- Paperback: 754 pages
- Publisher: Wiley-Blackwell; Reprint edition (November 3, 1992)
- Language: English
- ISBN-10: 0631185089
- ISBN-13: 978-0631185086
- Product Dimensions: 6 x 1.6 x 9.1 inches
- Shipping Weight: 2.7 pounds (View shipping rates and policies)
- Average Customer Review: 5.0 out of 5 stars See all reviews (5 customer reviews)
- Amazon Best Sellers Rank: #426,218 in Books (See Top 100 in Books)
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Continuous-Time Finance Reprint Edition
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"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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Top Customer Reviews
The conclusion that I have arrived at in this review is that Merton's techniques are valuable IF the data is continuous,independent,and path independent.On the other hand,Mandelbrot's approach is to be preferred if the time series data is discontinuous,dependent,and path dependent.Merton's approach implies that the private financial markets of the world are stable and convergent over time to a rational expectations equilibrium.The decision maker faces " mild " risk that can be insured against by the holding of various options and derivatives.Mandelbrot's approach implies that the world's private financial markets are unstable and do not converge to a rational expectations equilibrium.The decision maker faces " wild " risk that can't be insured against.