Continuous-time finance
โ Scribed by Robert C. Merton
- Publisher
- Wiley-Blackwell
- Year
- 1992
- Tongue
- English
- Leaves
- 360
- Series
- Macroeconomics and Finance
- Category
- Library
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and d
In modern financial practice, asset prices are modelled by means of stochastic processes, and continuous-time stochastic calculus thus plays a central role in financial modelling. This approach has its roots in the foundational work of the Nobel laureates Black, Scholes and Merton. Asset prices are
<P>This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (