Introduction to mathematical Finance

Stanley R. Pliska

Preface

Acknowledgments

1 Single Period Securities Markets                               1

2 Single Period Consumption and Investment                      33

3 Multi-period 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

Introduction to mathematical Finance

Stanley R. Pliska

Preface

Acknowledgments

1 Single Period Securities Markets                               1

2 Single Period Consumption and Investment                      33

3 Multi-period 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

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