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jfuqua
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Prices in financial markets / Michael U. Dothan

February 24th, 2006, 3:29 pm

For someone looking for a book that gives the discrete and continuous time math of financial marketsDothan's 'Prices in Financial Markets' is very good. Unlike most books, he does not put a heavy emphasison derivative pricing so what you get is more of the foundation of finance.New York : Oxford University Press, Date: 1990. S. Pliska's 'Introduction to Mathematical Financeiscrete Time Models' and H. Follmer & A. Schied 'StochasticFinance:An Introduction in Discrete Time' are more recent books that address the discrete time concepts.
 
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TraderJoe
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Prices in financial markets / Michael U. Dothan

October 7th, 2007, 9:19 pm

Dothan's book is awesome.
 
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WilmottBookshop
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Prices in financial markets / Michael U. Dothan

October 8th, 2007, 8:14 am

Prices in Financial Markets is available from the Wilmott Bookshop.
 
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player
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Prices in financial markets / Michael U. Dothan

October 8th, 2007, 10:01 am

awful book
 
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TraderJoe
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Prices in financial markets / Michael U. Dothan

October 8th, 2007, 10:04 pm

QuoteOriginally posted by: playerawful bookAny particular reason player?
 
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player
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Prices in financial markets / Michael U. Dothan

October 11th, 2007, 7:36 pm

It takes far too much effort to read it. Definitely not for bed time reading. You're better of reading duffie's book than this one.
 
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TraderJoe
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Prices in financial markets / Michael U. Dothan

October 11th, 2007, 10:57 pm

QuoteOriginally posted by: playerIt takes far too much effort to read it. Uhhh, OK.
 
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player
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Prices in financial markets / Michael U. Dothan

October 12th, 2007, 7:56 am

Have you read it?
 
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jfuqua
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Prices in financial markets / Michael U. Dothan

October 12th, 2007, 2:05 pm

There are alot of books on the continuous time aspects, but Dothan and the following are the only ones I know that focus on the discrete side. Many people look at continuous time as the only way or treat everything discrete as just a binominal preface to the continuous time.Stanley Pliska's "Introduction to Mathematical Finance: Discrete Time Models" and "Stochastic Finance: An Introduction In Discrete Time"Hans Follmer and Alexander Schied.There will be a PhD level book coming out in 2007 [given this is October, I'd suspect 2008] that you might find interesting.http://www.kellogg.northwestern.edu/fac ... nts.pdfThe author was Duffie's student so I'd expect this to be along similar lines.
 
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TraderJoe
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Prices in financial markets / Michael U. Dothan

October 12th, 2007, 9:40 pm

QuoteOriginally posted by: playerHave you read it?Cover to cover.
 
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WilmottBookshop
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Prices in financial markets / Michael U. Dothan

October 15th, 2007, 7:20 am

QuoteOriginally posted by: jfuquaThere are alot of books on the continuous time aspects, but Dothan and the following are the only ones I know that focus on the discrete side. Many people look at continuous time as the only way or treat everything discrete as just a binominal preface to the continuous time.Stanley Pliska's "Introduction to Mathematical Finance: Discrete Time Models" and "Stochastic Finance: An Introduction In Discrete Time"Hans Follmer and Alexander Schied.Introduction to Mathematical Finance: Discrete Time Models and Stochastic Finance: An Introduction in Discrete Time are both available from the Wilmott Bookshop.
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