I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

Based on courses developed by the author over several years, this book provides access to
a broad area of research that is not available in separate articles or books of readings …

We estimate and compare a variety of continuous‐time models of the short‐term riskless rate
using the Generalized Method of Moments. We find that the most successful models in …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Since the publication of the first edition of this book, the area of mathematical finance has
grown rapidly, with financial analysts using more sophisticated mathematical concepts, such …

This Paper uses intraday data from the interdealer government bond market to investigate
the effects of scheduled macroeconomic announcements on prices, trading volume, and bid …

We develop a two‐factor general equilibrium model of the term structure. The factors are the
short‐term interest rate and the volatility of the short‐term interest rate. We derive closed …

The last decades have seen the development of a profusion of theoretical models of the term
structure of interest rates. The aim of this survey is to provide a comprehensive review of …

This work is aimed at an audience with a sound mathematical background wishing to learn
about the rapidly expanding? eld of mathematical? nance. Its content is suitable particularly …