Foundations of continuous time finance:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cheltenham [u.a.]
Edward Elgar Publ.
2001
|
| Schriftenreihe: | The international library of critical writings in financial economics
8 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XXIV, 614 S. graph. Darst. |
| ISBN: | 1858987504 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Contents
Acknowledgements ix
Foreword by Richard Roll xi
Introduction Stephen Schaefer xiii
PART I THE CONTINUOUS TIME MODEL IN FINANCE
1. Robert C. Merton (1982), On the Mathematics and Economics
Assumptions of Continuous Time Models , in William F. Sharpe
and Cathryn M. Cootner (eds), Financial Economics: Essays in
Honor ofPaul Cootner, Englewood Cliffs: Prentice Hall, 19 51 3
2. J. Michael Harrison, Richard Pitbladdo and Stephen M. Schaefer
(1984), Continuous Price Processes in Frictionless Markets Have
Infinite Variation , Journal of Business, 57 (3), July, 353 65 36
3. J. Michael Harrison and David M. Kreps (1979), Martingales and
Arbitrage in Multiperiod Securities Markets , Journal of Economic
Theory, 20 (3), June, 381 408 49
4. Darrell Duffie and Chi fu Huang (1985), Implementing Arrow
Debreu Equilibria by Continuous Trading of a Few Long Lived
Securities , Econometrica, 53 (6), November, 1337 56 77
PART II INTERTEMPORAL PORTFOLIO SELECTION
5. Robert C. Merton (1969), Lifetime Portfolio Selection Under
Uncertainty: The Continuous Time Case , Review of Economics and
Statistics, 51 (3), August, 247 57 99
6. Robert C. Merton (1971), Optimum Consumption and Portfolio
Rules in a Continuous Time Model , Journal of Economic Theory, 3
(3), September, 373^*13 110
7. John C. Cox and Chi fu Huang (1989), Optimal Consumption and
Portfolio Policies when Asset Prices Follow a Diffusion Process ,
Journal of Economic Theory, 49 (1), 33 83 151
8. John C. Cox and Chi fu Huang (1991), A Variational Problem
Arising in Financial Economics , Journal of Mathematical
Economics, 20 (5), 465 87 202
9. Lucien Foldes (1978), Optimal Saving and Risk in Continuous
Time , Review of Economic Studies, 45 (1), February, 39 65 225
10. M.H.A. Davis and A.R. Norman (1990), Portfolio Selection with
Transaction Costs , Mathematics ofOperations Research, 15 (4),
November, 676 713 252
vi The Foundations ofContinuous Time Finance PART III EQUILIBRIUM MODELS
11. Robert C. Merton (1973), An Intertemporal Capital Asset Pricing
Model , Econometrica, 41 (5), September, 867 87 293
12. Douglas T. Breeden (1979), An Intertemporal Asset Pricing Model
with Stochastic Consumption and Investment Opportunities ,
Journal of Financial Economics, 7 (3), September, 265 96 314
13. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985a),
An Intertemporal General Equilibrium Model of Asset Prices ,
Econometrica, 53 (2), March, 363 84 346
14. Douglas T. Breeden (1986), Consumption, Production, Inflation
and Interest Rates: A Synthesis , Journal of Financial Economics,
16 (1), May, 3 39 368
15. Hua He and Hayne Leland (1993), On Equilibrium Asset Price
Processes , Review of Financial Studies, 6 (3), 593 617 405
PART IV DERIVATIVE PRICING
16. Robert C. Merton (1977), On the Pricing of Contingent Claims and
the Modigliani Miller Theorem , Journal of Financial Economics, 5
(2), November, 241 9 433
17. Richard Roll (1977), An Analytic Valuation Formula for
Unprotected American Call Options on Stocks with Known
Dividends , Journal of Financial Economics, 5 (2), November,
251 8 442
18. William Margrabe (1978), The Value of an Option to Exchange One
Asset for Another , Journal of Finance, 33 (1), March, 177 86 450
19. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto (1979),
Path Dependent Options: Buy at the Low, Seil at the High ,
Journal of Finance, 34 (5), December, 1111 127 460
20. Farshid Jamshidian (1993), Option and Futures Evaluation with
Deterministic Volatilities , Mathematical Finance, 3 (2), April,
149 59 477
21. H yette Geman, Nicole El Karoui and Jean Charles Röchet (1995),
Changes of Numöraire, Changes of Probability Measure and Option
Pricing , Journal of Applied Probability, 32,443 58 488
PART V TERM STRUCTURE AND OTHER APPLICATIONS
22. Fischer Black and John C. Cox (1976), Valuing Corporate
