A Game Theory Analysis of Options Corporate Finance and Financial Intermediation in Continuous Time

A Game Theory Analysis of Options Corporate Finance and Financial Intermediation in Continuous Time / by Alexandre C. Ziegler.

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...

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Bibliographic Details
Main Author: Ziegler, Alexandre C. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2004.
Edition:2nd ed. 2004.
Series:Springer Finance,
Springer eBook Collection.
Subjects:
Public finance.
Finance.
Game theory.
Economics, Mathematical .
Economic theory.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 1 Methodological Issues
  • 1.1 Introduction
  • 1.2 Game Theory Basics: Backward Induction and Subgame Perfection
  • 1.3 Option Pricing Basics: The General Contingent Claim Equation
  • 1.4 The Method of Game Theory Analysis of Options
  • 1.5 When is the Method Appropriate?
  • 1.6 What Kind of Problems is the Method Particularly Suited for?
  • 1.7 An Example: Determining the Price of a Perpetual Put Option
  • 1.8 Outline of the Book
  • 2 Credit and Collateral
  • 2.1 Introduction
  • 2.2 The Risk-Shifting Problem
  • 2.3 The Observability Problem
  • 2.4 Conclusion
  • 3 Endogenous Bankruptcy and Capital Structure
  • 3.1 Introduction
  • 3.2 The Model
  • 3.3 The Value of the Firm and its Securities
  • 3.4 The Effect of Capital Structure on the Firm’s Bankruptcy Decision
  • 3.5 The Investment Decision
  • 3.6 The Financing Decision
  • 3.7 An Incentive Contract
  • 3.8 The Impact of Payouts
  • 3.9 Conclusion
  • 4 Junior Debt
  • 4.1 Introduction
  • 4.2 The Model
  • 4.3 The Value of the Firm and its Securities
  • 4.4 The Equity Holders’ Optimal Bankruptcy Choice
  • 4.5 The Firm’s Decision to Issue Junior Debt
  • 4.6 The Influence of Junior Debt on the Value of Senior Debt
  • 4.7 Conclusion
  • 5 Bank Runs
  • 5.1 Introduction
  • 5.2 The Model
  • 5.3 The Depositors’ Run Decision
  • 5.4 Valuing the Bank’s Equity
  • 5.5 The Shareholders’ Recapitalization Decision
  • 5.6 The Bank’s Investment Incentives when Bank Runs are Possible
  • 5.7 The Bank’s Funding Decision
  • 5.8 Determining the Equilibrium Deposit Spread
  • 5.9 Conclusion
  • 6 Deposit Insurance
  • 6.1 Introduction
  • 6.2 The Model
  • 6.3 Valuing Deposit Insurance, Bank Equity and Social Welfare
  • 6.4 The Guarantor’s Liquidation Strategy and Social Welfare
  • 6.5 The Incentive Effects of Deposit Insurance
  • 6.6 The Impact of Deposit Insurance on the Equilibrium Deposit Spread
  • 6.7 Deposit Insurance with Liquidation Delays
  • 6.8 Deposit Insurance with Unobservable Asset Value
  • 6.9 Conclusion
  • 7 Summary and Conclusion
  • References
  • List of Figures
  • List of Symbols.

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