Martingales in financial mathematics
MATH-470
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Slides
- Martingales and the FTAP based on Finite Probability Spaces (File)
- The Snell envelope, optimal stopping, and American options on finite probability spaces (File)
- Geometric Brownian motion and the Black-Scholes model (File)
- Comments on the Black-Scholes model (File)
- Remarks on the theory of arbitrage for continuous-time models (File)
- Model Extensions (File)
Supplementary Materials
Exercises
- Exercises 1 (File)
- Exercises 2 (File)
- Exercises 3 (File)
- Exercises 4 (File)
- Exercises 5 (File)
- Exercises 6 (File)
- Exercises 7 (File)
- Exercises 8 (File)
- Exericses 9 (File)
Solutions
- Solutions 1 (File)
- Soludtions 2 (File)
- Solutions 3 (File)
- Solutions 4 (File)
- Solutions 5 (File)
- Solutions 6 (File)
- Solutions 7 (File)
- Solutions 8 (File)
- Solutions 9 (File)