Arbitrage-Free Pricing, Optimal Investment and Utility-Based Valuation

Dmitry Kramkov
Carnegie Mellon University
Department of Mathematical Sciences
kramkovatandrew.cmu.edu

Abstract: The mini-course will provide an overview of some "basic'' results in Mathematical Finance related to the problems of evaluation of derivatives and optimal capital allocation. It will be aimed at PhD students and faculty interested in Mathematical Finance.

Lecture Notes