• Continuous-time models in corporate finance, banking, and insurance[electronic resource] /
  • 紀錄類型: 書目-電子資源 : Monograph/item
    杜威分類號: 658.1501/515222
    書名/作者: Continuous-time models in corporate finance, banking, and insurance/ Santiago Moreno-Bromberg, Jean-Charles Rochet.
    作者: Moreno-Bromberg, Santiago.
    其他作者: Rochet, Jean-Charles.
    出版者: Princeton, NJ : : Princeton University Press,, c2018.
    面頁冊數: 1 online resource (224 p.) : : ill.
    標題: Banks and banking.
    標題: Corporations - Finance.
    標題: Options (Finance)
    ISBN: 9781400889204
    書目註: Includes bibliographical references and index.
    摘要、提要註: 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.
    電子資源: http://www.degruyter.com/isbn/9781400889204
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