Introduction to Mathematical Finance

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Sprache: Englisch

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Beschreibung

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 and related topics of introductory microeconomic theory. Some exposure to linear programming would be advantageous, but not necessary.

The aim of this book is to 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.

Über den Autor

Stanley Pliska is the founding editor of the scholarly journal Mathematical Finance. He is noted for his fundamental research on the mathematical and economic theory of security prices, especially his development of important bridges between stochastic calculus and arbitrage pricing theory as well as his discovery of the risk neutral computational approach for portfolio optimization problems. He is currently teaching and researching in the areas of interest rate derivatives and dynamic asset allocation.

Inhaltsverzeichnis

Preface v

Acknowledgments x

1 Single Period Securities Markets 1

2 Single Period Consumption and Investment 33

3 Multiperiod Securities Markets 72

4 Options, Futures, and Other Derivatives 112

5 Optimal Consumption and Investment Problems 149

6 Bonds and Interest Rate Derivatives 200

7 Models with Infinite Sample Spaces 238

Appendix: Linear Programming 250

Bibliography 254

Index 257

Details

Erscheinungsjahr:	1997
Fachbereich:	Volkswirtschaft
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
ISBN-13:	9781557869456
ISBN-10:	1557869456
Sprache:	Englisch
Einband:	Gebunden
Autor:	Pliska, Stanley R
Hersteller:	Wiley
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	240 x 161 x 19 mm
Von/Mit:	Stanley R Pliska
Erscheinungsdatum:	07.07.1997
Gewicht:	0,583 kg

Artikel-ID: 108013724