Securities: Some Effects of Bond Indenture Provisions , Journal of
Finance, 31 (2), May, 351 67 507
23. Hayne E. Leland (1994), Corporate Debt Value, Bond Covenants,
and Optimal Capital Structure , Journal of Finance, 49 (4),
September, 1213 252 524
24. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985b),
A Theory of the Term Structure of Interest Rates , Econometrica,
53 (2), March, 385 407 564
The Foundations ofContinuous Time Finance Wi
25. Michael J. Brennan and Eduardo S. Schwartz (1985), Evaluating Natural
Resource Investments , Journal of Business, 58 (2), April, 135 57 587
Name Index 611
|
| adam_txt |
Contents
Acknowledgements ix
Foreword by Richard Roll xi
Introduction Stephen Schaefer xiii
PART I THE CONTINUOUS TIME MODEL IN FINANCE
1. Robert C. Merton (1982), 'On the Mathematics and Economics
Assumptions of Continuous Time Models', in William F. Sharpe
and Cathryn M. Cootner (eds), Financial Economics: Essays in
Honor ofPaul Cootner, Englewood Cliffs: Prentice Hall, 19 51 3
2. J. Michael Harrison, Richard Pitbladdo and Stephen M. Schaefer
(1984), 'Continuous Price Processes in Frictionless Markets Have
Infinite Variation', Journal of Business, 57 (3), July, 353 65 36
3. J. Michael Harrison and David M. Kreps (1979), 'Martingales and
Arbitrage in Multiperiod Securities Markets', Journal of Economic
Theory, 20 (3), June, 381 408 49
4. Darrell Duffie and Chi fu Huang (1985), 'Implementing Arrow
Debreu Equilibria by Continuous Trading of a Few Long Lived
Securities', Econometrica, 53 (6), November, 1337 56 77
PART II INTERTEMPORAL PORTFOLIO SELECTION
5. Robert C. Merton (1969), 'Lifetime Portfolio Selection Under
Uncertainty: The Continuous Time Case', Review of Economics and
Statistics, 51 (3), August, 247 57 99
6. Robert C. Merton (1971), 'Optimum Consumption and Portfolio
Rules in a Continuous Time Model', Journal of Economic Theory, 3
(3), September, 373^*13 110
7. John C. Cox and Chi fu Huang (1989), 'Optimal Consumption and
Portfolio Policies when Asset Prices Follow a Diffusion Process',
Journal of Economic Theory, 49 (1), 33 83 151
8. John C. Cox and Chi fu Huang (1991), 'A Variational Problem
Arising in Financial Economics', Journal of Mathematical
Economics, 20 (5), 465 87 202
9. Lucien Foldes (1978), 'Optimal Saving and Risk in Continuous
Time', Review of Economic Studies, 45 (1), February, 39 65 225
10. M.H.A. Davis and A.R. Norman (1990), 'Portfolio Selection with
Transaction Costs', Mathematics ofOperations Research, 15 (4),
November, 676 713 252
vi The Foundations ofContinuous Time Finance PART III EQUILIBRIUM MODELS
11. Robert C. Merton (1973), 'An Intertemporal Capital Asset Pricing
Model', Econometrica, 41 (5), September, 867 87 293
12. Douglas T. Breeden (1979), 'An Intertemporal Asset Pricing Model
with Stochastic Consumption and Investment Opportunities',
Journal of Financial Economics, 7 (3), September, 265 96 314
13. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985a),
'An Intertemporal General Equilibrium Model of Asset Prices',
Econometrica, 53 (2), March, 363 84 346
14. Douglas T. Breeden (1986), 'Consumption, Production, Inflation
and Interest Rates: A Synthesis', Journal of Financial Economics,
16 (1), May, 3 39 368
15. Hua He and Hayne Leland (1993), 'On Equilibrium Asset Price
Processes', Review of Financial Studies, 6 (3), 593 617 405
PART IV DERIVATIVE PRICING
16. Robert C. Merton (1977), 'On the Pricing of Contingent Claims and
the Modigliani Miller Theorem', Journal of Financial Economics, 5
(2), November, 241 9 433
17. Richard Roll (1977), 'An Analytic Valuation Formula for
Unprotected American Call Options on Stocks with Known
Dividends', Journal of Financial Economics, 5 (2), November,
251 8 442
18. William Margrabe (1978), 'The Value of an Option to Exchange One
Asset for Another', Journal of Finance, 33 (1), March, 177 86 450
19. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto (1979),
'Path Dependent Options: "Buy at the Low, Seil at the High'",
Journal of Finance, 34 (5), December, 1111 127 460
20. Farshid Jamshidian (1993), 'Option and Futures Evaluation with
Deterministic Volatilities', Mathematical Finance, 3 (2), April,
149 59 477
21. H yette Geman, Nicole El Karoui and Jean Charles Röchet (1995),
