Continuous-time Finance
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Continuous-time Finance

Continuous-time Finance

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About the Book

The introduction of the concepts of continuous-time optimization and stochastic process that have enabled financial economists to integrate both dynamics and uncertainty into the study of optimal intertemporal allocations of resources, portfolio selection, and the dynamic behaviour of security prices represents one of the great advances in economic theory of this generation. The ramifications of these concepts have been felt not only in the realm of academic economics but in the practice of investment banking, money management, and arbitrage trading. Economic theorists and finance practitioners alike turn to the work of Robert C. Merton as the seedbed for the theory of continuous-time finance theory. In this book, Merton provides an overview and synthesis of finance theory from the perspective of continuous-time analysis that covers individual financial choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance. The volume is built around Merton's most prominent papers, which he has brought up to date with postscripts, and newly written chapters on recent developments in portfolio theory, option and other derivative security pricing, financial intermediation, capital asset pricing, and general equilibrium analysis. Paul Samuelson.

Table of Contents:
Section I: Introductin to Finance and the Mathematics of Continuous-Time Models ; 1 Modern Finance 2 Introduction to Portfolio Selection and Capital Market Theory: Static Analysis 3 On the Mathematics and Economic Assumptions of Continuous-Time Financial Models ; Section II: Optimum Consumption and Portfolio Selection in Continuous-Time Models ; 4. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 5. Optimum Consumption and Portfolio Rules in a Continuous-Time Model 6. Further Developments in theory of Optimal Consumption and Portfolio Selection ; Section III: Warrant and Option Pricing Theory 7. A Complete Model of Warrant Pricing the Maximizes Utility 8. Theory of Rational Option Pricing 9. Option Pricing when Underlying Stock Returns are Discontinuous 10. Further Developments in Option Pricing Theory ; Section IV: Contingent-Claims Analysis in the Theory of Corporate Finance and Financial Intermediation 11. A Dynamic General Equilibrium Model of the Asset Market and its Application to the Pricing of the Capital Structure of the Firm 12. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 13. On the Pricing of Contingent Claims and the Modigliani-Miller Theorem 14. Contingent Claims Analysis in the Theory of Corporate Finance and Financial Intermediation ; Section V: An Intertemporal-Equilibrium Theory of Finance 15. An Intertemporal Capital Asset Pricing Model 16. A General Equilibrium Theory of Finance in Continuous-Time ; Section VI: Applications of the Continuous-Time Model to Selected Issues in Public Finance 17. An Asymptotic Theory of Growth Under Uncertainty 18. On Consumption-Indexed Public Pension Plans 19. An Analytic Derivation of the Cost of Loan Guarantees and Deposit Insurance 20. On the Cost of Deposit Insurance when there are Surveillance Costs


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Product Details
  • ISBN-13: 9780631158479
  • Publisher: John Wiley and Sons Ltd
  • Publisher Imprint: Blackwell Publishers
  • Height: 229 mm
  • Width: 152 mm
  • ISBN-10: 0631158472
  • Publisher Date: 02 Jun 1990
  • Binding: Hardback
  • Language: English


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