2018-2019 Undergraduate Catalog 
    Jun 30, 2022  
2018-2019 Undergraduate Catalog [ARCHIVED CATALOG]

MGT415: Discrete Time Finance

3 Credit(s)
This course introduces the Black-Scholes option pricing formula, shows how the binomial model provides a discretization of this formula, and uses this connection to fit the binomial model to data. Following this analysis, the course will discuss Continuous Time Finance by examining in the binomial model, the mathematical technology of filtrations, martingales, Markov processes, and risk neutral measures. Additional topics will include American options, expected utility maximization, the Fundamental Theorems of Asset Pricing in a multi-period setting, and term structure modeling.
Prerequisite(s): MGT 345  MTH 203 , and STA 201  or STA 173