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The Foundations of Continuous Time Finance
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.
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.
More Information
Contributors
Contents
More Information
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.
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.
Contributors
25 articles, dating from 1969 to 1995
Contributors include: F. Black, D.T. Breedon, M.J. Brennan, J.C. Cox, D. Duffie, C.-f. Huang, H. Leland, R.C. Merton, R. Roll, E.S. Schwartz
Contributors include: F. Black, D.T. Breedon, M.J. Brennan, J.C. Cox, D. Duffie, C.-f. Huang, H. Leland, R.C. Merton, R. Roll, E.S. Schwartz
Contents
Contents:
Acknowledgements
Foreword by Richard Roll
Introduction Stephen Schaefer
PART I THE CONTINUOUS TIME MODEL IN FINANCE
1. Robert C. Merton (1982), ‘On the Mathematics and Economics Assumptions of Continuous-Time Models’
2. J. Michael Harrison, Richard Pitbladdo and Stephen M. Schaefer (1984), ‘Continuous Price Processes in Frictionless Markets Have Infinite Variation’
3. J. Michael Harrison and David M. Kreps (1979), ‘Martingales and Arbitrage in Multiperiod Securities Markets’
4. Darrell Duffie and Chi-fu Huang (1985), ‘Implementing Arrow-Debreu Equilibria By Continuous Trading of Few Long-Lived Securities’
PART II INTERTEMPORAL PORTFOLIO SELECTION
5. Robert C. Merton (1969), ‘Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case’
6. Robert C. Merton (1971), ‘Optimum Consumption and Portfolio Rules in a Continuous-Time Model’
7. John C. Cox and Chi-fu Huang (1989), ‘Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process’
8. John C. Cox and Chi-fu Huang (1991), ‘A Variational Problem Arising in Financial Economics’
9. Lucien Foldes (1978), ‘Optimal Saving and Risk in Continuous Time’
10. M.H.A. Davis and A.R. Norman (1990), ‘Portfolio Selection with Transaction Costs’
PART III EQUILIBRIUM MODELS
11. Robert C. Merton (1973), ‘An Intertemporal Capital Asset Pricing Model’
12. Douglas T. Breeden (1979), ‘An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities’
13. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘An Intertemporal General Equilibrium Model of Asset Prices’
14. Douglas T. Breeden (1986), ‘Consumption, Production, Inflation and Interest Rates: A Synthesis’
15. Hua He and Hayne Leland (1993), ‘On Equilibrium Asset Price Processes’
PART IV DERIVATIVE PRICING
16. Robert C. Merton (1977), ‘On the Pricing of Contingent Claims and the Modigliani-Miller Theorem’
17. Richard Roll (1977), ‘An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends’
18. William Margrabe (1978), ‘The Value of an Option to Exchange One Asset for Another’
19. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto (1979), ‘Path Dependent Options: "Buy at the Low, Sell at the High"’
20. Farshid Jamshidian (1993), ‘Option and Futures Evaluation with Deterministic Volatilities’
21. Hélyette Geman, Nicole El Karoui and Jean-Charles Rochet (1995), ‘Changes of Numéraire, Changes of Probability Measure and Option Pricing’
PART V TERM STRUCTURE AND OTHER APPLICATIONS
22. Fischer Black and John C. Cox (1976), ‘Valuing Corporate Securities: Some Effects of Bond Indenture Provisions’
23. Hayne E. Leland (1994), ‘Corporate Debt Value, Bond Convenants, and Optimal Capital Structure’
24. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’
25. M.J. Brennan and E.S. Schwartz (1985), ‘Evaluating Natural Resource Investments’
Name Index
Acknowledgements
Foreword by Richard Roll
Introduction Stephen Schaefer
PART I THE CONTINUOUS TIME MODEL IN FINANCE
1. Robert C. Merton (1982), ‘On the Mathematics and Economics Assumptions of Continuous-Time Models’
2. J. Michael Harrison, Richard Pitbladdo and Stephen M. Schaefer (1984), ‘Continuous Price Processes in Frictionless Markets Have Infinite Variation’
3. J. Michael Harrison and David M. Kreps (1979), ‘Martingales and Arbitrage in Multiperiod Securities Markets’
4. Darrell Duffie and Chi-fu Huang (1985), ‘Implementing Arrow-Debreu Equilibria By Continuous Trading of Few Long-Lived Securities’
PART II INTERTEMPORAL PORTFOLIO SELECTION
5. Robert C. Merton (1969), ‘Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case’
6. Robert C. Merton (1971), ‘Optimum Consumption and Portfolio Rules in a Continuous-Time Model’
7. John C. Cox and Chi-fu Huang (1989), ‘Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process’
8. John C. Cox and Chi-fu Huang (1991), ‘A Variational Problem Arising in Financial Economics’
9. Lucien Foldes (1978), ‘Optimal Saving and Risk in Continuous Time’
10. M.H.A. Davis and A.R. Norman (1990), ‘Portfolio Selection with Transaction Costs’
PART III EQUILIBRIUM MODELS
11. Robert C. Merton (1973), ‘An Intertemporal Capital Asset Pricing Model’
12. Douglas T. Breeden (1979), ‘An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities’
13. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘An Intertemporal General Equilibrium Model of Asset Prices’
14. Douglas T. Breeden (1986), ‘Consumption, Production, Inflation and Interest Rates: A Synthesis’
15. Hua He and Hayne Leland (1993), ‘On Equilibrium Asset Price Processes’
PART IV DERIVATIVE PRICING
16. Robert C. Merton (1977), ‘On the Pricing of Contingent Claims and the Modigliani-Miller Theorem’
17. Richard Roll (1977), ‘An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends’
18. William Margrabe (1978), ‘The Value of an Option to Exchange One Asset for Another’
19. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto (1979), ‘Path Dependent Options: "Buy at the Low, Sell at the High"’
20. Farshid Jamshidian (1993), ‘Option and Futures Evaluation with Deterministic Volatilities’
21. Hélyette Geman, Nicole El Karoui and Jean-Charles Rochet (1995), ‘Changes of Numéraire, Changes of Probability Measure and Option Pricing’
PART V TERM STRUCTURE AND OTHER APPLICATIONS
22. Fischer Black and John C. Cox (1976), ‘Valuing Corporate Securities: Some Effects of Bond Indenture Provisions’
23. Hayne E. Leland (1994), ‘Corporate Debt Value, Bond Convenants, and Optimal Capital Structure’
24. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’
25. M.J. Brennan and E.S. Schwartz (1985), ‘Evaluating Natural Resource Investments’
Name Index
