Continuous-Time Finance

ISBN-10: 0631185089

ISBN-13: 9780631185086

Edition: 1992 (Revised)

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Description:

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.
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Book details

List price: $89.95
Copyright year: 1992
Publisher: John Wiley & Sons, Incorporated
Publication date: 11/3/1992
Binding: Paperback
Pages: 754
Size: 6.25" wide x 9.00" long x 1.50" tall
Weight: 2.420
Language: English

Paul Samuelson was the first American recipient of the Nobel Prize in economics. Born in Indiana, he did his undergraduate work at the University of Chicago and earned a Ph.D. at Harvard University, where he studied with Alvin Hansen. He taught for several decades at M.I.T. Samuelson's first major work was Foundations of Economic Analysis (1947), a mathematical treatment of economic theory and principles. Later he made extensive contributions to professional journals in virtually all areas of economic theory. Often he would be the first to offer a mathematical proof of a proposition when most other economists could sense it only intuitively. In 1948 he published the first edition of Economics, one of the most successful and influential college texts of our time. It provided an extremely comprehensive treatment of Keynesian economics and microeconomic principles, and played an important part in educating a generation of economists. Despite Samuelson's role in providing mathematical refinements for economic theory, he has always maintained a public posture, welcoming opportunities to share his views. He was an economic adviser to President John F. Kennedy and wrote a popular column for Newsweek from 1966 to 1981. He has generally favored an interventionist approach in policy matters, especially when it has involved using the tax system to battle poverty, fight inflation, or balance the budget. One of the world's most respected economists, Samuelson is responsible for rewriting considerable parts of economic theory. He has, in several areas, achieved results that rank among the classic theorems in economics.

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
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