Probability And Finance

Basic information

Workload: 

60 hours

Prerequisite: 

Does not exist.

Syllabus: 

Probability spaces: sigma-algebra, measurement, random variables. Expected value and integrability. Convergences. Conditional hope and independence. Introduction to martingales.   
Financial derivatives: European, American, exotic. No-arbitrage principle. Risk-neutral measure.

Derivatives pricing. Binomial tree. Pricing of American derivatives.  

 

Teaching Plan

Bibliography

Mandatory: 

•    Rosenthal, J. (2006). First Look at Rigorous Probability Theory (2nd). World Scientific. 
•    Shreve, S. (2004). Stochastic Calculus for Finance I: The Binomial Asset Pricing Model. Springer Finance