IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812775399_0008.html
   My bibliography  Save this book chapter

Dynamics II: Continuous Time

In: Financial Economics, Risk And Information An Introduction to Methods and Models

Author

Listed:
  • Marcelo Bianconi

    (Tufts University, USA)

Abstract

The following sections are included:Asset Price Dynamics, Options and the Black-Scholes ModelDiscrete Time Random WalksA Multiplicative Model in Discrete Time and a Preview of the Lognormal Random VariableIntroduction to Random Walk Models of Asset Prices in Continuous TimeA Multiplicative Model of Asset Prices in Continuous TimeIntroduction to Ito's Lemma and the Lognormal Distribution AgainIto's Formula: The General CaseAsset Price Dynamics and RiskOptionsThe Black-Scholes Partial Differential EquationThe Black-Scholes Formula for a European Call OptionSummary IIntroduction to Equilibrium Stochastic ModelsConsumption Growth and Portfolio Choice with Logarithmic UtilityConsumption Growth and Portfolio Choice with CRRA UtilityCapital Accumulation and Asset ReturnsRisk Aversion and Intertemporal SubstitutionSummary IIProblemsNotes on the LiteratureReferences

Suggested Citation

  • Marcelo Bianconi, 2003. "Dynamics II: Continuous Time," World Scientific Book Chapters, in: Financial Economics, Risk And Information An Introduction to Methods and Models, chapter 8, pages 452-513, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812775399_0008
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812775399_0008
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812775399_0008
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812775399_0008. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.