Dynamics II: Continuous Time

Marcelo Bianconi

Chapter 8 in Financial Economics, Risk and Information:An Introduction to Methods and Models, 2003, pp 452-513 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe 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

Keywords: Risk and Information; Systems of Financial Markets; Contracts and Asymmetric Information; General Equilibrium Under Uncertainty; Non-Convexities; Portfolio Choice and Asset Pricing (search for similar items in EconPapers)
Date: 2003
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