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Continuous-Time Finance : Macroeconomics and Finance - Robert C. Merton

Continuous-Time Finance

Macroeconomics and Finance


Published: 3rd November 1992
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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 financial choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance. For this revised edition a new section on managing university endowments has been added. The book begins with a foreword by Paul Samuelson.

"The thoughtful way in which the book is organized, the connectivesections, and the fullness of this remarkable scholar'saccomplishments, succeed in making this collection into a watershedevent in finance. It is a testament to how much of modern financehe has formulated, advanced, and, in a meaningful sense, brought toa satisfactory completeness. Modern finance has much to do, but itcan do no better than to add to what Merton has already done, and Irecommend this book to all who wish to learn what finance has beenup to for the past two decades." Stephen Ross, Journal ofFinance

"I do not see how one can undertake research inintertemporal asset-pricing under uncertainty without studying verycarefully the past and present work of Robert C. Merton.Accordingly, Basil Blackwell has done the academic and non-academicfinance community a great service by publishing this book."Michael Selby, The Economic Journal

"A coherent text that represents a bible on continuous-timefinance. Anyone with an interest in financial economics will beaware of the outstanding achievements of Robert C. Merton. To theseindividuals the book will come as no disappointment. It willundoubtedly be a classic reference on continuous-time finance formany 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 moralsciences, in which theory and fact, intuitive imagination andpractical judgment, are blended in a manner comfortable to thehuman intellect.' Robert C. Merton's Continuous-timeFinance, which comes to us more than 20 years after his firstpaper appeared, squarely fits this description." SureshSundaresan, Columbia University, The Review of FinancialStudies

Foreword by Paul A. Samuelson.



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.


Author Index.

Subject Index.

ISBN: 9780631185086
ISBN-10: 0631185089
Series: Macroeconomics and Finance
Audience: General
Format: Paperback
Language: English
Number Of Pages: 754
Published: 3rd November 1992
Country of Publication: GB
Dimensions (cm): 23.09 x 15.34  x 4.19
Weight (kg): 1.09
Edition Number: 1