46-941 Multi-Period Asset Pricing

6 units, Carnegie Mellon University

Description This course covers the theory of arbitragefree pricing of derivative securities for multiperiod financial models. The list of topics includes 1. Arbitrage and replication. 2. Riskneutral measures and martingales. 3. Fundamental theorems of asset pricing. 4. State and Markov processes. 5. American options and optimal stopping. 6. Backward induction. A complete set of lecture notes is provided. Text The book Stochastic Calculus for Finance I The Binomial Asset Pricing Model by Steven Shreve is recommended for additional reading.

Prerequisites: none listed

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