http://tigger.uic.edu/~srpliska/


Table of Contents:
Chapter 1 Single Period Securities Markets

• Model Specifications
• Arbitrage and Other Economic Considerations
• Risk Neutral Probability Measures
• Valuation of Contingent Claims
• Complete and Incomplete Markets
• Risk and Return

Chapter 2 Single Period Consumption and Investment

• Optimal Portfolios and Viability
• Risk Neutral Computational Approach
• Consumption Investment Problems
• Mean-Variance Portfolio Analysis
• Portfolio Management with Short Sales Constraints and Similar Restrictions
• Optimal Portfolios in Incomplete Markets
• Equilibrium Models

Chapter 3 Multiperiod Securities Markets

• Model Specifications, Filtrations, and Stochastic Processes
• Return and Dividend Processes
• Conditional Expectation and Martingales
• Economic Considerations
• The Binomial Model
• Markov Models

Chapter 4 Options, Futures, and Other Derivatives

• Contingent Claims
• European Options Under the Binomial Model
• American Options
• Complete and Incomplete Markets
• Forward Prices and Cash Stream Valuation
• Futures

Chapter 5 Optimal Consumption and Investment Problems

• Optimal Portfolios and Dynamic Programming
• Optimal Portfolios and Martingale 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

Chapter 6 Bonds and Interest Rate Derivatives

• The Basic Term Structure Model
• Lattice, Markov Chain Models
• Yield Curve Models
• Forward Risk Adjusted Probability Measures
• Coupon Bonds and Bond Options
• Swaps and Swaptions
• Caps and Floors

Chapter 7 Models with Infinite Sample Spaces

• Finite Horizon Models
• Infinite Horizon Models