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Springer Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

Amazon

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£144.26 £138.97 £140.12 £141.28 £142.43 £143.59 £144.74 26 July 2026 13 August 2026 31 August 2026 18 September 2026 06 October 2026
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Price range: £139 - £144

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Description

This Springer Finance book explores the intersection of continuous-time finance and investor beliefs, addressing a long-overlooked dimension in financial theory. Developed from the foundational work of R. C. Merton in the late 1960s and early 1970s, continuous-time finance has dominated portfolio theory and asset pricing through its analytical elegance. However, traditional continuous-time models largely neglected the role of investor expectations and beliefs, particularly because option pricing theory assumed expectations were irrelevant. This work examines how martingale pricing techniques and modern financial theory incorporate heterogeneous beliefs and incomplete information, providing essential insights for understanding real-world market behaviour where investors hold divergent views and operate with limited information.

Key Features

Springer Finance publication addressing the gap between continuous-time finance theory and investor belief systems.

Builds on foundational continuous-time finance principles whilst incorporating modern approaches to heterogeneous investor expectations.

Explores martingale pricing techniques and their application to markets with incomplete information and diverse investor beliefs.

Combines rigorous mathematical finance theory with practical implications for portfolio management and asset pricing under uncertainty.

Product Specifications

Format
hardcover
Domain
Amazon UK
Release Date
26 February 2003
Listed Since
22 December 2006

Barcode

No barcode data available

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