Continuous Time Finance (Revised Edition)

Author: Merton (USA), translated by Guo Duozuo et al.
Publisher:
Publish Date: 2005-04-01
Features: I can't imagine how someone studying intertemporal asset pricing under uncertain conditions could fail to study Robert C. Merton's past and present research findings very seriously. Therefore, this book by Blackwell Publishing will be highly beneficial to both the academic and practical fields of finance. It is a logically clear and concise book, equivalent to the Bible of continuous-time finance. Anyone interested in financial economics will recognize the outstanding achievements of Robert C. Merton. For these people, Merton's book will not be neglected, and it is undoubtedly a classic reference for many years to come. In terms of breadth and depth, this book is an ideal textbook for introducing doctoral students to continuous-time finance. Starting from a model where agents can adjust their decisions continuously, the book develops financial mathematics and financial economic theory. Time and uncertainty are core elements affecting financial economic behavior. It is precisely the complexity of their interaction that poses intellectual challenges and stirs excitement in financial research. Correctly analyzing the impact of their interaction typically requires sophisticated analytical tools. In fact, advanced mathematical training has become a prerequisite for researchers in this field. However, despite its complex mathematics, financial theory has had a direct and significant impact on financial practice. Comparing current practices with those of 20 years ago is enough to reveal the impact of theories such as the efficient market hypothesis, portfolio selection, risk analysis, and contingent claims pricing on money management, financial intermediaries, investment banking, corporate finance, and capital budgeting processes. One can even observe the influence of financial theory on legal issues, such as cases involving asset valuation, hearings on regulated industry returns, and the role of financial theory in the wave of innovative regulatory measures targeting the "sophisticated" behavior of trust institutions. Given that this book employs continuous-time modeling throughout, it might be logical to evaluate its context by considering the model as a comprehensive synthesis and a dividing line in financial theory.