Paper: SSRN 976589

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

Complexity vs Empirical Score

  • Math Complexity: 8.5/10
  • Empirical Rigor: 1.0/10
  • Quadrant: Lab Rats — theoretically deep, empirically untested

Why this score: 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.

Research Flowchart

  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"]