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Author:   Stephen M. Schaefer ,  Stephen Schaefer ,  Richard Roll
Publisher:   Edward Elgar Publishing Ltd
Imprint:   Edward Elgar Publishing Ltd
Volume:   8
Weight:   0.584kg
ISBN:  

9781858987507

ISBN 10:   1858987504
Pages:   640
Publication Date:   25 April 2001
Audience:   College/higher education ,  Professional and scholarly ,  Undergraduate ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

Contents: Acknowledgements Foreword by Richard Roll Introduction Stephen Schaefer PART I THE CONTINUOUS TIME MODEL IN FINANCE 1. Robert C. Merton (1982), 'On the Mathematics and Economics Assumptions of Continuous-Time Models' 2. J. Michael Harrison, Richard Pitbladdo and Stephen M. Schaefer (1984), 'Continuous Price Processes in Frictionless Markets Have Infinite Variation' 3. J. Michael Harrison and David M. Kreps (1979), 'Martingales and Arbitrage in Multiperiod Securities Markets' 4. Darrell Duffie and Chi-fu Huang (1985), 'Implementing Arrow-Debreu Equilibria By Continuous Trading of Few Long-Lived Securities' PART II INTERTEMPORAL PORTFOLIO SELECTION 5. Robert C. Merton (1969), 'Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case' 6. Robert C. Merton (1971), 'Optimum Consumption and Portfolio Rules in a Continuous-Time Model' 7. John C. Cox and Chi-fu Huang (1989), 'Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process' 8. John C. Cox and Chi-fu Huang (1991), 'A Variational Problem Arising in Financial Economics' 9. Lucien Foldes (1978), 'Optimal Saving and Risk in Continuous Time' 10. M.H.A. Davis and A.R. Norman (1990), 'Portfolio Selection with Transaction Costs' PART III EQUILIBRIUM MODELS 11. Robert C. Merton (1973), 'An Intertemporal Capital Asset Pricing Model' 12. Douglas T. Breeden (1979), 'An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities' 13. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), 'An Intertemporal General Equilibrium Model of Asset Prices' 14. Douglas T. Breeden (1986), 'Consumption, Production, Inflation and Interest Rates: A Synthesis' 15. Hua He and Hayne Leland (1993), 'On Equilibrium Asset Price Processes' PART IV DERIVATIVE PRICING 16. Robert C. Merton (1977), 'On the Pricing of Contingent Claims and the Modigliani-Miller Theorem' 17. Richard Roll (1977), 'An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends' 18. William Margrabe (1978), 'The Value of an Option to Exchange One Asset for Another' 19. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto (1979), 'Path Dependent Options: Buy at the Low, Sell at the High ' 20. Farshid Jamshidian (1993), 'Option and Futures Evaluation with Deterministic Volatilities' 21. Helyette Geman, Nicole El Karoui and Jean-Charles Rochet (1995), 'Changes of Numeraire, Changes of Probability Measure and Option Pricing' PART V TERM STRUCTURE AND OTHER APPLICATIONS 22. Fischer Black and John C. Cox (1976), 'Valuing Corporate Securities: Some Effects of Bond Indenture Provisions' 23. Hayne E. Leland (1994), 'Corporate Debt Value, Bond Convenants, and Optimal Capital Structure' 24. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), 'A Theory of the Term Structure of Interest Rates' 25. M.J. Brennan and E.S. Schwartz (1985), 'Evaluating Natural Resource Investments' Name Index

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

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