The introduction of the concepts of continuous-time optimization and stochastic process that have enabled financial economists to integrate both dynamics and uncertainty into the study of optimal intertemporal allocations of resources, portfolio selection, and the dynamic behaviour of security prices represents one of the great advances in economic theory of this generation. The ramifications of these concepts have been felt not only in the realm of academic economics but in the practice of investment banking, money management, and arbitrage trading. Economic theorists and finance practitioners alike turn to the work of Robert C. Merton as the seedbed for the theory of continuous-time finance theory. In this book, Merton provides an overview and synthesis of finance theory from the perspective of continuous-time analysis that covers individual financial choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance. The volume is built around Merton's most prominent papers, which he has brought up to date with postscripts, and newly written chapters on recent developments in portfolio theory, option and other derivative security pricing, financial intermediation, capital asset pricing, and general equilibrium analysis. Paul Samuelson.
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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 financial choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance. For this revised edition a new section on managing university endowments has been added.
The book begins with a foreword by Paul Samuelson.
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