Continuous-Time Methods in Finance:
A Review and an Assessment

SURESH M. SUNDARESAN*

ABSTRACT
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 ideas in derivatives securities pricing, term structure theory, asset
pricing, and optimal consumption and portfolio choices. During the period 1981 to
1999 the theory has been extended and modified to better explain empirical regularities
in various subfields of finance. This latter subperiod has seen significant
progress in econometric theory, computational and estimation methods to test and
implement continuous-time models. Capital market frictions and bargaining issues
are being increasingly incorporated in continuous-time theory.

[此贴子已经被作者于2006-4-6 23:54:13编辑过]