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

A Game Theory Analysis of Options

Corporate Finance and Financial Intermediation in Continuous Time

Hardcover

Published: 15th March 2004
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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 the model was regarded as much broader. In the second part of their paper, the authors demonstrated that a levered firm's equity can be regarded as an option on the value of the firm, and thus can be priced by option valuation techniques. A year later, Merton showed how the default risk structure of cor­ porate bonds can be determined by option pricing techniques. Option pricing models are now used to price virtually the full range of financial instruments and financial guarantees such as deposit insurance and collateral, and to quantify the associated risks. Over the years, option pricing has evolved from a set of specific models to a general analytical framework for analyzing the production process of financial contracts and their function in the financial intermediation process in a continuous time framework. However, very few attempts have been made in the literature to integrate game theory aspects, i. e. strategic financial decisions of the agents, into the continuous time framework. This is the unique contribution of the thesis of Dr. Alexandre Ziegler. Benefiting from the analytical tractability of contin­ uous time models and the closed form valuation models for derivatives, Dr.

Methodological issuesp. 1
Credit and collateralp. 19
Endogenous bankruptcy and capital structurep. 39
Junior debtp. 77
Bank runsp. 101
Deposit insurancep. 123
Summary and conclusionp. 155
Referencesp. 161
List of figuresp. 167
List of symbolsp. 169
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783540206682
ISBN-10: 354020668X
Series: Springer Finance
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 176
Published: 15th March 2004
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.4 x 15.6  x 1.91
Weight (kg): 1.0
Edition Number: 2
Edition Type: Revised