Introduction To Mathematical Finance(Pliska)

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1、IntroductiontoMathematicalFinanceDiscreteTimeModelsStanleyR.Pliska2ContentsPrefaceiiiAcknowledgmentsviii1SinglePeriodSecuritiesMarkets11.1ModelSpecifications...........................11.2ArbitrageandotherEconomicConsiderations..............41.3RiskNeutralPr

2、obabilityMeasures....................111.4ValuationofContingentClaims......................161.5CompleteandIncompleteMarkets....................211.6RiskandReturn..............................282SinglePeriodConsumptionandInvestment322.1OptimalPortfoliosandV

3、iability.....................322.2RiskNeutralComputationalApproach..................352.3ConsumptionInvestmentProblems....................392.4Mean-VariancePortfolioAnalysis....................452.5PortfolioManagementwithShortSalesRestrictionsandSimilarCon-

4、straints...................................502.6OptimalPortfoliosinIncompleteMarkets................562.7EquilibriumModels............................623MultiperiodSecuritiesMarkets693.1ModelSpecifications,Filtrations,andStochasticProcesses.......693.1.1Info

5、rmationStructures......................703.1.2StochasticProcessModelsofSecurityPrices..........733.1.3TradingStrategies........................763.1.4ValueProcessesandGainsProcesses..............773.2Self-FinancingTradingStrategies....................783.2.

6、1DiscountedPrices.........................793.3ReturnandDividendProcesses......................803.3.1ReturnsforDiscountedPriceProcesses.............813.3.2ReturnsfortheValueandGainsProcesses............81iiiCONTENTS3.3.3DividendProcesses...................

7、.....833.4ConditionalExpectationandMartingales................843.5EconomicConsiderations.........................883.6MarkovModels..............................1024Options,Futures,andOtherDerivatives1074.1ContingentClaims............................1074.2E

8、uropeanOptionsUndertheBinomialModel..............1154.3AmericanOptions.............................1194.4CompleteandIncompleteMarkets....................1274.5ForwardPricesandCashStreamValuation.......