Lecture Notes on Continuous Time Finance in Economics

10.1142/8759 ◽  
2013 ◽  
Author(s):  
Ser-Huang Poon
Keyword(s):  
Continuous Time ◽  
Lecture Notes ◽  
Continuous Time Finance

Continuous-Time Finance.

1991 ◽  
Vol 46 (4) ◽  
pp. 1567
Author(s):  
Stephen A. Ross ◽  
Robert C. Merton
Keyword(s):  
Continuous Time ◽  
Continuous Time Finance

Continuous-Time Finance.

1991 ◽  
Vol 101 (406) ◽  
pp. 643
Author(s):  
Michael J. P. Selby ◽  
Robert C. Merton
Keyword(s):  
Continuous Time ◽  
Continuous Time Finance

scholarly journals Fractional calculus and continuous-time finance

2000 ◽  
Vol 284 (1-4) ◽  
pp. 376-384 ◽  
Author(s):  
Enrico Scalas ◽  
Rudolf Gorenflo ◽  
Francesco Mainardi
Keyword(s):  
Fractional Calculus ◽  
Continuous Time ◽  
Continuous Time Finance

FINANCIAL CALCULUS: AN INTRODUCTION TO DERIVATIVE PRICING

1998 ◽  
Vol 14 (3) ◽  
pp. 365-368
Author(s):  
Bent E. Sørenson
Keyword(s):  
Continuous Time ◽  
Differential Calculus ◽  
Mathematical Finance ◽  
Derivative Pricing ◽  
Symbolic Notation ◽  
Continuous Time Finance

“Notoriously, works on mathematical finance can be precise, and they can be comprehensible. Sadly, as Dr. Johnson might have put it, the ones which are precise are not necessarily comprehensible, and those comprehensible are not necessarily precise.” So starts the preface to Baxter and Rennie's recent treatise on financial calculus. The book attempts to give an introduction to modern continuous time finance in a precise and comprehensible fashion. Does it succeed? Yes, it is a very clear and precise little (233 pages) book, although the claim that the book is accessible to a reader with only “some knowledge of (classical) differential calculus and experience with symbolic notation” is exaggerated. Such a reader would find the material hard going indeed.

scholarly journals Exponential functionals of Brownian motion and disordered systems

1998 ◽  
Vol 35 (2) ◽  
pp. 255-271 ◽  
Author(s):  
Alain Comtet ◽  
Cécile Monthus ◽  
Marc Yor
Keyword(s):  
Free Energy ◽  
Brownian Motion ◽  
Continuous Time ◽  
Disordered Systems ◽  
Heat Bath ◽  
One Dimensional ◽  
Disordered Models ◽  
Continuous Time Finance ◽  
Explicit Expressions

The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts, such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.

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