Introduction to Mathematical Finance: Discrete Time Models [Hardcover]

Stanley R. Pliska (Author)

Book Description

ISBN-10: 1557869456 | ISBN-13: 978-1557869456 | Publication Date: July 14, 1997 | Edition: 1

The purpose of this book is to provide a rigorous yet accessible introduction to the modern financial theory of security markets. The main subjects are derivatives and portfolio management. The book is intended to be used as a text by advanced undergraduates and beginning graduate students. It is also likely to be useful to practicing financial engineers, portfolio manager, and actuaries who wish to acquire a fundamental understanding of financial theory. The book makes heavy use of mathematics, but not at an advanced level. Various mathematical concepts are developed as needed, and computational examples are emphasized.

Editorial Reviews

Review

"I believe that this is an excellent text for undergraduate or MBA classes on Mathematical Finance. The bulk of the book describes a model with finitely many, discrete trading dates, and a finite sample space, thus it avoids the technical difficulties associated with continuous time models. The major strength of this book is its careful balance of mathematical rigor and intuition." Peter Lakner, New York University

From the Back Cover

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.

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Product Details

• Hardcover: 262 pages
• Publisher: Wiley; 1 edition (July 14, 1997)
• Language: English
• ISBN-10: 1557869456
• ISBN-13: 978-1557869456
• Product Dimensions: 6.3 x 1 x 9.3 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 3.6 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #583,609 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

24 of 25 people found the following review helpful:

4.0 out of 5 stars Clear & concise, June 4, 2000

By A Customer

This review is from: Introduction to Mathematical Finance: Discrete Time Models (Hardcover)

Pliska's book lays out the fundamentals of discrete time models in a clear and concise manner. The book is mostly self contained and well supported with examples that enhance understanding. I read it as a part of my introductory Phd finance course along with Theory of Financial Decision Making by Ingersoll and Foundations for Financial Economics Huang & Litzenberger (not direct competitors) and found Pliska's book to be the most understandable of the three.

4 of 5 people found the following review helpful:

1.0 out of 5 stars Unreadable, October 1, 2007

By 

Student's T distribution (Cape Town, South Africa) - See all my reviews

This review is from: Introduction to Mathematical Finance: Discrete Time Models (Hardcover)

Pliska may be a genius, however this book is not an "introduction" to anything. It is very information dense and incredibly difficult to follow on a undergrad level. Expect lots of theorems, equations, badly laid-out text and formulae - very little practical application and common sense explanation of what he's trying to do.

3.0 out of 5 stars Not perfect but acceptable, October 13, 2011

By 

Figoliu (Chicago) - See all my reviews

This review is from: Introduction to Mathematical Finance: Discrete Time Models (Hardcover)

This book is exactly an introduction to the math finance world. It uses simple discrete time model to express its ideas. But the it is not that readable. Sometimes I am confused which part of theorem or result should be proved and how to prove it with math or literature words. Because it is there without clear proceeds or process. And another part that I dislike is the author sometimes assume that you have adequate knowledge on some parts. But for a person learning introductory theory, the book should have more basics or induction in its difficult part.