The Foundations of Continuous Time Finance (The International Library of Critical Writings in Financial Economics series)

The Foundations of Continuous Time Finance (The International Library of Critical Writings in Financial Economics series)

Editorial Reviews
Book Description
This volume is an authoritative collection of twenty-five 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.

About the Author
Stephen M. Schaefer, Tokai Bank Professor of Finance, London Business School, UK

The Foundations of Continuous Time Finance (The International Library of Critical Writings in Financial Economics series),Stephen M. Schaefer,Edward Elgar Publishing,1858987504,Business & Economics,Business / Economics / Finance,Business/Economics,Finance,Investments,Investments & Securities - General,Mathematical models,Options (Finance),Portfolio management,Reference - General

Book Details:

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Book Details

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