Abstract
The notion of risk is linked to the idea of potential damage. So there are of course many kinds of risks. In the financial world the most important are: the default risk, the liquidity risk and the market risk. The default risk is the impossibility of a debtholder to keep his engagement. The liquidity risk is the temporary inability to get money from immobilizations. The market risk is the possibility to face losses, to miss opportunities or even to make profits from very fluctuating prices or rates in financial markets. So this last kind of risk is intrinsically associated with time and it is only this type of risk that we consider in this paper. Financial markets, lato sensu, are the very places where risk, time and financial decision meet.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Black, F., Scholes, M. (1973): “The Pricing of Options and Corporate Liabilities”. Journal of Political Economy. 81 pp. 637–659.
Conze, A., Viswanathan (1991): “Path Dependent Options: the Case of Lookback Options”. Journal of Finance, Vol. XLVI december.
Duffie, D. (1990): “The Theory of Value in Security Markets” (to appear in “The Handbook of Mathematical Economics”).
Harrison, J.M., Pliska, S. (1981): “Martingales and Stochastic Integrals in the Theory of Continuous Trading”. Stochastic Processes and their Applications, 11, pp. 313–316.
Karatzas, I., Shreve (1988): “Brownian Motion and Stochastic Calculus”. New-York: Springer Verlag.
Karlin, S., Taylor, H. (1975): “A First Course in Stochastic Processes”. Academic Press;
Merton, R. (1973): “Theory of Rationnal Option Pricing”. Bell Journal of Economics and Management Sciences, pp. 141–183.
Merton, R. (1990): “Continuous Time Model”. Blackwell.
Rubinstein, M. (1991): “Two into One”. Risk.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1994 Springer Science+Business Media Dordrecht
About this chapter
Cite this chapter
Quittard-Pinon, F., Sikorav, J. (1994). Risk, Time, and Financial Decision. In: Munier, B., Machina, M.J. (eds) Models and Experiments in Risk and Rationality. Theory and Decision Library, vol 29. Springer, Dordrecht. https://doi.org/10.1007/978-94-017-2298-8_16
Download citation
DOI: https://doi.org/10.1007/978-94-017-2298-8_16
Publisher Name: Springer, Dordrecht
Print ISBN: 978-90-481-4447-1
Online ISBN: 978-94-017-2298-8
eBook Packages: Springer Book Archive