The foundations of continuous time finance / edited by Stephen M. Schaefer.

Contributor(s):

Schaefer, Stephen M

Material type: Text

TextSeries: The International library of critical writings in financial economics ; 8Publication details: Cheltenham, UK ; Northampton, MA : Edward Elgar Pub., 2001.Description: xxiv, 614 p. : ill. ; 25 cmISBN:

1858987504
9781858987507

Subject(s):

DDC classification:

332.6'01'5118 22

LOC classification:

HG173 .F68 2001

Summary: This book is an authoritative collection of twenty-five key papers in the development of continuous time finance. Its five sections cover the continuous time model, dynamic portfolio selection, equilibrium models, derivative pricing and, finally, term structure and other applications. It includes seminal contributions in areas such as: the martingale approach to no-arbitrage pricing; dynamic models of consumption and portfolio selection; the inter-temporal and consumption based asset pricing models; contingent claims pricing; the term structure of interest rates and the use of changes in numeraire in options pricing.

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Item type	Current library	Collection	Call number	Copy number	Status	Barcode
Monograph & others	CBN HQ Library		332.6'01'5118FOU (Browse shelf(Opens below))		Available	31008100037114
Monograph & others	CBN HQ Library		332.6'01'5118FOU (Browse shelf(Opens below))		Available	31008100037122
Monograph & others	CBN KANO BRANCH LIBRARY General Stacks	Non-fiction	332.6'01'5118 FOU (Browse shelf(Opens below))	c.1	Available	31008100653357
Monograph & others	CBN BAUCHI BRANCH LIBRARY General Stacks	Non-fiction	332.6'01'5118 FOU (Browse shelf(Opens below))	c.1	Available	31008100572318
Monograph & others	CBN ENUGU BRANCH LIBRARY General Stacks	Non-fiction	332.6'01'5118 FOU (Browse shelf(Opens below))	c. 1	Available	31008100632658
Monograph & others	CBN LAGOS LAISON OFFICE LIBRARY General Stacks		332.6'01'5118 FOU (Browse shelf(Opens below))	c.1	Available	31008100769328
Monograph & others	CBN LAGOS LEARNING CENTRE LIBRARY General Stacks	Non-fiction	332.6'01'5118 FOU (Browse shelf(Opens below))	c.1	Available	31008101248231

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Previous	332.4'973 BAN Banking, monetary policy and the political economy of financial regulation :	332.5'01'519 JOH Financial market complexity /	332.6'01 HAG The Dow Jones-Irwin guide to modern portfolio theory /	332.6'01'5118 FOU The foundations of continuous time finance /	332.6'0285 DUF Financial instrument pricing using C++ /	332.6'03'21 PES Words of Wall Street :	332.6'0942 GOF Theory and practice of investment	Next

Includes bibliographical references and index.

This book is an authoritative collection of twenty-five key papers in the development of continuous time finance. Its five sections cover the continuous time model, dynamic portfolio selection, equilibrium models, derivative pricing and, finally, term structure and other applications. It includes seminal contributions in areas such as: the martingale approach to no-arbitrage pricing; dynamic models of consumption and portfolio selection; the inter-temporal and consumption based asset pricing models; contingent claims pricing; the term structure of interest rates and the use of changes in numeraire in options pricing.

gau 27/06/14

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