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Discrete-time Security Markets

  • Marek Musiela
  • Marek Rutkowski
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 36)

This chapter deals mostly with finite markets – that is, discrete-time models of financial markets in which all relevant quantities take a finite number of values. Essentially, we follow here the approach of Harrison and Pliska (1981); a more exhaustive analysis of finite markets can be found in Taqqu and Willinger (1987). An excellent introduction to discrete-time financial mathematics is given by Pliska (1997) and Shreve (2004). A monograph by Föllmer and Schied (2000) is the most comprehensive source in the area.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Marek Musiela
    • 1
  • Marek Rutkowski
    • 2
  1. 1.BNP ParibasLondonUK
  2. 2.Inst. MathematicsTechnical University WarszawaWarszawaPoland

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