203372618 Pliska Introduction to Mathematical Finance
Introduction to Mathematical Finance
Discrete Time Models
Stanley R. Pliska
2
Contents
Preface
iii
Acknowledgments
1
2
viii
Single Period Securities Markets
1.1 Model Specifications . . . . . . . . . . . . .
1.2 Arbitrage and other Economic Considerations
1.3 Risk Neutral Probability Measures . . . . . .
1.4 Valuation of Contingent Claims . . . . . . . .
1.5 Complete and Incomplete Markets . . . . . .
1.6 Risk and Return . . . . . . . . . . . . . . . .
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Single Period Consumption and Investment
2.1 Optimal Portfolios and Viability . . . . . . . . . . . . .
2.2 Risk Neutral Computational Approach . . . . . . . . . .
2.3 Consumption Investment Problems . . . . . . . . . . . .
2.4 Mean-Variance Portfolio Analysis . . . . . . . . . . . .
2.5 Portfolio Management with Short Sales Restrictions and straints . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.6 Optimal Portfolios in Incomplete Markets . . . . . . . .
2.7 Equilibrium Models . . . . . . . . . . . . . . . . . . . .
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Similar Con. . . . . . . .
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3 Multiperiod Securities Markets
3.1 Model Specifications, Filtrations, and Stochastic Processes
3.1.1 Information Structures . . . . . . . . . . . . . . .
3.1.2 Stochastic Process Models of Security Prices . . .
3.1.3 Trading Strategies . . . . . . . . . . . . . . . . .
3.1.4 Value Processes and Gains Processes . . . . . . .
3.2 Self-Financing Trading Strategies . . . . . . . . . . . . .
3.2.1 Discounted Prices . . . . . . . . . . . . . . . . . .
3.3 Return and Dividend Processes . . . . . . . . . . . . . . .
3.3.1 Returns for Discounted Price Processes . . . . . .
3.3.2 Returns for the Value and Gains Processes . . . . . i .
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Discrete Time Models
Stanley R. Pliska
2
Contents
Preface
iii
Acknowledgments
1
2
viii
Single Period Securities Markets
1.1 Model Specifications . . . . . . . . . . . . .
1.2 Arbitrage and other Economic Considerations
1.3 Risk Neutral Probability Measures . . . . . .
1.4 Valuation of Contingent Claims . . . . . . . .
1.5 Complete and Incomplete Markets . . . . . .
1.6 Risk and Return . . . . . . . . . . . . . . . .
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Single Period Consumption and Investment
2.1 Optimal Portfolios and Viability . . . . . . . . . . . . .
2.2 Risk Neutral Computational Approach . . . . . . . . . .
2.3 Consumption Investment Problems . . . . . . . . . . . .
2.4 Mean-Variance Portfolio Analysis . . . . . . . . . . . .
2.5 Portfolio Management with Short Sales Restrictions and straints . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.6 Optimal Portfolios in Incomplete Markets . . . . . . . .
2.7 Equilibrium Models . . . . . . . . . . . . . . . . . . . .
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Similar Con. . . . . . . .
. . . . . . . .
. . . . . . . .
3 Multiperiod Securities Markets
3.1 Model Specifications, Filtrations, and Stochastic Processes
3.1.1 Information Structures . . . . . . . . . . . . . . .
3.1.2 Stochastic Process Models of Security Prices . . .
3.1.3 Trading Strategies . . . . . . . . . . . . . . . . .
3.1.4 Value Processes and Gains Processes . . . . . . .
3.2 Self-Financing Trading Strategies . . . . . . . . . . . . .
3.2.1 Discounted Prices . . . . . . . . . . . . . . . . . .
3.3 Return and Dividend Processes . . . . . . . . . . . . . . .
3.3.1 Returns for Discounted Price Processes . . . . . .
3.3.2 Returns for the Value and Gains Processes . . . . . i .
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