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Continuous-Time Finance Paperback – November 3, 1992

ISBN-13: 978-0631185086 ISBN-10: 0631185089

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Product Details

  • Paperback: 754 pages
  • Publisher: Wiley-Blackwell (November 3, 1992)
  • Language: English
  • ISBN-10: 0631185089
  • ISBN-13: 978-0631185086
  • Product Dimensions: 1.6 x 5.9 x 8.9 inches
  • Shipping Weight: 2.3 pounds (View shipping rates and policies)
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (3 customer reviews)
  • Amazon Best Sellers Rank: #647,107 in Books (See Top 100 in Books)

Editorial Reviews


"The thoughtful way in which the book is organized, the connective sections, and the fullness of this remarkable scholar's accomplishments, succeed in making this collection into a watershed event in finance. It is a testament to how much of modern finance he has formulated, advanced, and, in a meaningful sense, brought to a satisfactory completeness. Modern finance has much to do, but it can do no better than to add to what Merton has already done, and I recommend this book to all who wish to learn what finance has been up to for the past two decades." Stephen Ross, Journal of Finance

<!--end-->"I do not see how one can undertake research in intertemporal asset-pricing under uncertainty without studying very carefully the past and present work of Robert C. Merton. Accordingly, Basil Blackwell has done the academic and non-academic finance community a great service by publishing this book." Michael Selby, The Economic Journal

"A coherent text that represents a bible on continuous-time finance. Anyone with an interest in financial economics will be aware of the outstanding achievements of Robert C. Merton. To these individuals the book will come as no disappointment. It will undoubtedly be a classic reference on continuous-time finance for many years to come." The Manchester School

"John Maynard Keynes alludes to economics in the following terms ...'the delightful paths of our own most agreeable branch of moral sciences, in which theory and fact, intuitive imagination and practical judgment, are blended in a manner comfortable to the human intellect.' Robert C. Merton's Continuous-time Finance, which comes to us more than 20 years after his first paper appeared, squarely fits this description." Suresh Sundaresan, Columbia University, The Review of Financial Studies

From the Back Cover

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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23 of 28 people found the following review helpful By A Customer on February 25, 2000
Format: Paperback
This book is a collection of thier(most of the parts are Merton's) papers written during the past 25 years. The papers are little bit changed so as to be cross-referenced through the book. Also You can find some comments in the book for the recent literatures. As you know, Dr. Merton introduced continuous-time approaches into the finance. This book deals with basic mathematics for the continuous time finance, portfolio selection, option pricing, and theory of intertemporal equilibrium. The value of this book is greater than that of papers copied separately in the library. Also it is a great pleasure to see how his theory has been evolved through the book.
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8 of 10 people found the following review helpful By Michael Emmett Brady on September 8, 2008
Format: Paperback
Merton's book presents the continuous time generalization of existing finance theory.A good representative section ,demonstrating his technique throughout the book,is contained in his generalization of the Tobin-Markowitz mean -variance approach using the log normal distribution to artificilly minimize the presence of outliers(pp.131-136).Throughout the book Merton uses the word " uncertainty " when he should be using the word " risk ".The entire book is based on the assumption that the central limit theorem holds so that one does not need to consider any other possible distribution shape except the normal because the distribution of the sample means will always be normally distributed for large samples taken from any other shaped distribution.However,this requires that the sample space be composed entirely of continuous and independent observations.The purpose of goodness of fit tests is to establish that the assumptions of the central limit theorem do,in fact ,hold.Nowhere in this book is a single goodness of fit test mentioned or reported.In fact,there is no discussion of any of the existing types of goodness of fit tests at all.Benoit Mandelbrot has demonstrated for about 50 years that the time series data on price changes in financial markets world wide is NOT continuous(they are discrete , bunched,and change in data jumps )and NOT independent(they are dependent-moreover, the time sequence of the events is extremely important).Mandelbrot's critique is thus a much more advanced form of the initial objections raised by J M Keynes to Jan Tinbergen's 1937-38 use of least squares to predict changes in investment spending over time, based primarily on Tinbergen's use of a lagged expectations variable,that appeared in the Economic Journal of 1939-40.Read more ›
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5 of 21 people found the following review helpful By A Customer on October 8, 1999
Format: Paperback
I think the Nobel Prize was not enough to thank Professor Merton for his thought. The absolute and necessary book to approach continuous time Finance.
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