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.
Robert C. Merton is George Fisher Baker, Professor of Business Administration, Harvard University.
"The thoughtful way in which the book is organized, the connective
sections, and the fullness of this remarkable scholar's
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. Merton's 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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