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The Resource Continuous-time models in corporate finance, banking, and insurance, Santiago Moreno-Bromberg & Jean-Charles Rochet

Continuous-time models in corporate finance, banking, and insurance, Santiago Moreno-Bromberg & Jean-Charles Rochet

Label
Continuous-time models in corporate finance, banking, and insurance
Title
Continuous-time models in corporate finance, banking, and insurance
Statement of responsibility
Santiago Moreno-Bromberg & Jean-Charles Rochet
Creator
Contributor
Author
Subject
Language
eng
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. "--
Assigning source
Provided by publisher
Cataloging source
IDEBK
http://library.link/vocab/creatorName
Moreno-Bromberg, Santiago
Dewey number
658.1501/515222
Index
index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Rochet, Jean-Charles
http://library.link/vocab/subjectName
  • Corporations
  • Options (Finance)
  • Banks and banking
Label
Continuous-time models in corporate finance, banking, and insurance, Santiago Moreno-Bromberg & Jean-Charles Rochet
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • 1.3.1.
  • 4.3.3.
  • Numerical analysis
  • 4.4.
  • Further reading
  • 5.
  • Applications to Insurance
  • 5.1.
  • The base liquidity-management model with large losses
  • 5.1.1.
  • The variational inequality in the presence of large losses
  • The general form of the valuation equation
  • 5.1.2.
  • The value function
  • 5.1.3.
  • Computing the value function
  • 5.2.
  • Reinsuring Brownian risks
  • 5.2.1.
  • The dynamics of liquid reserves and the variational inequality
  • 5.2.2.
  • The partial-exposure region
  • 1.3.2.
  • 5.2.3.
  • The full-exposure region
  • 5.2.4.
  • Sensitivity analysis
  • 5.3.
  • Reinsuring large losses
  • 5.3.1.
  • The cash-reserves dynamics
  • 5.3.2.
  • The optimal reinsurance strategy
  • The price of a consol bond
  • 5.4.
  • Further reading
  • 6.
  • Applications to Investment
  • 6.1.
  • The "q-model" of corporate investment
  • 6.1.1.
  • The stock of capital and its productivity
  • 6.1.2.
  • Shareholder value
  • 1.4.
  • 6.1.3.
  • Tobin's q
  • 6.2.
  • Introducing external financial frictions
  • 6.2.1.
  • The impact of liquidity constraints on firm value
  • 6.2.2.
  • The size-adjusted value function
  • 6.2.3.
  • Optimal investment and Tobin's q
  • Dynamic trade-off theory
  • 6.3.
  • Adopting a new technology
  • 6.3.1.
  • The model
  • 6.3.2.
  • The interaction between investment and dividend payouts
  • 6.3.3.
  • The optimal investment time
  • 6.4.
  • Further reading
  • 1.4.1.
  • 7.
  • Agency Frictions
  • 7.1.
  • Asset substitution and capital structure
  • 7.1.1.
  • The model
  • 7.1.2.
  • The risk-shifting problem
  • 7.1.3.
  • The impact of risk shifting on firm value
  • Taxes and liquidation costs
  • 7.2.
  • Dynamic capital structure
  • 7.2.1.
  • The model
  • 7.2.2.
  • The manager's continuation utility
  • 7.2.3.
  • The principal's value function and the optimal contract
  • 7.2.4.
  • Implementing the optimal contract through the firm's capital structure
  • 1.4.2.
  • 7.3.
  • Preventing large risks
  • 7.3.1.
  • The model
  • 7.3.2.
  • The contracting problem
  • 7.3.3.
  • Addressing incentive compatibility
  • 7.3.4.
  • The financiers' value function
  • Asset pricing
  • 7.3.5.
  • The size-adjusted problem and the optimal contract
  • 7.4.
  • Further reading
  • 8.
  • Equilibrium Models
  • 8.1.
  • The Brunnermeier-Sannikov model
  • 8.1.1.
  • The model
  • 1.
  • 1.4.3.
  • 8.1.2.
  • The value function of a financial intermediary
  • 8.1.3.
  • The value function of households and the competitive equilibrium
  • 8.2.
  • An equilibrium version of the base model
  • 8.2.1.
  • The model
  • 8.2.2.
  • Equilibrium
  • Financial decisions
  • 8.2.3.
  • The long-term behavior of the economy
  • 8.3.
  • Insurance cycles
  • 8.3.1.
  • The model
  • 8.3.2.
  • Equilibrium
  • 8.3.3.
  • Dynamics of insurance prices
  • 1.4.4.
  • 8.4.
  • Further reading
  • Appendix A
  • Proofs of Main Results and Technical Complements
  • A.1.
  • Chapter 1
  • A.2.
  • Chapter 2
  • A.3.
  • Chapter 3
  • Testable predictions
  • A.4.
  • Chapter 4
  • A.5.
  • Chapter 5
  • A.6.
  • Chapter 7
  • A.7.
