Chapter1998

Differential Equations

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

Abstract Here the theory developed in the previous chapter is used to analyse stochastic differential equations. These will later on be used to describe the behaviour of asset price processes.

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1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 1977An equilibrium characterization of the term structure 1979Option pricing: A simplified approach 1971Optimum consumption and portfolio rules in a continuous-time model 1976Option pricing when underlying stock returns are discontinuous

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