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The Foundations of Continuous Time Finance

The Foundations of Continuous Time Finance (Hardback)

£185.00
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Synopsis

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.

BusinessEconomicsInternational economicsInternational financeBusinessFinance & accountingFinance Publisher: Edward Elgar Publishing Ltd Publication Date: 25/04/2001 ISBN-13: 9781858987507  Details: Type: Hardback Format: Books
Availability: To Order. Estimated despatch in 1-3 weeks.  

Edited by Stephen M. Schaefer, Tokai Bank Professor of Finance, London Business School, UK

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