STOCHASTIC

ing dates, the papers by Breiman, Hakansson, Samuelson and Thorp in the
volume well represent a very good beginning for students of growth-security
portfolio analysis.
Section 3 of Part V has various models of option strategy prior to Black-
Scholes (1973) and Merton (1973). Pye and Taylor present specific models to
value call options on bonds and stocks. Kalymon formulates a bond refunding
problem where future interest rates are Markovian. He can then determine
policies that minimize expected total discounted costs. Finally, Pye shows that
dollar cost averaging is a minimax strategy rather than an expected utility
maximizing strategy for any strictly concave utility function.
I would like to thank Michael Brennan, George Constantinides, Darrell
Duffie, Jitka Dupacova, Chanaka Edirisinghe and Stavros Zenios for their useful
comments on an earlier draft of this Preface.
Lastly, references to papers and books not appearing in this volume that are
useful in courses and for further study using this volume follow.
William T. Ziemba
Vancouver, July 2006
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