Discrete TimeFinance

ArXiv ID: ssrn-976589 “View on arXiv”

Authors: Unknown

Abstract

These are my Lecture Notes for a course in Discrete Time Finance which I taught in the Winter term 2005 at the University of Leeds. I am aware that the notes ar

Keywords: Discrete Time Finance, Derivatives Pricing, Risk Management, Stochastic Calculus, Derivatives

Complexity vs Empirical Score

• Math Complexity: 8.5/10
• Empirical Rigor: 1.0/10
• Quadrant: Lab Rats
• Why: The content is heavily theoretical, focused on rigorous mathematical derivations and proofs common in academic finance courses, while there is no mention of data, backtests, or practical implementation.

  flowchart TD
    A["Research Goal: Pricing & Hedging in<br>Discrete Time Models"] --> B["Key Inputs: Probability Space,<br>Adapted Processes, Filtration"]
    B --> C["Methodology: Dynamic Programming<br>& Martingale Representation"]
    C --> D["Computational Process:<br>Recursive Pricing Algorithms"]
    D --> E["Key Outcome 1: Fundamental<br>Theorem of Asset Pricing"]
    D --> F["Key Outcome 2: Optimal<br>Discrete Hedging Strategies"]