Work

Option Pricing When Underlying Stock Returns are Discontinuous

Continuous-Time Portfolio Theory and the Pricing of Contingent Claims

An Asymptotic Theory of Growth Under Uncertainty

Theory of Finance from the Perspective of Continuous Time

The Optimality of a Competitive Stock Market

On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

Generalized Mean-Variance Tradeoffs for Best Perturbation Corrections to Approximate Portfolio Decisions

Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods

An Intertemporal Capital Asset Pricing Model

Book Review of Studies in the Theory of Capital Markets

Theory of Rational Option Pricing

The Relationship between Put and Call Option Prices: Comment

Continuous-Time Speculative Processes

An Analytical Derivation of the Efficient Portfolio Frontier

Optimum Consumption and Portfolio Rules in a Continuous-Time Model

Analytical Optimal Control Theory as Applied to Stochastic and Non-Stochastic Economics

A Golden Golden-Rule for Welfare-Maximization in an Economy with a Varying Population Growth Rate

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

Restrictions on Rational Option Pricing: A Set of Arbitrage Conditions

The ‘Motionless’ Motion of Swift’s Flying Island