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Continuous-time finance Rev. ed

Continuous-time finance Rev. ed (31회 대출)

Merton, Robert C.
서명 / 저자사항
Continuous-time finance / Robert C. Merton ; foreword by Paul A. Samuelson.
Rev. ed.
Cambridge, Mass. ;   Oxford :   B. Blackwell,   1992.  
xix, 732 p. : ill. ; 23 cm.
0631185089 (pbk.)
Previous ed.: 1990.  
Includes bibliographical references (p. 675-709) and indexes.
Finance -- Mathematical models. Investments -- Mathematical models. Portfolio management -- Mathematical models. Options (Finance) -- Mathematical models. Finance, Public -- Mathematical models.
Finance, Mathematical models,,
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100 1 ▼a Merton, Robert C.
245 1 0 ▼a Continuous-time finance / ▼c Robert C. Merton ; foreword by Paul A. Samuelson.
250 ▼a Rev. ed.
260 ▼a Cambridge, Mass. ; ▼a Oxford : ▼b B. Blackwell, ▼c 1992.
300 ▼a xix, 732 p. : ▼b ill. ; ▼c 23 cm.
500 ▼a Previous ed.: 1990.
504 ▼a Includes bibliographical references (p. 675-709) and indexes.
650 0 ▼a Finance ▼x Mathematical models.
650 0 ▼a Investments ▼x Mathematical models.
650 0 ▼a Portfolio management ▼x Mathematical models.
650 0 ▼a Options (Finance) ▼x Mathematical models.
650 0 ▼a Finance, Public ▼x Mathematical models.
653 0 ▼a Finance ▼a Mathematical models


No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.0118 M575c1 등록번호 111138171 도서상태 대출가능 반납예정일 예약 서비스 B M



Robert C. Merton(지은이)

미국 매사추세츠 공과대학 박사 MIT Sloan School 재무 교수, American Finance Association 회장 역임 1997년 노벨 경제학상 수상 현재 하버드대학교 경영대학 교수, National Academy of Sciences 회원

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Foreword by Paul A. Samuelson.



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.


Author Index.

Subject Index.

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