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21-370 Discrete-Time Finance

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This course continues the discussion of mathematical finance begun in 21-270 Introduction to Mathematical Finance. We will extend the one period binomial model, which was discussed extensively in 21-270, to a multi-period setting.

We will examine the concepts of "arbitrage-free" and "complete" in this new setting. We will introduct the concepts of backward induction and state processes to price derivative securities with this multiperiod binomial model.

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The description gives a brief overview of the topics we will discuss this semester. The learning objectives give an itemized list of the skills you should be developing. The list of learning objectives may give you some useful direction in terms of studying for exams.

Course Information

Times and rooms for lecture and recitation sections.


Provides information about the course: posting of homework, changes to office hours, times and locations for review sessions, and general announcements.


List of topics to be covered each week, with links to reading assignments and homework.


Information about the calculation of grades, dates for exams, policies for late assignments and other matters. Familiarize yourself with these policies early in the semester.