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

 
9781858987507: The Foundations of Continuous Time Finance (The International Library of Critical Writings in Financial Economics series)
Hardcover
ISBN 10: 1858987504 ISBN 13: 9781858987507
Publisher: Edward Elgar Publishing Ltd, 2001

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.

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About the Author

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

"About this title" may belong to another edition of this title.

Publisher
Edward Elgar Publishing Ltd
Publication date
2001
Language
English
ISBN 10 
1858987504
ISBN 13 
9781858987507
Binding
Hardcover
Number of pages
640
Editor
Schaefer Stephen M.