Continuous-time finance:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Malden, Mass. [u. a.]
Blackwell
2009
|
| Ausgabe: | rev. ed., 1st publ. in paperback 1992, 19. print. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIX, 732 S. |
| ISBN: | 9780631158479 9780631185086 |
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Datensatz im Suchindex
| _version_ | 1804143613058220032 |
|---|---|
| adam_text | Contents
Foreword by Paul
A. Samuelson
xi
Preface
xiii
Part I: Introduction to Finance and the Mathematics of
Continuous-Time Models
1
Modern Finance
3
2
Introduction to Portfolio Selection and Capital Market
16
Theory: Static Analysis
2.1
Introduction
16
2.2
One-Period Portfolio Selection
17
2.3
Risk Measures for Securities and Portfolios in the
25
One-Period Model
2.4
Spanning, Separation, and Mutual-Fund Theorems
33
3
On the Mathematics and Economics Assumptions of
57
Continuous-Time Models
3.1
Introduction
57
3.2
Continuous-Sample-Path Processes with No Rare
65
Events
3.3
Continuous-Sample-Path Processes with Rare
81.
Events
3.4
Discontinuous-Sample-Path Processes with Rare
86
Events
Part II: Optimum Consumption and Portfolio Selection in
Continuous-Time Models
4
Lifetime Portfolio Selection Under Uncertainty: The
97
Continuous-Time Case
4.1
Introduction
97
4.2
Dynamics
of the Model: The Budget Equation
98
4.3
The Two-Asset Model
100
4.4
Constant Relative Risk Aversion
104
4.5
Dynamic Behavior and the Bequest Valuation
106
Function
4.6
Infinite Time Horizon
108
4.7
Economic Interpretation of the Optimal Decision 111
Rules for Portfolio Selection and Consumption
4.8
Extension to Many Assets
116
4.9
Constant Absolute Risk Aversion
117
4.10
Other Extensions of the Model
119
5
Optimum Consumption and Portfolio Rules in a
120
Continuous-Time Model
5.1
Introduction
120
5.2
A Digression on
Ito
Processes
121
5.3
Asset-Price Dynamics and the Budget Equation
124
5.4
Optimal Portfolio and Consumption Rules: The
127
Equations of Optimality
5.5
Log-Normality of Prices and the Continuous-Time
131
Analog to Tobin-Markowitz Mean-Variance
Analysis
5.6
Explicit Solutions for a Particular Class of Utility
137
Functions
5.7
Noncapital Gains Income: Wages
143
5.8
Poisson
Processes
145
5.9
Alternative Price Expectations to the Geometric
151
Brownian Motion
5.10
Conclusion
164
Further Developments in the Theory of Optimal
166
Consumption and Portfolio Selection
6.1
Introduction
166
6.2
The Cox-Huang Alternative to Stochastic Dynamic
169
Programming
6.3
Optimal Portfolio Rules When the Nonnegativity
184
Constraint on Consumption is Binding
6.4
Generalized Preferences and Their Impact on
201
Optimal Portfolio Demands
Part III: Warrant and Option Pricing Theory
7
A Complete Model of Warrant Pricing that Maximizes
215
Utility
(with Paul
A. Samuelson)
7.1
Introduction
215
7.2
Cash-Stock Portfolio Analysis
215
7.3
Recapitulation of the
1965
Samuelson
Model
220
7.4
Determining Average Stock Yield
223
7.5
Determining Warrant Holdings and Prices
224
7.6
Digression: General Equilibrium Pricing
227
7.7
Utility-Maximizing Warrant Pricing: The Important
229
Incipient Case
7.8
Explicit Solutions
231
7.9
Warrants Never to be Converted
235
7.10
Exact Solution to the Perpetual Warrant Case
236
7.11
Illustrative Example
239
7.12
Proof of the Superiority of Yield of Warrants Over
243
Yield of Common Stock
7.13
Conclusion
245
8
Theory of Rational Option Pricing
255
8.1
Introduction
255
8.2
Restrictions on Rational Option Pricing
256
8.3
Effects of Dividends and Changing Exercise Price
268
8.4
Restrictions on Rational Put Option Pricing
276
8.5
Rational Option Pricing along Black-Scholes Lines
281
8.6
An Alternative Derivation of the Black-Scholes
Model
284
8.7
Extension of the Model to Include Dividend
29Ί
Payments and Exercise Price Changes
8.8
Valuing an American Put Option
298
8.9
Valuing the Down-and-Out Call Option
300
8.10
Valuing a Callable Warrant
303
8.11
Conclusion
305
9
Option Pricing When Underlying Stock Returns are
309
Discontinuous
9.1
Introduction
309
9.2
The Stock-Price and Option-Price Dynamics
312
9.3
An Option Pricing Formula
318
9.4
A Possible Answer to an Empirical Puzzle
324
10
Further Developments in Option Pricing Theory
330
10.1
Introduction
330
10.2
