Continuous-Time Finance [Paperback]

Robert C. Merton's widely-used text provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. It covers individual finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.Foreword by Paul A. Samuelson.

Preface.

.

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 Thlók