Continuous Time Models In Corporate Finance Banking And Insurance

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Continuous-Time Models in Corporate Finance, Banking, and Insurance

Author : Santiago Moreno-Bromberg
Publisher : Princeton University Press
ISBN 13 : 0691176523
Total Pages : 223 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Continuous-Time Models in Corporate Finance, Banking, and Insurance by : Santiago Moreno-Bromberg

Download or read book Continuous-Time Models in Corporate Finance, Banking, and Insurance written by Santiago Moreno-Bromberg and published by Princeton University Press. This book was released on 2018-01-08 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Economics of Continuous-Time Finance

Author : Bernard Dumas
Publisher : MIT Press
ISBN 13 : 0262036541
Total Pages : 641 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis The Economics of Continuous-Time Finance by : Bernard Dumas

Download or read book The Economics of Continuous-Time Finance written by Bernard Dumas and published by MIT Press. This book was released on 2017-10-27 with total page 641 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

A Game Theory Analysis of Options

Author : Alexandre C. Ziegler
Publisher : Springer Science & Business Media
ISBN 13 : 3540246908
Total Pages : 183 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis A Game Theory Analysis of Options by : Alexandre C. Ziegler

Download or read book A Game Theory Analysis of Options written by Alexandre C. Ziegler and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Continuous-Time Finance

Author : Robert C. Merton
Publisher : Wiley-Blackwell
ISBN 13 : 9780631185086
Total Pages : 754 pages
Book Rating : 4.1/5 (85 download)

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Book Synopsis Continuous-Time Finance by : Robert C. Merton

Download or read book Continuous-Time Finance written by Robert C. Merton and published by Wiley-Blackwell. This book was released on 1992-11-03 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert C. Merton's widely-used text provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. It covers individual finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.

Corporate Finance

Author : Pierre Vernimmen
Publisher : John Wiley & Sons
ISBN 13 : 1118849299
Total Pages : 994 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis Corporate Finance by : Pierre Vernimmen

Download or read book Corporate Finance written by Pierre Vernimmen and published by John Wiley & Sons. This book was released on 2014-10-09 with total page 994 pages. Available in PDF, EPUB and Kindle. Book excerpt: Merging theory and practice into a comprehensive, highly-anticipated text Corporate Finance continues its legacy as one of the most popular financial textbooks, with well-established content from a diverse and highly respected author team. Unique in its features, this valuable text blends theory and practice with a direct, succinct style and commonsense presentation. Readers will be introduced to concepts in a situational framework, followed by a detailed discussion of techniques and tools. This latest edition includes new information on venture finance and debt structuring, and has been updated throughout with the most recent statistical tables. The companion website provides statistics, graphs, charts, articles, computer models, and classroom tools, and the free monthly newsletter keeps readers up to date on the latest happenings in the field. The authors have generously made themselves available for questions, promising an answer in seventy-two hours. Emphasizing how key concepts relate to real-world situations is what makes Corporate Finance a valuable reference with real relevance to the professional and student alike. Readers will gain insight into the methods and tools that shape the industry, allowing them to: Analyze investments with regard to hurdle rates, cash flows, side costs, and more Delve into the financing process and learn the tools and techniques of valuation Understand cash dividends and buybacks, spinoffs, and divestitures Explore the link between valuation and corporate finance As the global economy begins to recover, access to the most current information and statistics will be required. To remain relevant in the evolving financial environment, practitioners will need a deep understanding of the mechanisms at work. Corporate Finance provides the expert guidance and detailed explanations for those requiring a strong foundational knowledge, as well as more advanced corporate finance professionals.

Financial Markets in Continuous Time

Author : Rose-Anne Dana
Publisher : Springer Science & Business Media
ISBN 13 : 354071149X
Total Pages : 331 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Financial Markets in Continuous Time by : Rose-Anne Dana

Download or read book Financial Markets in Continuous Time written by Rose-Anne Dana and published by Springer Science & Business Media. This book was released on 2007-07-12 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Oxford Guide to Financial Modeling

Author : Thomas S. Y. Ho
Publisher :
ISBN 13 : 019516962X
Total Pages : 762 pages
Book Rating : 4.1/5 (951 download)

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Book Synopsis The Oxford Guide to Financial Modeling by : Thomas S. Y. Ho

Download or read book The Oxford Guide to Financial Modeling written by Thomas S. Y. Ho and published by . This book was released on 2004 with total page 762 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Lectures on Corporate Finance

Author : Peter Bossaerts
Publisher : World Scientific Publishing Company
ISBN 13 : 9814365459
Total Pages : 268 pages
Book Rating : 4.8/5 (143 download)

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Book Synopsis Lectures on Corporate Finance by : Peter Bossaerts

Download or read book Lectures on Corporate Finance written by Peter Bossaerts and published by World Scientific Publishing Company. This book was released on 2006-10-16 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This course of lectures introduces students to elementary concepts of corporate finance using a more systematic approach than is generally found in other textbooks. Axioms are first highlighted and the implications of these important concepts are studied afterwards. These implications are used to answer questions about corporate finance, including issues related to derivatives pricing, state-price probabilities, dynamic hedging, dividends, capital structure decisions, and risk and incentive management. Numerical examples are provided, and the mathematics is kept simple throughout. In this second edition, explanations have been improved, based on the authors' experience teaching the material, especially concerning the scope of state-price probabilities in Chapter 12. There is also a new Chapter 22: Fourteen Insights.

