46% off New: Continuous-Time Finance by Robert C. Merton (Paperback, Revised)

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Publication Year: 1992
Format: Paperback Language: English
ISBN:

9780631185086

46% off New: Continuous-Time Finance by Robert C. Merton (Paperback, Revised)

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Synopsis
Merton provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. He covers individual financial choice, corporate finance, financial intermediation, capital markets and selected topics on the interface between private and public finance. The volume is based around Merton’s most significant essays, which he has brought up to date with postscripts, and new chapters on recent developments in portfolio theory, option and other derivative security pricing, financial intermediation, capital asset pricing, and general equilibrium analysis. 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 finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.

Product Identifiers
ISBN-10 0631185089
ISBN-13 9780631185086

Key Details
Author Robert C. Merton
Number Of Pages 754 pages
Edition Description Revised
Format Paperback
Publication Date 1992-11-03
Language English
Publisher Wiley & Sons, Incorporated, John
Publication Year 1992

Additional Details
Copyright Date 1992

Dimensions
Weight 38 Oz
Height 1.6 In.
Width 6.1 In.
Length 9 In.

Target Audience
Group Scholarly & Professional

Classification Method
LC Classification Number HB172
Dewey Decimal 338.5
Dewey Edition 12A

Contributors
Foreword by Paul Anthony Samuelson

Table Of Content
Foreward: Paul SamuelsonPart I: Introduction to Finance and the Mathematics of Continuous-time Models:1. Modern Finance.2. Introduction to Portfolio Selection and Capital Market Theory: Static Analysis.3. On the Mathematics and Economic Assumptions of Continuous-time Financial Models.Part II: Optimum Consumption and Portfolio Selection in Continuous-time Models:4. Lifetime Portfolio Selection under Uncertainty: The Continuous-time Case.5. Optimum Consumption and Portfolio Rules in a Continuous-time Model.6. Further Developments in Theory of Optimal Consumption and Portfolio Selection.Part III: Warrant and Option Pricing Theory:7. A Complete Model of Warrant Pricing that Maximizes Utility.8. Theory of Rational Option Pricing.9. Option Pricing when Underlying Stock Returns are Discontinuous.10. Further Developments in Option Pricing Theory.Part IV: Contingent-Claims Analysis in the Theory of Corporate Finance and Financial Intermediation:11. A Dynamic General Equilibrium Model of the Asset Market and its Application to the Pricing of the Capital Structure of the Firm.12. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.13. On the Pricing of Contingent Claims and the Modigliani-Miller Theorem.14. Contingent Claims Analysis in the Theory of Corporate Finance and Financial Intermediation.Part V: An Intertemporal-Equilibrium Theory of Finance:15. An Intertemporal Capital Asset Pricing Model.16. A General Equilibrium Theory of Finance in Continuous Time.Part VI: Applications of the Continuous-Time Model to Selected Issues in Public Finance:17. An Asymptotic Theory of Growth Under Uncertainty.18. On Consumption-Indexed Public Pension Plans.19. An Analytic Derivation of the Cost of Loan Guarantees and Deposit Insurance.20. On the Cost of Deposit Insurance when there are Surveillance Costs. Foreward: Paul Samuelsonart I: 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.art II: 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.art III: 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.0. Further Developments in Option Pricing Theory.art IV: Contingent-Claims Analysis in the Theory of Corporate Finance and Financial Intermediation:1. A Dynamic General Equilibrium Model of the Asset Market and its Application to the Pricing of the Capital Structure of the Firm.2. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.3. On the Pricing of Contingent Claims and the Modigliani-Miller Theorem.4. Contingent Claims Analysis in the Theory of Corporate Finance and Financial Intermediation.art V: An Intertemporal-Equilibrium Theory of Finance:5. An Intertemporal Capital Asset Pricing Model.6. A General Equilibrium Theory of Finance in Continuous Time.art VI: Applications of the Continuous-Time Model to Selected Issues in Public Finance:7. An Asymptotic Theory of Growth Under Uncertainty.8. On Consumption-Indexed Public Pension Plans.9. An Analytic Derivation of the Cost of Loan Guarantees and Deposit Insurance.0. On the Cost of Deposit Insurance when there are Surveillance Costs. Foreword by Paul A. Samuelson.Preface..Part I: Introduction to Finance and the Mathematics of Continuous-time Models:.1. Modern Finance.2. Introduction to Portfolio Selection and Capital Market Theory: Static Analysis.3. On the Mathematics and Economic Assumptions of Continuous-time Financial Models.Part II: Optimum Consumption and Portfolio Selection in Continuous-time Models:.4. Lifetime Portfolio Selection under Uncertainty: The Continuous-time Case.5. Optimum Consumption and Portfolio Rules in a Continuous-time Model.6. Further Developments in Theory of Optimal Consumption and Portfolio Selection.Part III: Warrant and Option Pricing Theory:.7. A Complete Model of Warrant Pricing that Maximizes Utility.8. Theory of Rational Option Pricing.9. Option Pricing when Underlying Stock Returns are Discontinuous.10. Further Developments in Option Pricing Theory.Part IV: Contingent-Claims Analysis in the Theory of Corporate Finance and Financial Intermediation:.11. A Dynamic General Equilibrium Model of the Asset Market and its Application to the Pricing of the Capital Structure of the Firm.12. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.13. On the Pricing of Contingent Claims and the Modigliani-Miller Theorem.14. Contingent Claims Analysis in the Theory of Corporate Finance and Financial Intermediation.Part V: An Intertemporal-Equilibrium Theory of Finance:.15. An Intertemporal Capital Asset Pricing Model.16. A General Equilibrium Theory of Finance in Continuous Time.Part VI: Applications of the Continuous-Time Model to Selected Issues in Public Finance:.17. An Asymptotic Theory of Growth Under Uncertainty.18. On Consumption-Indexed Public Pension Plans.19. An Analytic Derivation of the Cost of Loan Guarantees and Deposit Insurance.20. On the Cost of Deposit Insurance when there are Surveillance Costs.21. Optimal Investment Strategies for University Endowment Funds.Bibliography.Author Index.Subject Index.

Reviews
“The thoughtful way in which the book is organized, the connective sections, and the fullness of this remarkable scholars accomplishments, succeed in making this collection into a watershed event in finance. It is a testament to how much of modern finance he has formulated, advanced, and, in a meaningful sense, brought to a satisfactory completeness. Modern finance has much to do, but it can do no better than to add to what Merton has already done, and I recommend this book to all who wish to learn what finance has been up to for the past two decades.” Stephen Ross, Journal of Finance “I do not see how one can undertake research in intertemporal asset-pricing under uncertainty without studying very carefully the past and present work of Robert C. Merton. Accordingly, Basil Blackwell has done the academic and non-academic finance community a great service by publishing this book.” Michael Selby, The Economic Journal “A coherent text that represents a bible on continuous-time finance. Anyone with an interest in financial economics will be aware of the outstanding achievements of Robert C. Merton. To these individuals the book will come as no disappointment. It will undoubtedly be a classic reference on continuous-time finance for many years to come.” The Manchester School “John Maynard Keynes alludes to economics in the following terms …the delightful paths of our own most agreeable branch of moral sciences, in which theory and fact, intuitive imagination and practical judgment, are blended in a manner comfortable to the human intellect. Robert C. Mertons Continuous-time Finance, which comes to us more than 20 years after his first paper appeared, squarely fits this description.” Suresh Sundaresan, Columbia University, The Review of Financial Studies

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