Continuous-Time Models in Corporate Finance, Banking, and Insurance: A User's Guide - Rilegato

Moreno-bromberg, Santiago; Rochet, Jean-Charles

Rilegato

ISBN 10: 0691176523 ISBN 13: 9780691176529

Casa editrice: Princeton Univ Pr, 2018

Riassunto

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.

Su questo libro

Informazioni sull?autore

Santiago Moreno-Bromberg is senior researcher in the Center for Finance and Insurance at the University of Zurich. Jean-Charles Rochet is professor of banking at the University of Zurich, senior chair and head of research at the Swiss Finance Institute, and research director at the Toulouse School of Economics.

Dalla quarta di copertina

"Moreno-Bromberg and Rochet have provided us with a self-contained, thorough, and up-to-date treatment of continuous-time models for the study of key issues in dynamic corporate finance, banking, and insurance. Their brilliantly lucid work makes the powerful tools of singular stochastic control available to a wide audience, and will undoubtedly become a must-read into the subject for students and practitioners alike."--Julien Hugonnier, Swiss Finance Institute

"This book provides a well-written introduction to continuous-time models in corporate finance and the methodology for solving related problems. It will be useful to researchers and students who are familiar with continuous-time methods in option pricing."--Jakša Cvitanic, California Institute of Technology

"Continuous-time stochastic methods have become essential for students who are interested in finance. Following historical and recent developments, this interesting book describes how dynamic corporate finance has emerged from stochastic methods issued from option pricing theory."--Stéphane Villeneuve, University of Toulouse

Dettagli dell'edizione

• Editore: Princeton Univ Pr
• Data di pubblicazione: 2018
• Lingua: Inglese
• ISBN 10: 0691176523
• ISBN 13: 9780691176529
• Rilegatura: Copertina rigida
• Numero di pagine: 209
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile