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Continuous-time finance

Continuous-time finance (1회 대출)

자료유형
단행본
개인저자
Merton, Robert C.
서명 / 저자사항
Continuous-time finance / Robert C. Merton ; foreword by Paul A. Samuelson.
발행사항
Cambridge, Mass. :   B. Blackwell,   1990.  
형태사항
xix, 700 p. : ill. ; 24 cm.
ISBN
0631158472
서지주기
Includes bibliographical references (p. 649-678) and index.
일반주제명
Finance --Mathematical models. Investments --Mathematical models. Portfolio management --Mathematical models. Options (Finance) --Mathematical models. Finance, Public --Mathematical models.
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008 891017s1990 maua b 00110 eng
020 ▼a 0631158472
040 ▼a DLC ▼c DLC ▼d DLC ▼d 244002
049 0 ▼l 151024818
050 0 0 ▼a HG173 ▼b .M44 1990
082 0 0 ▼a 332/.01/18 ▼2 20
090 ▼a 332.0118 ▼b M575c
100 1 ▼a Merton, Robert C.
245 1 0 ▼a Continuous-time finance / ▼c Robert C. Merton ; foreword by Paul A. Samuelson.
260 ▼a Cambridge, Mass. : ▼b B. Blackwell, ▼c 1990.
300 ▼a xix, 700 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references (p. 649-678) and index.
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.

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 세종학술정보원/사회과학실/ 청구기호 332.0118 M575c 등록번호 151024818 도서상태 대출가능 반납예정일 예약 서비스 C

