Continuous Time Models In Corporate Finance Banking And Insurance PDF Download
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| Author | : Santiago Moreno-Bromberg |
| Publisher | : Princeton University Press |
| Total Pages | : 223 |
| Release | : 2018-01-08 |
| Genre | : Business & Economics |
| ISBN | : 0691176523 |
Download Continuous-Time Models in Corporate Finance, Banking, and Insurance Book in PDF, ePub and Kindle
Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance of securities, and capital structure and default. They pay particular attention to financial intermediaries, including banks and insurance companies. The authors begin by recalling the ways that option-pricing techniques can be employed for the pricing of corporate debt and equity. They then present the dynamic model of the trade-off between taxes and bankruptcy costs and derive implications for optimal capital structure. The core chapter introduces the workhorse liquidity-management model—where liquidity and risk management decisions are made in order to minimize the costs of external finance. This model is used to study corporate finance decisions and specific features of banks and insurance companies. The book concludes by presenting the dynamic agency model, where financial frictions stem from the lack of interest alignment between a firm's manager and its financiers. The appendix contains an overview of the main mathematical tools used throughout the book. Requiring some familiarity with stochastic calculus methods, Continuous-Time Models in Corporate Finance will be useful for students, researchers, and professionals who want to develop dynamic models of firms' financial decisions.
| Author | : Bernard Dumas |
| Publisher | : MIT Press |
| Total Pages | : 641 |
| Release | : 2017-10-27 |
| Genre | : Business & Economics |
| ISBN | : 0262036541 |
Download The Economics of Continuous-Time Finance Book in PDF, ePub and Kindle
An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction of realistic models, particularly those involving incomplete markets. Indeed, most recent applications of continuous-time finance aim to capture the imperfections and dysfunctions of financial markets—characteristics that became especially apparent during the market turmoil that started in 2008. The book begins by using discrete time to illustrate the basic mechanisms and introduce such notions as completeness, redundant pricing, and no arbitrage. It develops the continuous-time analog of those mechanisms and introduces the powerful tools of stochastic calculus. Going beyond other textbooks, the book then focuses on the study of markets in which some form of incompleteness, volatility, heterogeneity, friction, or behavioral subtlety arises. After presenting solutions methods for control problems and related partial differential equations, the text examines portfolio optimization and equilibrium in incomplete markets, interest rate and fixed-income modeling, and stochastic volatility. Finally, it presents models where investors form different beliefs or suffer frictions, form habits, or have recursive utilities, studying the effects not only on optimal portfolio choices but also on equilibrium, or the price of primitive securities. The book strikes a balance between mathematical rigor and the need for economic interpretation of financial market regularities, although with an emphasis on the latter.
| Author | : Robert C. Merton |
| Publisher | : |
| Total Pages | : 700 |
| Release | : 1990 |
| Genre | : Finance |
| ISBN | : |
Download Continuous-time Finance Book in PDF, ePub and Kindle
| Author | : Alexandre C. Ziegler |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 200 |
| Release | : 2004-03-15 |
| Genre | : Business & Economics |
| ISBN | : 9783540206682 |
Download A Game Theory Analysis of Options Book in PDF, ePub and Kindle
Modern option pricing theory was developed in the late sixties and early seventies by F. Black, R. e. Merton and M. Scholes as an analytical tool for pricing and hedging option contracts and over-the-counter warrants. How ever, already in the seminal paper by Black and Scholes, the applicability of the model was regarded as much broader. In the second part of their paper, the authors demonstrated that a levered firm's equity can be regarded as an option on the value of the firm, and thus can be priced by option valuation techniques. A year later, Merton showed how the default risk structure of cor porate bonds can be determined by option pricing techniques. Option pricing models are now used to price virtually the full range of financial instruments and financial guarantees such as deposit insurance and collateral, and to quantify the associated risks. Over the years, option pricing has evolved from a set of specific models to a general analytical framework for analyzing the production process of financial contracts and their function in the financial intermediation process in a continuous time framework. However, very few attempts have been made in the literature to integrate game theory aspects, i. e. strategic financial decisions of the agents, into the continuous time framework. This is the unique contribution of the thesis of Dr. Alexandre Ziegler. Benefiting from the analytical tractability of contin uous time models and the closed form valuation models for derivatives, Dr.
