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Description of Continuous–Time Finance

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.

Title Information

ISBN:

9780631185086

Pages:

752 pages

Format:

Paperback

Product Code:

9203

Publisher:

Blackwell Publishers

Published:

09/07/1992

Edition:

New edition

Press and Industry Reviews

"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."
- 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."
- Suresh Sundaresan, The Review of Financial Studies

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About Robert C. Merton

Robert C. Merton is George Fisher Baker, Professor of Business Administration, Harvard University.

Contents of Continuous–Time Finance

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 the Capital Market Theory: Static Analysis
3. On the Mathematics and Economics Assumptions of Continuous-Time 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 the Theory of Optimal Consumption and Portfolio Selection


Part III: Warrant and Option Pricing Theory
7. A Complete Model of Warrant Pricing that Maximizes Utility (with Paul A. Samuelson)
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. Financial Intermediation in the Continuous-Time Model


Part V: An Intertemporal Equilibrium Theory of Finance
15. A Intertemporal Capital Asset Pricing Model
16. A Complete-Markets General Equilibrium Theory of Finance in Continuous Time


Part VI: Applications of the Continuous-Time Model to Selected Issues in Public Finance: Long-Run Economic Growth, Public Pension Plans, Deposit Insurance, Loan Guarantees, and Endowment Management for Universities
17. A Asymptotic Theory of Growth Under Uncertainty
18. On Consumption-Indexed Public Pension Plans
19. A Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory
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