Cox-Ross Risk-Neutral Pricing and the Binomial
334
Option Pricing Model
10.3
Pricing Options on Futures Contracts
347
Part IV: Contingent-Claims Analysis in the Theory of
Corporate Finance and Financial Intermediation
11
A Dynamic General Equilibrium Model of the Asset
357
Market and Its Application to the Pricing of the Capital
Structure of the Firm
11.1
Introduction
357
11.2
A Partial-Equilibrium One-Period Model
358
11.3
Some Examples
361
11.4
A General
Intertemporal
Equilibrium Model of the
367
Asset Market
11.5
Model I: A Constant Interest Rate Assumption
373
11.6
Model II: The No Riskless Asset Case
380
11.7
Model HI: The General Model
382
11.8
Conclusion
386
12
On the Pricing of Corporate Debt: The Risk Structure of
388
Interest Rates
12.1
Introduction
388
12.2
On the Pricing of Corporate Liabilities
389
12.3
On the Pricing of Risky Discount Bonds
392
12.4
A Comparative Statics Analysis of the Risk
396
Structure
12.5
On the
Modigliani-Miller
Theorem with Bankruptcy
404
12.6
On the Pricing of Risky Coupon Bonds
409
12.7
Conclusion
411
13
On the Pricing of Contingent Claims and the
413
Modigliani-Miller
Theorem
13.1
Introduction
413
13.2
A General Derivation of a Contingent-Claim Price
415
13.3
On the
Modigliani-Miller
Theorem with Bankruptcy
419
13.4
Applications of Contingent-Claims Analysis in
423
Corporate Finance
14
Financial
Intermediation in the Continuous-Time Model
428
14.1
Introduction
428
14.2
Derivative-Security Pricing with Transactions Costs
432
14.3
Production Theory for Zero-Transaction-Cost
441
Financial Intermediaries
14.4
Risk Management for Financial Intermediaries
450
14.5
On the Role of Efficient Financial Intermediation in
457
the Continuous-Time Model
14.6
Afterword: Policy and Strategy in Financial
467
Intermediation
Part V: An
Intertemporal
Equilibrium Theory of Finance
15
An
Intertemporal
Capital Asset Pricing Model
475
15.1
Introduction
475
15.2
Capital Market Structure
477
15.3
Asset Value and Rate of Return Dynamics
478
15.4
Preference Structure and Budget-Equation
484
Dynamics
15.5
The Equations of Optimality: The Demand
485
Functions for Assets
15.6
Constant Investment Opportunity Set
488
15.7
Generalized Separation: A Three-Fund Theorem
490
15.8
The Equilibrium Yield Relation among Assets
493
15.9
Empirical Evidence
496
15.10
An (m+2)-Fund Theorem and the Security Market
499
Hyperplane
15.11
The Consumption-Based Capital Asset Pricing
512
Model
15.12
Conclusion
519
16
A Complete-Markets General Equilibrium Theory of
524
Finance in Continuous Time
16.1
Introduction
524
16.2
Financial Intermediation with Dynamically-
528
Complete Markets
16.3
Optimal Consumption and Portfolio Rules with
537
Dynamically-Complete Markets
16.4
General Equilibrium: The Case of Pure Exchange
549
16.5
General Equilibrium: The Case of Production
554
16.6
A General Equilibrium Model in which the Capital
558
Asset Pricing Model Obtains
16.7
Conclusion
574
Part VI: Applications of the Continuous-Time Model to
Selected Issues in Public Finance: Long-Run
Economic Growth, Public Pension Plans, Deposit
Insurance, Loan Guarantees, and Endowment
Management for Universities
17
An Asymptotic Theory of Growth Under Uncertainty
579
17.1
Introduction
579
17.2
The Model
580
17.3
The Steady-State Distribution for
к
584
17.4
The Cobb-Douglas/Constant-Savings-Function
586
Economy
17.5
The Stochastic Ramsey Problem
592
18
On Consumption-Indexed Public Pension Plans
606
18.1
Introduction
606
18.2
A Simple
Intertemporal
Equilibrium Model
609
18.3
On the Merits and Feasibility of a
616
Consumption-Indexed Public Plan
19
An Analytic Derivation of the Cost of Deposit Insurance
625
and Loan Guarantees: An Application of Modern Option
Pricing Theory
19.1
Introduction
625
19.2
A Model for Pricing Deposit Insurance
627
20
On the Cost of Deposit Insurance When There are
634
Surveillance Costs
20.1
Introduction
634
20.2
Assumptions of the Model
635
20.3
The Evaluation of Federal Deposit Insurance
637
Corporation Liabilities
20.4
The Evaluation of Bank Equity
642
20.5
On the Equilibrium Deposit Rate
644
20.6
Conclusion
646
21 Optimal Investment
Strategies for University Endowment
649
Funds
21.1
Introduction
649
21.2
Overview of Basic Insights and Prescriptions for
651
