Continuous-Time Finance

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Summary: The bible of continuous time approach to financial theory
Review: I think the Nobel Prize was not enough to thank Professor Merton for his thought. The absolute and necessary book to approach continuous time Finance.

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Summary: an amazing autobiography of a legendary men
Review: This book is a collection of Merton's papers published between the 70's and 90's with slight modification to fit the format of a book. Although today's research papers still refer to Merton frequently, seldom are they direct extension of Merton's works. With today's more powerful math tools and more sophisticated financial models, we may find Merton's papers too simple, just like Newton's calculus. But every time I open this book, I am always full of amazement: before Merton, only very primary math tools were applied to finance, how beautifull he fitted practically every area of finance and financial economics into the framework of modern math, and today's more beautiful works all start from there. This book is definitely a better biography of this legendary men.

PS: if you are a quant, don't forget to thank him for creating your job.

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Summary: Collection of past papers
Review: This book is a collection of thier(most of the parts are Merton's) papers written during the past 25 years. The papers are little bit changed so as to be cross-referenced through the book. Also You can find some comments in the book for the recent literatures. As you know, Dr. Merton introduced continuous-time approaches into the finance. This book deals with basic mathematics for the continuous time finance, portfolio selection, option pricing, and theory of intertemporal equilibrium. The value of this book is greater than that of papers copied separately in the library. Also it is a great pleasure to see how his theory has been evolved through the book.