A Game Theory Analysis of Options: Corporate Finance and by Alexandre C. Ziegler

By Alexandre C. Ziegler

glossy choice pricing concept used to be built within the past due sixties and early seventies via F. Black, R. e. Merton and M. Scholes as an analytical instrument for pricing and hedging alternative contracts and over the counter warrants. How­ ever, already within the seminal paper through Black and Scholes, the applicability of the version was once considered as a lot broader. within the moment a part of their paper, the authors proven levered firm's fairness will be considered as an choice at the price of the enterprise, and hence might be priced through alternative valuation thoughts. A 12 months later, Merton confirmed how the default threat constitution of cor­ porate bonds might be made up our minds via alternative pricing recommendations. alternative pricing types are actually used to cost nearly the entire variety of monetary tools and monetary promises resembling deposit coverage and collateral, and to quantify the linked hazards. through the years, alternative pricing has developed from a suite of particular types to a normal analytical framework for interpreting the creation means of monetary contracts and their functionality within the monetary intermediation approach in a continual time framework. besides the fact that, only a few makes an attempt were made within the literature to combine video game thought elements, i. e. strategic monetary judgements of the brokers, into the continual time framework. this can be the original contribution of the thesis of Dr. Alexandre Ziegler. making the most of the analytical tractability of contin­ uous time versions and the closed shape valuation types for derivatives, Dr.

Show description

Read Online or Download A Game Theory Analysis of Options: Corporate Finance and Financial Intermediation in Continuous Time (Springer Finance) PDF

Similar game theory books

Open Economy Macrodynamics: An Integrated Disequilibrium Approach

Within the first a part of this e-book, we deal with interacting and small open economies. We do that from an historic standpoint, ranging from the Classical version of the most useful and the specie-flow mechanism and objective to teach there that the Dornbusch IS-LM-PC procedure, without or with rational expectancies, can nonetheless be regarded as a (if no longer the) middle contribution to contemporaneous open economic system macrodynamics, additionally at the point of structural macroeconometric version construction.

Social Media Marketing: Game Theory and the Emergence of Collaboration

Preface Social media marking has been heralded as a sea swap out there- shopper courting, yet its fast development and rabid following between m- keters has additionally produced a sea of misunderstanding. missing any sturdy framework for knowing how, why, and on what phrases the patron dating has replaced below social media, agents pursue new venues for his or her newness on my own – with decidedly combined effects.

Continuous-time Stochastic Control and Optimization with Financial Applications (Stochastic Modelling and Applied Probability)

Stochastic optimization difficulties come up in decision-making difficulties below uncertainty, and locate a number of functions in economics and finance. nonetheless, difficulties in finance have lately ended in new advancements within the thought of stochastic regulate. This quantity offers a scientific therapy of stochastic optimization difficulties utilized to finance by means of proposing different latest equipment: dynamic programming, viscosity strategies, backward stochastic differential equations, and martingale duality tools.

Mathematik für BWL-Bachelor: Schritt für Schritt mit ausführlichen Lösungen (Studienbücher Wirtschaftsmathematik) (German Edition)

Dieses Buch nimmt Sie an die Hand und führt Sie zielsicher zu bestandenen Prüfungen in der Mathematik-Grundausbildung Ihres Studiums. Als Autoren wurden zwei erfahrene Hochschullehrer gewonnen, denen die Berührungsängste und alle Unsicherheiten von BWL-Studierenden mit der Mathematik aus langjähriger Tätigkeit an den höchsten Schulen der Republik zutiefst vertraut sind.

Extra resources for A Game Theory Analysis of Options: Corporate Finance and Financial Intermediation in Continuous Time (Springer Finance)

Example text

Download PDF sample

Rated 4.43 of 5 – based on 4 votes