  • Chapter 8
  • Appendix B
  • The Modigliani-Miller Theorem
  • 1.5.
  • Appendix C
  • Useful Mathematical Results
  • C.1.
  • Filtrations, Martingales and Ito Processes
  • C.2.
  • The Ito Formula
  • C.3.
  • The Martingale Representation Theorem(s)
  • C.4.
  • The Optimal Sampling Theorem
  • Further reading
  • 2.
  • The Base Liquidity-Management Model
  • 2.1.
  • The dynamics of net earnings
  • Why Is Option Pricing Useful in Corporate Finance?
  • 2.2.
  • Risk-averse shareholders
  • 2.2.1.
  • Shareholder value
  • 2.2.2.
  • The optimal dividend flow
  • 2.2.3.
  • The value function
  • 2.3.
  • Risk-neutral shareholders
  • 1.1.
  • 2.3.1.
  • The dynamics of liquid reserves and the value function
  • 2.3.2.
  • The optimal dividend-distribution strategy
  • 2.3.3.
  • Economic implications
  • 2.4.
  • Further reading
  • 3.
  • Equity Issuance
  • Modeling assumptions
  • 3.1.
  • Fixed issuance cost and stock-price dynamics
  • 3.1.1.
  • Optimal equity issuance with a fixed issuance cost
  • 3.1.2.
  • The impact of equity-issuance on the value function
  • 3.1.3.
  • When is equity issuance too costly?
  • 3.1.4.
  • Stock-price dynamics
  • 1.2.
  • 3.2.
  • Proportional issuance cost
  • 3.2.1.
  • The value function with a proportional issuance cost
  • 3.2.2.
  • Characterizing the optimal dividend-distribution barrier
  • 3.2.3.
  • The optimal equity-issuance strategy when the issuance cost is proportional
  • 3.3.
  • Uncertain refinancing opportunities
  • Pricing corporate debt
  • 3.3.1.
  • The cash-reserves dynamics with uncertain refinancing
  • 3.3.2.
  • The amount of uncertain refinancing
  • 3.3.3.
  • The refinancing region and the target cash level
  • 3.4.
  • Further reading
  • 4.
  • Applications to Banking
  • 1.3.
  • 4.1.
  • A simple continuous-time model of a bank
  • 4.1.1.
  • The model
  • 4.1.2.
  • The impact of a minimum-capital requirement
  • 4.1.3.
  • A minimum-capital requirement with recapitalization
  • 4.2.
  • A bank's portfolio problem
  • Endogenous default date
  • 4.2.1.
  • Setting up the stochastic-control problem
  • 4.2.2.
  • The value function and the first-best
  • 4.3.
  • Optimal bank funding
  • 4.3.1.
  • The model
  • 4.3.2.
  • The optimal funding strategies
Control code
on1013734080
Dimensions
unknown
Extent
1 online resource
File format
unknown
Form of item
online
Isbn
9781400889204
Isbn Type
(electronic bk.)
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)1013734080
Label
Continuous-time models in corporate finance, banking, and insurance, Santiago Moreno-Bromberg & Jean-Charles Rochet
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • 1.3.1.
  • 4.3.3.
  • Numerical analysis
  • 4.4.
  • Further reading
  • 5.
  • Applications to Insurance
  • 5.1.
  • The base liquidity-management model with large losses
  • 5.1.1.
  • The variational inequality in the presence of large losses
  • The general form of the valuation equation
  • 5.1.2.
  • The value function
  • 5.1.3.
  • Computing the value function
  • 5.2.
  • Reinsuring Brownian risks
  • 5.2.1.
  • The dynamics of liquid reserves and the variational inequality
  • 5.2.2.
  • The partial-exposure region
  • 1.3.2.
  • 5.2.3.
  • The full-exposure region
  • 5.2.4.
  • Sensitivity analysis
  • 5.3.
  • Reinsuring large losses
  • 5.3.1.
  • The cash-reserves dynamics
  • 5.3.2.
  • The optimal reinsurance strategy
  • The price of a consol bond
  • 5.4.
  • Further reading
  • 6.
  • Applications to Investment
  • 6.1.
  • The "q-model" of corporate investment
  • 6.1.1.
  • The stock of capital and its productivity
  • 6.1.2.
  • Shareholder value
  • 1.4.
  • 6.1.3.
  • Tobin's q
  • 6.2.
  • Introducing external financial frictions
  • 6.2.1.
  • The impact of liquidity constraints on firm value
  • 6.2.2.
  • The size-adjusted value function
  • 6.2.3.
  • Optimal investment and Tobin's q
  • Dynamic trade-off theory
  • 6.3.
  • Adopting a new technology
  • 6.3.1.
  • The model
  • 6.3.2.
  • The interaction between investment and dividend payouts
  • 6.3.3.
  • The optimal investment time
  • 6.4.
  • Further reading
  • 1.4.1.
  • 7.
  • Agency Frictions
  • 7.1.
  • Asset substitution and capital structure
  • 7.1.1.
