Customer Reviews

Introduction to Mathematical Finance: Discrete Time Models

5 star:		(2)
4 star:		(1)
3 star:		(1)
2 star:		(0)
1 star:		(1)

 

 

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.

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.

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.

This book deserves to be on all Quant book shelves. I find myself often returning to this source, as it cuts to the chase of many elaborations in the mathematical finance literature. The kernel ideas behind many innovations can be laid bare by small examples in discrete time. A clear foundational exposition.

I am a vet in finance but new to mathematical finance.

Pliska's book is dense, but the density ends up as the primary virtue, because all you have to do is master the vocabulary and follow the logic.

It is actually brilliant.