TY  - BOOK
AU  - Schaefer,Stephen M.
TI  - The foundations of continuous time finance
SN  - 1858987504
AV  - HG173 .F68 2001
U1  - 332.6'01'5118 22
PY  - 2001///
CY  - Cheltenham, UK, Northampton, MA
PB  - Edward Elgar Pub.
KW  - Finance, Public
KW  - Mathematical models
KW  - Portfolio management
KW  - Options (Finance)
KW  - Finance
KW  - Investments
N1  - Includes bibliographical references and index
N2  - 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.
ER  -