Continuous-Time Finance
1. Auflage Juli 1992
754 Seiten, Softcover
Wiley & Sons Ltd
ISBN:
978-0-631-18508-6
John Wiley & Sons
Robert C. Merton's widely-used text provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. It covers individual finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.
Foreword by Paul A. Samuelson.
Preface.
.
Part I: Introduction 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.
Part 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.
Part III: Warrant and Option Pricing Theory:.
7. A Complete Model of Warrant Pricing that Maximizes
Utility.
8. Theory of Rational Option Pricing.
9. Option Pricing when Underlying Stock Returns are
Discontinuous.
10. Further Developments in Option Pricing Theory.
Part 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.
Part V: An Intertemporal-Equilibrium Theory of
Finance:.
15. An Intertemporal Capital Asset Pricing Model.
16. A General Equilibrium Theory of Finance in Continuous
Time.
Part 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.
21. Optimal Investment Strategies for University Endowment
Funds.
Bibliography.
Author Index.
Subject Index.
Preface.
.
Part I: Introduction 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.
Part 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.
Part III: Warrant and Option Pricing Theory:.
7. A Complete Model of Warrant Pricing that Maximizes
Utility.
8. Theory of Rational Option Pricing.
9. Option Pricing when Underlying Stock Returns are
Discontinuous.
10. Further Developments in Option Pricing Theory.
Part 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.
Part V: An Intertemporal-Equilibrium Theory of
Finance:.
15. An Intertemporal Capital Asset Pricing Model.
16. A General Equilibrium Theory of Finance in Continuous
Time.
Part 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.
21. Optimal Investment Strategies for University Endowment
Funds.
Bibliography.
Author Index.
Subject Index.
"The thoughtful way in which the book is organized, the connective
sections, and the fullness of this remarkable scholar's
accomplishments, succeed in making this collection into a watershed
event in finance. It is a testament to how much of modern finance
he has formulated, advanced, and, in a meaningful sense, brought to
a satisfactory completeness. Modern finance has much to do, but it
can do no better than to add to what Merton has already done, and I
recommend this book to all who wish to learn what finance has been
up to for the past two decades." Stephen Ross, Journal of
Finance
"I do not see how one can undertake research in
intertemporal asset-pricing under uncertainty without studying very
carefully the past and present work of Robert C. Merton.
Accordingly, Basil Blackwell has done the academic and non-academic
finance community a great service by publishing this book."
Michael Selby, The Economic Journal
"A coherent text that represents a bible on continuous-time
finance. Anyone with an interest in financial economics will be
aware of the outstanding achievements of Robert C. Merton. To these
individuals the book will come as no disappointment. It will
undoubtedly be a classic reference on continuous-time finance for
many years to come." The Manchester School
"John Maynard Keynes alludes to economics in the following terms
...'the delightful paths of our own most agreeable branch of moral
sciences, in which theory and fact, intuitive imagination and
practical judgment, are blended in a manner comfortable to the
human intellect.' Robert C. Merton's Continuous-time
Finance, which comes to us more than 20 years after his first
paper appeared, squarely fits this description." Suresh
Sundaresan, Columbia University, The Review of Financial
Studies
sections, and the fullness of this remarkable scholar's
accomplishments, succeed in making this collection into a watershed
event in finance. It is a testament to how much of modern finance
he has formulated, advanced, and, in a meaningful sense, brought to
a satisfactory completeness. Modern finance has much to do, but it
can do no better than to add to what Merton has already done, and I
recommend this book to all who wish to learn what finance has been
up to for the past two decades." Stephen Ross, Journal of
Finance
"I do not see how one can undertake research in
intertemporal asset-pricing under uncertainty without studying very
carefully the past and present work of Robert C. Merton.
Accordingly, Basil Blackwell has done the academic and non-academic
finance community a great service by publishing this book."
Michael Selby, The Economic Journal
"A coherent text that represents a bible on continuous-time
finance. Anyone with an interest in financial economics will be
aware of the outstanding achievements of Robert C. Merton. To these
individuals the book will come as no disappointment. It will
undoubtedly be a classic reference on continuous-time finance for
many years to come." The Manchester School
"John Maynard Keynes alludes to economics in the following terms
...'the delightful paths of our own most agreeable branch of moral
sciences, in which theory and fact, intuitive imagination and
practical judgment, are blended in a manner comfortable to the
human intellect.' Robert C. Merton's Continuous-time
Finance, which comes to us more than 20 years after his first
paper appeared, squarely fits this description." Suresh
Sundaresan, Columbia University, The Review of Financial
Studies
Robert C. Merton is George Fisher Baker, Professor of Business Administration, Harvard University.