  • The model
  • 7.1.2.
  • The risk-shifting problem
  • 7.1.3.
  • The impact of risk shifting on firm value
  • Taxes and liquidation costs
  • 7.2.
  • Dynamic capital structure
  • 7.2.1.
  • The model
  • 7.2.2.
  • The manager's continuation utility
  • 7.2.3.
  • The principal's value function and the optimal contract
  • 7.2.4.
  • Implementing the optimal contract through the firm's capital structure
  • 1.4.2.
  • 7.3.
  • Preventing large risks
  • 7.3.1.
  • The model
  • 7.3.2.
  • The contracting problem
  • 7.3.3.
  • Addressing incentive compatibility
  • 7.3.4.
  • The financiers' value function
  • Asset pricing
  • 7.3.5.
  • The size-adjusted problem and the optimal contract
  • 7.4.
  • Further reading
  • 8.
  • Equilibrium Models
  • 8.1.
  • The Brunnermeier-Sannikov model
  • 8.1.1.
  • The model
  • 1.
  • 1.4.3.
  • 8.1.2.
  • The value function of a financial intermediary
  • 8.1.3.
  • The value function of households and the competitive equilibrium
  • 8.2.
  • An equilibrium version of the base model
  • 8.2.1.
  • The model
  • 8.2.2.
  • Equilibrium
  • Financial decisions
  • 8.2.3.
  • The long-term behavior of the economy
  • 8.3.
  • Insurance cycles
  • 8.3.1.
  • The model
  • 8.3.2.
  • Equilibrium
  • 8.3.3.
  • Dynamics of insurance prices
  • 1.4.4.
  • 8.4.
  • Further reading
  • Appendix A
  • Proofs of Main Results and Technical Complements
  • A.1.
  • Chapter 1
  • A.2.
  • Chapter 2
  • A.3.
  • Chapter 3
  • Testable predictions
  • A.4.
  • Chapter 4
  • A.5.
  • Chapter 5
  • A.6.
  • Chapter 7
  • A.7.
  • Chapter 8
  • Appendix B
  • The Modigliani-Miller Theorem
  • 1.5.
  • Appendix C
  • Useful Mathematical Results
  • C.1.
  • Filtrations, Martingales and Ito Processes
  • C.2.
  • The Ito Formula
  • C.3.
  • The Martingale Representation Theorem(s)
  • C.4.
  • The Optimal Sampling Theorem
  • Further reading
  • 2.
  • The Base Liquidity-Management Model
  • 2.1.
  • The dynamics of net earnings
  • Why Is Option Pricing Useful in Corporate Finance?
  • 2.2.
  • Risk-averse shareholders
  • 2.2.1.
  • Shareholder value
  • 2.2.2.
  • The optimal dividend flow
  • 2.2.3.
  • The value function
  • 2.3.
  • Risk-neutral shareholders
  • 1.1.
  • 2.3.1.
  • The dynamics of liquid reserves and the value function
  • 2.3.2.
  • The optimal dividend-distribution strategy
  • 2.3.3.
  • Economic implications
  • 2.4.
  • Further reading
  • 3.
  • Equity Issuance
  • Modeling assumptions
  • 3.1.
  • Fixed issuance cost and stock-price dynamics
  • 3.1.1.
  • Optimal equity issuance with a fixed issuance cost
  • 3.1.2.
  • The impact of equity-issuance on the value function
  • 3.1.3.
  • When is equity issuance too costly?
  • 3.1.4.
  • Stock-price dynamics
  • 1.2.
  • 3.2.
  • Proportional issuance cost
  • 3.2.1.
  • The value function with a proportional issuance cost
  • 3.2.2.
  • Characterizing the optimal dividend-distribution barrier
  • 3.2.3.
  • The optimal equity-issuance strategy when the issuance cost is proportional
  • 3.3.
  • Uncertain refinancing opportunities
  • Pricing corporate debt
  • 3.3.1.
  • The cash-reserves dynamics with uncertain refinancing
  • 3.3.2.
  • The amount of uncertain refinancing
  • 3.3.3.
  • The refinancing region and the target cash level
  • 3.4.
  • Further reading
  • 4.
  • Applications to Banking
  • 1.3.
  • 4.1.
  • A simple continuous-time model of a bank
  • 4.1.1.
  • The model
  • 4.1.2.
  • The impact of a minimum-capital requirement
  • 4.1.3.
  • A minimum-capital requirement with recapitalization
  • 4.2.
  • A bank's portfolio problem
  • Endogenous default date
  • 4.2.1.
  • Setting up the stochastic-control problem
  • 4.2.2.
  • The value function and the first-best
  • 4.3.
  • Optimal bank funding
  • 4.3.1.
  • The model
  • 4.3.2.
  • The optimal funding strategies
Control code
on1013734080
Dimensions
unknown
Extent
1 online resource
File format
unknown
Form of item
online
Isbn
9781400889204
Isbn Type
(electronic bk.)
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
c
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)1013734080

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