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Introduction to Mathematical Finance: Discrete Time Models Stanley R. Pliska Pliska may be a genius, however this book is not an “introduction” to anything. INTRO TO MATHEMATICAL FINANCE: DISCRETE TIME MODELS (H/C). PLISKA S. ISBN: Temporary Out of Stock – Estimated delivery within. Introduction to mathematical finance: discrete time models /‚Äč Stanley R. Pliska. Author. Pliska, Stanley R., Published. Oxford [England] ; Malden, Mass.

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The lowest-priced brand-new, unused, unopened, undamaged item in its original packaging where packaging is applicable.

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The main subjects are derivatives and portfolio management. The book is intended to be used as a text by advanced undergraduates and beginning graduate students. It is also likely to be useful to practicing financial engineers, portfolio manager, and actuaries who wish to acquire a fundamental understanding of financial theory. The book makes heavy use of mathematics, but not at an advanced level. Various mathematical concepts are developed as needed, and computational examples are emphasized.

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Be the first to write a review. About this product Synopsis The purpose of this book is to provide a rigorous yet accessible introduction to the modern financial theory of security markets. This book is designed to serve as a textbook for advanced undergraduate and beginning graduate students who seek a rigorous yet accessible introduction to the modern financial theory of security markets. This is a subject that is taught in both business schools and mathematical science departments.


The full theory of security markets requires knowledge of continuous time stochastic process models, measure theory, mathematical economics, and similar prerequisites which are generally not learned before the advanced graduate level. Hence a proper study of the full theory of security markets requires several years of graduate study.

However, by restricting attention to discrete time models of security prices it is possible to acquire mathematics. In particular, while living in a discrete time world it is possible to learn virtually all of the important financial concepts. The purpose of this book is to provide such an introductory study. There is still a lot of mathematics in this book. The reader should be comfortable with calculus, linear algebra, and probability theory that is based on calculus, but not necessarily measure theory.

Random variables and expected values will be playing important roles. The book will develop important notions concerning discrete time stochastic processes; prior knowledge here will be useful but is not required.

Presumably the reader will be interested in finance and thus will come with some rudimentary knowledge of stocks, bonds, options, and financial decision making. The last topic involves utility theory, of course; hopefully the reader will be familiar with this mathemtaical related topics of introductory microeconomic theory.

Some exposure to linear programming would be advantageous, but not necessary. The aim of this book is moxels provide a rigorous treatment of the financial theory while maintaining a casual style.

Readers seeking institutional knowledge about securities, derivatives, and portfolio management should look elsewhere, but those seeking a careful introduction to financial engineering will find that this is a useful and comprehensive introduction to the subject.

This volume mathemxtical designed to serve as a textbook for advanced undergraduate and beginning graduate students who seek a rigorous yet accessible introduction to the modern financial theory of security markets.



Table Of Content Part I: Single Period Securities Markets: Arbitrage and Other Economic Consideration. Risk Neutral Probability Measures. Valuation of Contingent Claims. Complete and Incomplete Markets. Single Period Consumption and Investment: Optimal Portfolios and Viability. Risk Neutral Computational Approach.

Optimal Portfolios in Incomplete Markets. Model Specifications, Filtrations, and Stochastic Processes. Stochastic Process Models of Security Prices. Value Processes and Gains Processes. Return and Dividend Maghematical. Conditional Expectation and Martingales.

Introduction to Mathematical Finance : Discrete Time Models

Options, Futures, and Other Derivatives: European Options Under the Binomial Model. Forward Prices and Cash Stream Valuation. Optimal Consumption and Investment Problems: Optimal Portfolios and Dynamic Programming. Optimal Portfolios and Martingals Methods.

Consumption-Investment and Dynamic Programming. Consumption-Investment and Martingale Methods. Maximum Utility from Consumption and Terminal Wealth. Optimal Portfolios with Constraints. Optimal Consumption-Investment with Constraints. Portfolio Optimization in Incomplete Markets. Bonds and Interest Rate Derivatives: The Basic Term Structure Modsls.

Lattice, Markov Chain Models. Forward Risk Adjusted Probability Measures. Coupon Bonds and Bond Options.

The bulk of the book describes a model with finitely many, discrete trading dates, and a finite sample space, thus it avoids the technical difficulties associated with continuous time models.

The major strength of this book is its careful balance of mathematical rigor and intuition. Show More Show Less. Any Condition Any Condition. People who bought this also bought. A Comprehensive Treatment by Roman N. Makarov and Giuseppe CampolietiHardcover. No ratings or reviews yet. Best Selling in Textbooks, Education See all. Harry Potter Years by J. RowlingHardcover Save on Textbooks, Education Trending price is based on inntroduction over last 90 days. You may also like.

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