The foundations of continuous time finance

목차 (Table of Contents)

• CONTENTS
• Acknowledgements = ⅸ
• Foreword / by Richard Roll = xi
• Introduction / Stephen Schaefer = xiii
• PART Ⅰ THE CONTINUOUS TIME MODEL IN FINANCE
• 1. Robert C. Merton(1982), 'On the Mathematics and Economics Assumptions of Continuous-Time Models', in William F. Sharpe and Cathryn M. Cootner(eds), Financial Economics : Essays in Honor of Paul Cootner, Englewood Cliffs : Prentice-Hall, 19-51 = 3
• 2. J. Michael Harrison, Richard Pitbladdo and Stephen M. Schaefer(1984), 'Continuous Price Processes in Frictionless Markets Have Infinite Variation', Journal of Business, 57(3), July, 353-65 = 36
• 3. J. Michael Harrison and David M. Kreps(1979), 'Martingales and Arbitrage in Multiperiod Securities Markets', Journal of Economic Theory, 20(3), June, 381-408 = 49
• 4. Darrell Duffie and Chi-fu Huang(1985), 'Implementing Arrow - Debreu Equilibria by Continuous Trading of a Few Long-Lived Securities', Econometrica, 53(6), November, 1337-56 = 77
• PART Ⅱ INTERTEMPORAL PORTFOLIO SELECTION
• 5. Robert C. Merton(1969), 'Lifetime Portfolio Selection Under Uncertainty : The Continuous-Time Case', Review of Economics and Statistics, 51(3), August, 247-57 = 99
• 6. Robert C. Merton(1971), 'Optimum Consumption and Portfolio Rules in a Continuous-Time Model', Journal of Economic Theory, 3(3), September, 373-413 = 110
• 7. John C. Cox and Chi-fu Huang(1989), 'Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process', Journal of Economic Theory, 49(1), 33-83 = 151
• 8. John C. Cox and Chi-fu Huang(1991), 'A Variational Problem Arising in Financial Economics', Journal of Mathematical Economics, 20(5), 465-87 = 202
• 9. Lucien Foldes(1978), 'Optimal Saving and Risk in Continuous Time', Review of Economic Studies, 45(1), February, 39-65 = 225
• 10. M.H.A. Davis and A.R. Norman(1990), 'Portfolio Selection with Transaction Costs', Mathematics of Operations Research, 15(4), November, 676-713 = 252
• PART Ⅲ EQUILIBRIUM MODELS
• 11. Robert C. Merton(1973), 'An Intertemporal Capital Asset Pricing Model', Econometrica, 41(5), September, 867-87 = 293
• 12. Douglas T. Breeden(1979), 'An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities', Journal of Financial Economics, 7(3), September, 265-96 = 314
• 13. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross(1985a), 'An Intertemporal General Equilibrium Model of Asset Prices', Econometrica, 53(2), March, 363-84 = 346
• 14. Douglas T. Breeden(1986), 'Consumption, Production, Inflation and Interest Rates : A Synthesis', Journal of Financial Economics, 16(1), May, 3-39 = 368
• 15. Hua He and Hayne Leland(1993), 'On Equilibrium Asset Price Processes', Review of Financial Studies, 6(3), 593-617 = 405
• PART Ⅳ DERIVATIVE PRICING
• 16. Robert C. Merton(1977), 'On the Pricing of Contingent Claims and the Modigliani-Miller Theorem', Journal of Financial Economics, 5(2), November, 241-9 = 433
• 17. Richard Roll(1977), 'An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends', Journal of Financial Economics, 5(2), November, 251-8 = 442
• 18. William Margrabe(1978), 'The Value of an Option to Exchange One Asset for Another', Journal of Finance, 33(1), March, 177-86 = 450
• 19. M. Barry Goldman, Howard B. Sosin and Mary Ann Gatto(1979), 'Path Dependent Options : "Buy at the Low, Sell at the High"', Journal of Finance, 34(5), December, 1111-127 = 460
• 20. Farshid Jamshidian(1993), 'Option and Futures Evaluation with Deterministic Volatilities', Mathematical Finance, 3(2), April, 149-59 = 477
• 21. H$$\acute e$$1yette Geman, Nicole El Karoui and Jean-Charles Rochet(1995), 'Changes of Num$$\acute e$$raire, Changes of Probability Measure and Option Pricing', Journal of Applied Probability, 32, 443-58 = 488
• PART Ⅴ TERM STRUCTURE AND OTHER APPLICATIONS
• 22. Fischer Black and John C. Cox(1976), 'Valuing Corporate Securities : Some Effects of Bond Indenture Provisions', Journal of Finance, 31(2), May, 351-67 = 507
• 23. Hayne E. Leland(1994), 'Corporate Debt Value, Bond Covenants, and Optimal Capital Structure', Journal of Finance, 49(4), September, 1213-252 = 524
• 24. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross(1985b), 'A Theory of the Term Structure of Interest Rates', Econometrica, 53(2), March, 385-407 = 564
• 25. Michael J. Brennan and Eduardo S. Schwartz(1985), 'Evaluating Natural Resource Investments', Journal of Business, 58(2), April, 135-57 = 587
• Name Index = 611