Stochastic Optimization Models in Finance

Author : William T. Ziemba
Publisher : World Scientific
ISBN 13 : 981256800X
Total Pages : 756 pages
Book Rating : 4.8/5 (125 download)

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Book Synopsis Stochastic Optimization Models in Finance by : William T. Ziemba

Download or read book Stochastic Optimization Models in Finance written by William T. Ziemba and published by World Scientific. This book was released on 2006 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt: A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.

Financial Theory and Corporate Policy

Author : Thomas E. Copeland
Publisher :
ISBN 13 : 9781292021584
Total Pages : 924 pages
Book Rating : 4.0/5 (215 download)

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Book Synopsis Financial Theory and Corporate Policy by : Thomas E. Copeland

Download or read book Financial Theory and Corporate Policy written by Thomas E. Copeland and published by . This book was released on 2013-07-17 with total page 924 pages. Available in PDF, EPUB and Kindle. Book excerpt: This classic textbook in the field, now completely revised and updated, provides a bridge between theory and practice. Appropriate for the second course in Finance for MBA students and the first course in Finance for doctoral students, the text prepares students for the complex world of modern financial scholarship and practice. It presents a unified treatment of finance combining theory, empirical evidence and applications.

American Commercial Banks in Corporate Finance, 1929-1941

Author : Go Kang Tia
Publisher : Routledge
ISBN 13 : 1136802835
Total Pages : 456 pages
Book Rating : 4.1/5 (368 download)

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Book Synopsis American Commercial Banks in Corporate Finance, 1929-1941 by : Go Kang Tia

Download or read book American Commercial Banks in Corporate Finance, 1929-1941 written by Go Kang Tia and published by Routledge. This book was released on 2012-11-12 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: Through a systematic study of historical data, this book argues that a small group of New York banks, by means of term loans and working in close collaboration with their affiliated life insurance companies, exerted a strong influence over the supply of money and credit, and thus over the entire economy throughout the years of the depression. The book analyzes the growth of term loans under the depression, the concentration of the loans in a handful of powerful New York banks, the interplay between these banks and large life insurance companies in the capital market, and the resulting economic consequences. It also details the changes that took place in the leadership within the financial heirarchy during the depression: the J. D. Rockefeller interests replaced the Morgan-First National interests as the country's dominant financial power - a change that has escaped previous scholarly notice."

University of Michigan Official Publication

Author : University of Michigan
Publisher : UM Libraries
ISBN 13 :
Total Pages : 316 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis University of Michigan Official Publication by : University of Michigan

Download or read book University of Michigan Official Publication written by University of Michigan and published by UM Libraries. This book was released on 1999 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each number is the catalogue of a specific school or college of the University.

Dynamic Models and Structural Estimation in Corporate Finance

Author : Ilya A. Strebulaev
Publisher :
ISBN 13 :
Total Pages : 159 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Dynamic Models and Structural Estimation in Corporate Finance by : Ilya A. Strebulaev

Download or read book Dynamic Models and Structural Estimation in Corporate Finance written by Ilya A. Strebulaev and published by . This book was released on 2017 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Corporate Finance and Capital Structure

Author : Kentaro Asai
Publisher : Routledge
ISBN 13 : 1000320499
Total Pages : 105 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis Corporate Finance and Capital Structure by : Kentaro Asai

Download or read book Corporate Finance and Capital Structure written by Kentaro Asai and published by Routledge. This book was released on 2020-12-30 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance

Author : El Bachir Boukherouaa
Publisher : International Monetary Fund
ISBN 13 : 1589063953
Total Pages : 35 pages
Book Rating : 4.5/5 (89 download)

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Book Synopsis Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance by : El Bachir Boukherouaa

Download or read book Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Financial Modeling

Author : Simon Benninga
Publisher : MIT Press
ISBN 13 : 9780262024822
Total Pages : 648 pages
Book Rating : 4.0/5 (248 download)

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Book Synopsis Financial Modeling by : Simon Benninga

Download or read book Financial Modeling written by Simon Benninga and published by MIT Press. This book was released on 2000 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: Too often, finance courses stop short of making a connection between textbook finance and the problems of real-world business. "Financial Modeling" bridges this gap between theory and practice by providing a nuts-and-bolts guide to solving common financial problems with spreadsheets. The CD-ROM contains Excel* worksheets and solutions to end-of-chapter exercises. 634 illustrations.