Continuous-time models in corporate finance, banking, and insurance

By:

Moreno-Bromberg, Santiago

Contributor(s):

Rochet, Jean-Charles [Co author]

Material type: Text

TextPublication details: New Jersey Princeton University Press 2018Description: xi, 209 pISBN:

9780691176529

Subject(s):

DDC classification:

658.15 M6C6

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. " https://press.princeton.edu/titles/11030.html

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
Book	Ahmedabad General Stacks	Non-fiction	658.15 M6C6 (Browse shelf(Opens below))	Available		198161

Total holds: 0

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Previous	658.15 M3C2 Capital budgeting and company finance	658.15 M4B8 Business finance and the capital market	658.15 M6A2-2 Accounting systems for management control	658.15 M6C6 Continuous-time models in corporate finance, banking, and insurance	658.15 N2R3-3 Return on capital as a guide to managerial decisions	658.15 N2R3-4 Return on capital as a guide to managerial decisions	658.15 N3C2 Cases in finance	Next

Includes bibliographical references (pages 198-206) and index.

" 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. "

https://press.princeton.edu/titles/11030.html

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