. Binomial model: Model specifications, Perfect hedging. Utility functions and consumption/ investment problems. European and American options in discrete time. Futures and forward contracts in discrete time. Transition to the continuous-time framework. Corequisite: STAT 471 or consent of the Department.