| Author | : Rose-Anne Dana |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 331 |
| Release | : 2007-07-12 |
| Genre | : Business & Economics |
| ISBN | : 354071149X |
Download Financial Markets in Continuous Time Book in PDF, ePub and Kindle
This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of equilibrium theory and applies this in financial markets. The last part tackles market incompleteness and the valuation of exotic options.
| Author | : Frans de Weert |
| Publisher | : John Wiley & Sons |
| Total Pages | : 263 |
| Release | : 2010-12-13 |
| Genre | : Business & Economics |
| ISBN | : 0470664770 |
Download Bank and Insurance Capital Management Book in PDF, ePub and Kindle
In the aftermath of the financial crisis, capital management has become a critical factor in value creation for banks and other financial institutions. Although complex and subject to regulatory change, the strategic importance of capital management became apparent during the crisis and has moved the subject to the top of corporate agendas. Bank and Insurance Capital Management is an essential guide to help banks and insurance companies understand and manage their capital position. Bridging the gap between theory and practice, it provides proven techniques for managing bank capital, as well as explaining key capital management perspectives, including accounting, regulatory, risk and capital management and corporate finance. It also shows how to analyze a firm's stakeholders such as depositors, policy holders, debt holders and shareholders, and manage their expectations, and how to align risk and capital management so as to best optimize the return on capital and preserve capital in periods of stress. Economic capital is also discussed in depth, as are the practicalities of bank and insurance M&A, and the book also shows how financial innovations can be used to optimise the capital position and how diversification effects are reflected in the capital position. This book will arm readers with the knowledge and skills needed to understand how capital management can improve capital structure and performance, achieving an optimal cost of, and return on capital, creating value as a result.
| Author | : Thomas S. Y. Ho |
| Publisher | : |
| Total Pages | : 762 |
| Release | : 2004 |
| Genre | : Corporations |
| ISBN | : 019516962X |
Download The Oxford Guide to Financial Modeling Book in PDF, ePub and Kindle
The Oxford Guide to Financial Modeling is accompanied by a companion web site that serves as an interactive workbook designed specifically for the book. This site is simple to use yet exceedingly robust with regard to its technological efficiency and purposeful usability. It is designed to further enhance understanding of the use and applications of the models referred to in the book and it is accessible free of charge at www.thomasho.com. This on-line workbook and resource tool contains more than 95 downloadable Excel models. The models provide clear expositions of the mathematical formulations and can be used along with the book. The companion web site is rich with a plethora of research and analytic tools designed for "doing finance" on-line.
| Author | : University of Michigan |
| Publisher | : UM Libraries |
| Total Pages | : 316 |
| Release | : 1999 |
| Genre | : Education, Higher |
| ISBN | : |
Download University of Michigan Official Publication Book in PDF, ePub and Kindle
Each number is the catalogue of a specific school or college of the University.
| Author | : Kentaro Asai |
| Publisher | : Routledge |
| Total Pages | : 105 |
| Release | : 2020-12-30 |
| Genre | : Business & Economics |
| ISBN | : 1000320499 |
Download Corporate Finance and Capital Structure Book in PDF, ePub and Kindle
A concise guide for students to quickly grasp the essentials of capital structure theory, providing them with a “shortcut” to the comprehension of important frameworks and a “story” that allows them to see what each model is motivated by and aimed at, especially in relation to competing models. Thereby, the book exclusively allows readers to learn capital structure theory in an efficient and unified manner. In this book, the author captures, in a succinct way, the key frameworks that persistently appear in the corporate finance arena, such as the neutrality of capital structure in a frictionless capital market, trade-off theory, agency theory, security design, and information asymmetry. Suitable both as a core textbook for post-graduate or doctoral level students and as a concise guide for practitioners and regulators.
| Author | : Ilya A. Strebulaev |
| Publisher | : |
| Total Pages | : 159 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Dynamic Models and Structural Estimation in Corporate Finance Book in PDF, ePub and Kindle
We review the last two decades of research in dynamic corporate finance, focusing on capital structure and the financing of investment. We first cover continuous time contingent claims models, starting with real options models, and working through static and dynamic capital structure models. We then move on to corporate financing models based on discrete-time dynamic investment problems. We cover the basic model with no financing, as well as more elaborate models that include features such as costly external finance, cash holding, and both safe and risky debt. For all the models, we offer a minimalist, simplified presentation with a great deal of intuition. Throughout, we show how these models can answer questions concerning the effects of financial constraints on investment, the level of corporate leverage, the speed of adjustment of leverage to its target, and market timing, among others. Finally, we review and explain structural estimation of corporate finance models.
