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9780631185086

Continuous-Time Finance

by
  • ISBN13:

    9780631185086

  • ISBN10:

    0631185089

  • Edition: 1st
  • Format: Paperback
  • Copyright: 1992-11-03
  • Publisher: Wiley-Blackwell

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Supplemental Materials

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Summary

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 financial choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance. For this revised edition a new section on managing university endowments has been added. The book begins with a foreword by Paul Samuelson.

Author Biography

Robert C. Merton is George Fisher Baker, Professor of Business Administration, Harvard University.

Table of Contents

Foreword
Preface
Introduction to Finance and the Mathematics of Continuous-time Models
Modern Finance
Introduction to Portfolio Selection and Capital Market Theory: Static Analysis
on the Mathematics and Economic Assumptions of Continuous-time Financial Models
Optimum Consumption and Portfolio Selection in Continuous-time Models
Lifetime Portfolio Selection under Uncertainty: The Continuous-time Case
Optimum Consumption and Portfolio Rules in a Continuous-time Model
Further Developments in Theory of Optimal Consumption and Portfolio Selection
Warrant and Option Pricing Theory
A Complete Model of Warrant Pricing that Maximizes Utility
Theory of Rational Option Pricing
Option Pricing when Underlying Stock Returns are Discontinuous
Further Developments in Option Pricing Theory
Contingent-Claims Analysis in the Theory of Corporate Finance and Financial Intermediation
A Dynamic General Equilibrium Model of the Asset Market and its Application to the Pricing of the Capital Structure of the Firm
on the Pricing of Corporate Debt: The Risk Structure of Interest Rates
on the Pricing of Contingent Claims and the Modigliani-Miller Theorem
Contingent Claims Analysis in the Theory of Corporate Finance and Financial Intermediation
An Intertemporal-Equilibrium Theory of Finance
An Intertemporal Capital Asset Pricing Model
A General Equilibrium Theory of Finance in Continuous Time
Applications of the Continuous-Time Model to Selected Issues in Public Finance
An Asymptotic Theory of Growth Under Uncertainty
on Consumption-Indexed Public Pension Plans
An Analytic Derivation of the Cost of Loan Guarantees and Deposit Insurance
on the Cost of Deposit Insurance when there are Surveillance Costs
Optimal Investment Strategies for University Endowment Funds
Bibliography
Author Index
Subject Index
Table of Contents provided by Publisher. All Rights Reserved.

Supplemental Materials

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