컨텐츠정보

저자소개

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

정보제공 : Aladin

목차


CONTENTS
Foreword by Paul A. Samuelson = xi
Preface = xiii
Part Ⅰ : Introduction to Finance and the Mathematics of Continuous-Time Models
  1 Modern Finance = 3
  2 Introduction to Portfolio Selection and Capital Market = 16
  Theory : Static Analysis
    2.1 Introduction = 16
    2.2 One-Period Portfolio Selection = 17
    2.3 Risk Measures for Securities and Portfolios in the One-Period Model = 25
    2.4 Spanning, Separation, and Mutual-Fund Theorems = 33
  3 On the Mathematics and Economics Assumptions of Continuous-Time Models = 57
    3.1 Introduction = 57
    3.2 Continuous-Sample-Path Processes with "No Rare Events" = 65
    3.3 Continuous-Sample-Path Processes with "Rare Events" = 81
    3.4 Discontinuous-Sample-Path Processes with "Rare Events" = 86
Part Ⅱ : Optimum Consumption and Portfolio Selection in Continuous-Time Models
  4 Lifetime Portfolio Selection Under Uncertainty : The Continuous-Time Case = 97
    4.1 Introduction = 97
    4.2 Dynamics of the Model : The Budget Equation = 98
    4.3 The Two-Asset Model = 100
    4.4 Constant Relative Risk Aversion = 104
    4.5 Dynamic Behavior and the Bequest Valuation Function = 106
    4.6 Infinite Time Horizon = 108
    4.7 Economic Interpretation of the Optimal Decision Rules for Portfolio Selection and Consumption = 111
    4.8 Extension to Many Assets = 116
    4.9 Constant Absolute Risk Aversion = 117
    4.10 Other Extensions of the Model = 119
  5 Optimum Consumption and Portfolio Rules in a Continuous-Time Model = 120
    5.1 Introduction = 120
    5.2 A Digression on It o ^ Processes = 121
    5.3 Asset-Price Dynamics and the Budget Equation = 124
    5.4 Optimal Portfolio and Consumption Rules : The Equations of Optimality = 127
    5.5 Log-Normality of Prices and the Continuous-Time Analog to Tobin-Markowitz Mean-Variance Analysis = 131
    5.6 explicit Solutions for a Particular Class of Utility Functions = 137
    5.7 Noncapital Gains Income : Wages = 143
    5.8 Poisson Processes = 145
    5.9 Alternative Price Expectations to the Geometric Brownian Motion = 151
    5.10 Conclusion = 164
  6 Further Developments in the Theory of Optimal Consumption and Portfolio Selection = 166
    6.1 Introduction = 166
    6.2 The Cox-Huang Alternative to Stochastic Dynamic Programming = 169
    6.3 Optimal Portfolio Rules When the Nonnegativity Constraint on Consumption is Binding = 184
    6.4 Generalized Preferences and Their Impact on Optimal Portfolio Demands = 201
Part Ⅲ : Warrant and Option Pricing Theory
  7 A Complete Model of Warrant Pricing that Maximizes Utility = 215
  (with Paul A. Samuelson)
    7.1 Introduction = 215
    7.2 Cash-Stock Portfolio Analysis = 215
    7.3 Recapitulation of the 1965 Samuelson Model = 220
    7.4 Determining Average Stock Yield = 223
    7.5 Determining Warrant Holdings and Prices = 224
    7.6 Digression : General Equilibrium Pricing = 227
    7.7 Utility-Maximizing Warrant Pricing : The Important "Incipient" Case = 229
    7.8 Explicit Solutions = 231
    7.9 Warrants Never to be Converted = 235
    7.10 Exact Solution to the Perpetual Warrant Case = 236
    7.11 Illustrative Example = 239
    7.12 Proof of the Superiority of Yield of Warrants Over Yield of Common Stock = 243
    7.13 Conclusion = 245
  8 Theory of Rational Option Pricing = 255
    8.1 Introduction = 255
    8.2 Restrictions on Rational Option Pricing = 256
    8.3 Effects of Dividends and Changing Exercise Price = 268
    8.4 Restrictions on Rational Put Option Pricing = 276
    8.5 Rational Option Pricing along Black-Scholes Lines = 281
    8.6 An Alternative Derivation of the Black-Scholes Model = 284
    8.7 Extension of the Model to Include Dividend Payments and Exercise Price Changes = 294
    8.8 Valuing an American Put Option = 298
    8.9 Valuing the "Down-and-Out" Call Option = 300
    8.10 Valuing a Callable Warrant = 303
    8.11 Conclusion = 305
  9 Option Pricing When Underlying Stock Returns are Discontinuous = 309
    9.1 Introduction = 309
    9.2 The Stock-Price and Option-Price Dynamics = 312
    9.3 An Option Pricing Formula = 318
    9.4 A Possible Answer to an Empirical Puzzle = 324
  10 Further Developments in Option Pricing Theory = 330
    10.1 Introduction = 330
    10.2 Cox-Ross "Risk-Neutral" Pricing and the Binomial Option Pricing Model = 334
    10.3 Pricing Options on Futures Contracts = 347
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 = 357
    11.1 Introduction = 357
    11.2 A Partial-Equilibrium One-Period Model = 358
    11.3 Some Examples = 361
    11.4 A General Intertemporal Equilibrium Model of the Asset Market = 367
    11.5 Model Ⅰ : A Constant Interest Rate Assumption = 373
    11.6 Model Ⅱ : The "No Riskless Asset" Case = 380
    11.7 Model Ⅲ : The General Model = 382
    11.8 Conclusion = 386
  12 On the Pricing of Corporate Debt : The Risk Structure of Interest Rates = 388
    12.1 Introduction = 388
    12.2 On the Pricing of Corporate Liabilities = 389
    12.3 On the Pricing of "Risky" Discount Bonds = 392
    12.4 A Comparative Statics Analysis of the Risk Structure = 396
    12.5 On the Modigliani-Miller Theorem with Bankruptcy = 404
    12.6 On the Pricing of Risky Coupon Bonds = 409
    12.7 Conclusion = 411
  13 On the Pricing of Contingent Claims and the Modigliani-Miller Theorem = 413
    13.1 Introduction = 413
    13.2 A General Derivation of a Contingent-Claim Price = 415
    13.3 On the Modigliani-Miller Theorem with Bankruptcy = 419
    13.4 Applications of Contingent-Claims Analysis in Corporate Finance = 423
  14 Financial Intermediation in the Continuous-Time Model = 428
    14.1 Introduction = 428
    14.2 Derivative-Security Pricing with Transactions Costs = 432
    14.3 Production Theory for Zero-Transaction-Cost Financial Intermediaries = 441
    14.4 Risk Management for Financial Intermediaries = 450
    14.5 On the Role of Efficient Financial Intermediation in the Continuous-Time Model = 457
    14.6 Afterword : Policy and Strategy in Financial Intermediation = 467
Part Ⅴ : An Intertemporal Equilibrium Theory of Finance
  15 An Intertemporal Capital Asset Pricing Model = 475
    15.1 Introduction = 475
    15.2 Capital Market Structure = 477
    15.3 Asset Value and Rate of Return Dynamics = 478
    15.4 Preference Structure and Budget-Equation Dynamics = 484
    15.5 The Equations of Optimality : The Demand Functions for Assets = 485
    15.6 Constant Investment Opportunity Set = 488
    15.7 Generalized Separation : A Three-Fund Theorem = 490
    15.8 The Equilibrium Yield Relation among Assets = 493
    15.9 Empirical Evidence = 496
    15.10 An (m + 2) - Fund Theorem and the Security Market Hyperplane = 499
    15.11 The Consumption-Based Capital Asset Pricing Model = 512
    15.12 Conclusion = 519
  16 A Complete-Markets General Equilibrium Theory of Finance in Continuous Time = 524
    16.1 Introduction = 524
    16.2 Financial Intermediation with Dynamically-Complete Markets = 528
    16.3 Optimal Consumption and Portfolio Rules with Dynamically-Complete Markets = 537
    16.4 General Equilibrium : The Case of Pure Exchange = 549
    16.5 General Equilibrium : The Case of Production = 554
    16.6 A General Equilibrium Model in which the Capital Asset Pricing Model Obtains = 558
    16.7 Conclusion = 574
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 An Asymptotic Theory of Growth Under Uncertainty = 579
    17.1 Introduction = 579
    17.2 The Model = 580
    17.3 The Steady-State Distribution for k = 584
    17.4 The Cobb-Douglas / Constant-Savings-Function Economy = 586
    17.5 The Stochastic Ramsey Problem = 592
  18 On Consumption-Indexed Public Pension Plans = 606
    18.1 Introduction = 606
    18.2 A Simple Intertemporal Equilibrium Model = 609
    18.3 On the Merits and Feasibility of a Consumption-Indexed Public Plan = 616
  19 An analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees : An Application of Modern Option Pricing Theory = 625
    19.1 Introduction = 625
    19.2 A Model for Pricing Deposit Insurance = 627
  20. On the Cost of Deposit Insurance When There are Surveillance Costs = 634
    20.1 Introduction = 634
    20.2 Assumptions of the Model = 635
    20.3 The Evaluation of Federal Deposit Insurance Corporation Liabilities = 637
    20.4 The Evaluation of Bank Equity = 642
    20.5 On the Equilibrium Deposit Rate = 644
    20.6 Conclusion = 646
  21 Optimal Investment Strategies for University Endowment Funds = 649
    21.1 Introduction = 649
    21.2 Overview of Basic Insights and Prescriptions for Policy = 651
    21.3 The Model = 656
    21.4 Optimal Endowment Management with Other Sources of Income = 664
Bibliography = 675
Author Index = 710
Subject Index = 716

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