Continuous - Time Methods in Finance : A Review And An Assessment  

Oleh:

Sundaresan, Suresh M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 4 (2000), page 1569-1622.
Topik: FINANCE; studies; economic theory; capital markets; models; valuation
Fulltext: p 1569.pdf (243.52KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

I survey and assess the development of continuous - time methods in finance during the last 30 years. The suberiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory, asset pricing, and optimal consumption and portfolio choices. During the period 1981 to 1999 the theory has been extended and modoified to better explain empirical regularities in various subfields of finance. This latter subperiod has seen significant progress in econometric theory, computational and estimation methods to test and implement continuous - time models. Capital market frictions and bargaining issues are being increasingly incorporated in continuous - time theory.

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