'Changes of Numöraire, Changes of Probability Measure and Option
Pricing', Journal of Applied Probability, 32,443 58 488
PART V TERM STRUCTURE AND OTHER APPLICATIONS
22. Fischer Black and John C. Cox (1976), 'Valuing Corporate
Securities: Some Effects of Bond Indenture Provisions', Journal of
Finance, 31 (2), May, 351 67 507
23. Hayne E. Leland (1994), 'Corporate Debt Value, Bond Covenants,
and Optimal Capital Structure', Journal of Finance, 49 (4),
September, 1213 252 524
24. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985b),
'A Theory of the Term Structure of Interest Rates', Econometrica,
53 (2), March, 385 407 564
The Foundations ofContinuous Time Finance Wi
25. Michael J. Brennan and Eduardo S. Schwartz (1985), 'Evaluating Natural
Resource Investments', Journal of Business, 58 (2), April, 135 57 587
Name Index 611 |
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| index_date | 2024-07-02T13:55:28Z |
| indexdate | 2024-07-09T20:35:19Z |
| institution | BVB |
| isbn | 1858987504 |
| language | English |
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| spelling | Foundations of continuous time finance ed by Stephen M. Schaefer Cheltenham [u.a.] Edward Elgar Publ. 2001 XXIV, 614 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The international library of critical writings in financial economics 8 Continue processen gtt Financieel management gtt Financiële planning gtt Investeringen gtt Openbare financiën gtt Portfolio-analyse gtt Wiskundige modellen gtt Finanzwirtschaft Mathematisches Modell Finance Mathematical models Finance, Public Mathematical models Investments Mathematical models Options (Finance) Mathematical models Portfolio management Mathematical models Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 s DE-604 Portfoliomanagement (DE-588)4115601-8 s Mathematisches Modell (DE-588)4114528-8 s Schaefer, Stephen M. Sonstige oth The international library of critical writings in financial economics 8 (DE-604)BV011044458 8 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014629927&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Foundations of continuous time finance The international library of critical writings in financial economics Continue processen gtt Financieel management gtt Financiële planning gtt Investeringen gtt Openbare financiën gtt Portfolio-analyse gtt Wiskundige modellen gtt Finanzwirtschaft Mathematisches Modell Finance Mathematical models Finance, Public Mathematical models Investments Mathematical models Options (Finance) Mathematical models Portfolio management Mathematical models Optionspreistheorie (DE-588)4135346-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4115601-8 (DE-588)4114528-8 |
| title | Foundations of continuous time finance |
| title_auth | Foundations of continuous time finance |
| title_exact_search | Foundations of continuous time finance |
| title_exact_search_txtP | Foundations of continuous time finance |
| title_full | Foundations of continuous time finance ed by Stephen M. Schaefer |
| title_fullStr | Foundations of continuous time finance ed by Stephen M. Schaefer |
| title_full_unstemmed | Foundations of continuous time finance ed by Stephen M. Schaefer |
| title_short | Foundations of continuous time finance |
| title_sort | foundations of continuous time finance |
| topic | Continue processen gtt Financieel management gtt Financiële planning gtt Investeringen gtt Openbare financiën gtt Portfolio-analyse gtt Wiskundige modellen gtt Finanzwirtschaft Mathematisches Modell Finance Mathematical models Finance, Public Mathematical models Investments Mathematical models Options (Finance) Mathematical models Portfolio management Mathematical models Optionspreistheorie (DE-588)4135346-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Continue processen Financieel management Financiële planning Investeringen Openbare financiën Portfolio-analyse Wiskundige modellen Finanzwirtschaft Mathematisches Modell Finance Mathematical models Finance, Public Mathematical models Investments Mathematical models Options (Finance) Mathematical models Portfolio management Mathematical models Optionspreistheorie Portfoliomanagement |
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