May 15, 2024  
University of Alberta Calendar 2024-2025 
    
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University of Alberta Calendar 2024-2025

MATH 515 - Mathematical Finance I

Course Career Graduate
Units 3
Approved Hours 3-0-0
Fee index 6
Faculty Science
Department Mathematical & Statistical Sci
Typically Offered either term

Description
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. Prerequisite: STAT 471 or consent of the Department. Note: This course may not be taken for credit if credit has already been obtained in MATH 415.