Continuous-time Models In Corporate Finance, Banking, And Insurance Av Santiago Moreno-bromberg, Jean-charles Rochet

<p><i>Continuous-Time Models in Corporate Finance</i> 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.<br><br>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

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