Description

This volume is an authoritative collection of 25 key papers in the development of continuous time finance. Its five sections cover the continuous time model, dynamic portfolio selection, equilibrium models, derivative pricing and, finally, term structure and other applications. It includes seminal contributions in areas such as: the Martingale approach to no-arbitrage pricing; dynamic models of consumption and portfolio selection; the inter-temporal and consumption based asset pricing models; contingent claims pricing; the term structure of interest rates and the use of changes in numeraire in options pricing.

This book will be an essential source of reference for students and researchers in finance and, indeed, anyone needing access to the key papers in this important field.

The Foundations of Continuous Time Finance

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Hardback by Stephen M. Schaefer

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This volume is an authoritative collection of 25 key papers in the development of continuous time finance. Its five sections... Read more

    Publisher: Edward Elgar Publishing Ltd
    Publication Date: 25/04/2001
    ISBN13: 9781858987507, 978-1858987507
    ISBN10: 1858987504

    Number of Pages: 640

    Non Fiction , Business, Finance & Law

    Description

    This volume is an authoritative collection of 25 key papers in the development of continuous time finance. Its five sections cover the continuous time model, dynamic portfolio selection, equilibrium models, derivative pricing and, finally, term structure and other applications. It includes seminal contributions in areas such as: the Martingale approach to no-arbitrage pricing; dynamic models of consumption and portfolio selection; the inter-temporal and consumption based asset pricing models; contingent claims pricing; the term structure of interest rates and the use of changes in numeraire in options pricing.

    This book will be an essential source of reference for students and researchers in finance and, indeed, anyone needing access to the key papers in this important field.

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