Library Catalog
Amazon cover image
Image from Amazon.com

Continuous-Time Models in Corporate Finance, Banking, and Insurance : A User's Guide / Jean-Charles Rochet, Santiago Moreno-Bromberg.

By: Contributor(s): Material type: TextTextPublisher: Princeton, NJ : Princeton University Press, [2018]Copyright date: ©2018Description: 1 online resource (176 p.) : 15 line illusContent type:
Media type:
Carrier type:
ISBN:
  • 9780691176529
  • 9781400889204
Subject(s): Other classification:
  • online - DeGruyter
Online resources: Available additional physical forms:
  • Issued also in print.
Contents:
Frontmatter -- Contents -- Preface -- Introduction -- 1. Why Is Option Pricing Useful in Corporate Finance? -- 2. The Base Liquidity-Management Model -- 3. Equity Issuance -- 4. Applications to Banking -- 5. Applications to Insurance -- 6. Applications to Investment -- 7. Agency Frictions -- 8. Equilibrium Models -- Appendix A Proofs of Main Results and Technical Complements -- Appendix B The Modigliani-Miller Theorem -- Appendix C Useful Mathematical Results -- References -- Index
Summary: 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.
Holdings
Item type Current library Call number URL Status Notes Barcode
eBook eBook Biblioteca "Angelicum" Pont. Univ. S.Tommaso d'Aquino Nuvola online online - DeGruyter (Browse shelf(Opens below)) Online access Not for loan (Accesso limitato) Accesso per gli utenti autorizzati / Access for authorized users (dgr)9781400889204

Frontmatter -- Contents -- Preface -- Introduction -- 1. Why Is Option Pricing Useful in Corporate Finance? -- 2. The Base Liquidity-Management Model -- 3. Equity Issuance -- 4. Applications to Banking -- 5. Applications to Insurance -- 6. Applications to Investment -- 7. Agency Frictions -- 8. Equilibrium Models -- Appendix A Proofs of Main Results and Technical Complements -- Appendix B The Modigliani-Miller Theorem -- Appendix C Useful Mathematical Results -- References -- Index

restricted access online access with authorization star

http://purl.org/coar/access_right/c_16ec

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.

Issued also in print.

Mode of access: Internet via World Wide Web.

In English.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 27. Sep 2021)