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上课时间：周四晚7:00 上课地点：嘉二101
教材：Robert C. Merton, Continuous-Time
Finance, 1992.
1、上课安排
2、CTF-Chapter 2.ppt
3、On the Mathematics and
Economics Assumptions of Continuous-Time Models
4、Chp.4 Lifetime Portfolio
Selection Under Uncertainty
5、Chp.5 Optimum Consumption and
Portfolio Rules in a Continuous Time Model
6、supplemental
to chapter 3&4.doc
7、Chapter 6
8、Chp 7:A
Complete Model of Warrant pricing that Maximizes Utility
9、Chp.8 Theory of Rational Option
Pricing
10、CTF-9.ppt
11、CTF-10.ppt
12、CTF-11
13、Chapter 12: On the Pricing of
Corporate Debt
14、CTF-13: A Complete Model of
Warrant pricing that Maximizes Utility
15、Chapter 14
Financial Intermediation in the Continuous-Time Model
Further Readings:
1、Optimal Consumption and Investment with Transaction Costs and Multiple Risky
Assets.pdf
2、Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing.pdf
3、discount with
varying expected returns.pdf(好论文！）
4、The
Effects of Changes in Risk and Risk Taking A survey.pdf
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