Policy
21.3
The Model
656
21.4
Optimal Endowment Management with Other
664
Sources of Income
Bibliography
675
Author Index
710
Subject Index
716
|
| any_adam_object | 1 |
| author | Merton, Robert C. 1944- |
| author_GND | (DE-588)128635576 |
| author_facet | Merton, Robert C. 1944- |
| author_role | aut |
| author_sort | Merton, Robert C. 1944- |
| author_variant | r c m rc rcm |
| building | Verbundindex |
| bvnumber | BV036897491 |
| classification_rvk | QK 620 QK 800 QP 700 SK 980 |
| classification_tum | MAT 902f WIR 175f |
| ctrlnum | (OCoLC)706860190 (DE-599)BVBBV036897491 |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | rev. ed., 1st publ. in paperback 1992, 19. print. |
| format | Book |
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| id | DE-604.BV036897491 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T22:50:26Z |
| institution | BVB |
| isbn | 9780631158479 9780631185086 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020812560 |
| oclc_num | 706860190 |
| open_access_boolean | |
| owner | DE-739 DE-91G DE-BY-TUM |
| owner_facet | DE-739 DE-91G DE-BY-TUM |
| physical | XIX, 732 S. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Blackwell |
| record_format | marc |
| spelling | Merton, Robert C. 1944- Verfasser (DE-588)128635576 aut Continuous-time finance Robert C. Merton. Foreword by Paul A. Samuelson rev. ed., 1st publ. in paperback 1992, 19. print. Malden, Mass. [u. a.] Blackwell 2009 XIX, 732 S. txt rdacontent n rdamedia nc rdacarrier Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Zeit (DE-588)4067461-7 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Finanzierung (DE-588)4017182-6 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Finanzmathematik (DE-588)4017195-4 s Stochastischer Prozess (DE-588)4057630-9 s Zeit (DE-588)4067461-7 s Kapitalmarkttheorie (DE-588)4137411-3 s 1\p DE-604 Portfoliomanagement (DE-588)4115601-8 s 2\p DE-604 Investition (DE-588)4027556-5 s 3\p DE-604 Finanzwirtschaft (DE-588)4017214-4 s 4\p DE-604 Portfolio Selection (DE-588)4046834-3 s 5\p DE-604 Optionsgeschäft (DE-588)4043670-6 s 6\p DE-604 Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020812560&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 5\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 6\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Merton, Robert C. 1944- Continuous-time finance Portfolio Selection (DE-588)4046834-3 gnd Optionsgeschäft (DE-588)4043670-6 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Finanzierung (DE-588)4017182-6 gnd Finanzmathematik (DE-588)4017195-4 gnd Investition (DE-588)4027556-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Zeit (DE-588)4067461-7 gnd Stochastischer Prozess (DE-588)4057630-9 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4043670-6 (DE-588)4137411-3 (DE-588)4017182-6 (DE-588)4017195-4 (DE-588)4027556-5 (DE-588)4114528-8 (DE-588)4017214-4 (DE-588)4115601-8 (DE-588)4067461-7 (DE-588)4057630-9 |
| title | Continuous-time finance |
| title_auth | Continuous-time finance |
| title_exact_search | Continuous-time finance |
| title_full | Continuous-time finance Robert C. Merton. Foreword by Paul A. Samuelson |
| title_fullStr | Continuous-time finance Robert C. Merton. Foreword by Paul A. Samuelson |
| title_full_unstemmed | Continuous-time finance Robert C. Merton. Foreword by Paul A. Samuelson |
| title_short | Continuous-time finance |
| title_sort | continuous time finance |
| topic | Portfolio Selection (DE-588)4046834-3 gnd Optionsgeschäft (DE-588)4043670-6 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Finanzierung (DE-588)4017182-6 gnd Finanzmathematik (DE-588)4017195-4 gnd Investition (DE-588)4027556-5 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Portfoliomanagement (DE-588)4115601-8 gnd Zeit (DE-588)4067461-7 gnd Stochastischer Prozess (DE-588)4057630-9 gnd |
| topic_facet | Portfolio Selection Optionsgeschäft Kapitalmarkttheorie Finanzierung Finanzmathematik Investition Mathematisches Modell Finanzwirtschaft Portfoliomanagement Zeit Stochastischer Prozess |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020812560&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT mertonrobertc continuoustimefinance |