Essays on Contingent Claims PDF Download

Author: Michel Crouhy
Publisher: World Scientific
ISBN: 9814759341
Category : Business & Economics
Languages : en
Pages : 2039

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Book Description
Black and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate debt and equity. The BSM modeling framework is also named the 'structural' approach to risky debt valuation. The CCA considers all stakeholders of the corporation as holding contingent claims on the assets of the corporation. Each claim holder has different priorities, maturities and conditions for payouts. It is based on the principle that all the assets belong to all the liability holders.The BSM modeling framework gives the basic fundamental version of the structural model where default is assumed to occur when the net asset value of the firm at the maturity of the pure-discount debt becomes negative, i.e., market value of the assets of the firm falls below the face value of the firm's liabilities. In a regime of limited liability, the shareholders of the firm have the option to default on the firm's debt. Equity can be viewed as a European call option on the firm's assets with a strike price equal to the face value of the firm's debt. Actually, CCA can be used to value all the components of the firm's liabilities, equity, warrants, debt, contingent convertible debt, guarantees, etc.In the four volumes we present the major academic research on CCA in corporate finance starting from 1973, with seminal papers of Black and Scholes (1973) and Merton (1973, 1974). Volume I covers the foundation of CCA and contributions on equity valuation. Volume II focuses on corporate debt valuation and the capital structure of the firm. Volume III presents empirical evidence on the valuation of debt instruments as well as applications of the CCA to various financial arrangements. The papers in Volume IV show how to apply the CCA to analyze sovereign credit risk, contingent convertible bonds (CoCos), deposit insurance and loan guarantees. Volume 1: Foundations of CCA and Equity ValuationVolume 1 presents the seminal papers of Black and Scholes (1973) and Merton (1973, 1974). This volume also includes papers that specifically price equity as a call option on the corporation. It introduces warrants, convertible bonds and taxation as contingent claims on the corporation. It highlights the strong relationship between the CCA and the Modigliani-Miller (M&M) Theorems, and the relation to the Capital Assets Pricing Model (CAPM). Volume 2: Corporate Debt Valuation with CCAVolume 2 concentrates on corporate bond valuation by introducing various types of bonds with different covenants as well as introducing various conditions that trigger default. While empirical evidence indicates that the simple Merton's model underestimates the credit spreads, additional risk factors like jumps can be used to resolve it. Volume 3: Empirical Testing and Applications of CCAVolume 3 includes papers that look at issues in corporate finance that can be explained with the CCA approach. These issues include the effect of dividend policy on the valuation of debt and equity, the pricing of employee stock options and many other issues of corporate governance. Volume 4: Contingent Claims Approach for Banks and Sovereign DebtVolume 4 focuses on the application of the contingent claim approach to banks and other financial intermediaries. Regulation of the banking industry led to the creation of new financial securities (e.g., CoCos) and new types of stakeholders (e.g., deposit insurers).

Author: Jacques Drèze
Publisher: CUP Archive
ISBN: 9780521386975
Category : Business & Economics
Languages : en
Pages : 460

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Book Description
Professor Dreze is a highly respected mathematical economist and econometrician. This book brings together some of his major contributions to the economic theory of decision making under uncertainty, and also several essays. These include an important essay on 'Decision theory under moral hazard and state dependent preferences' that significantly extends modern theory, and which provides rigorous foundations for subsequent chapters. Topics covered within the theory include decision theory, market allocation and prices, consumer decisions, theory of the firm, labour contracts, and public decisions.

Author: Don M. Chance
Publisher: John Wiley & Sons
ISBN: 1118160649
Category : Business & Economics
Languages : en
Pages : 403

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Book Description
In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.

Author: Quentin Meillassoux
Publisher: A&C Black
ISBN: 0826496741
Category : Philosophy
Languages : en
Pages : 157

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Book Description
After Finitude provides readings of the history of philosophy and sets out a critique of the unavowed fideism at the heart of post-Kantian philosophy. Author Quentin Meillassoux introduces a philosophical alternative to the forced choice between dogmatism and critique. After Finitude proposes a new alliance between philosophy and science and calls for an unequivocal halt to the creeping return of religiosity in contemporary philosophical discourse.

Author: Scott Soames
Publisher: Princeton University Press
ISBN: 9780691136813
Category : Language Arts & Disciplines
Languages : en
Pages : 444

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Book Description
The two volumes of Philosophical Essays bring together the most important essays written by one of the world's foremost philosophers of language. Scott Soames has selected thirty-one essays spanning nearly three decades of thinking about linguistic meaning and the philosophical significance of language. A judicious collection of old and new, these volumes include sixteen essays published in the 1980s and 1990s, nine published since 2000, and six new essays. The essays in Volume 1 investigate what linguistic meaning is; how the meaning of a sentence is related to the use we make of it; what we should expect from empirical theories of the meaning of the languages we speak; and how a sound theoretical grasp of the intricate relationship between meaning and use can improve the interpretation of legal texts. The essays in Volume 2 illustrate the significance of linguistic concerns for a broad range of philosophical topics--including the relationship between language and thought; the objects of belief, assertion, and other propositional attitudes; the distinction between metaphysical and epistemic possibility; the nature of necessity, actuality, and possible worlds; the necessary a posteriori and the contingent a priori; truth, vagueness, and partial definition; and skepticism about meaning and mind. The two volumes of Philosophical Essays are essential for anyone working on the philosophy of language.

Author: Kenneth D. Garbade
Publisher: MIT Press
ISBN: 9780262072236
Category : Business & Economics
Languages : en
Pages : 442

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Book Description
Bringing together developments from the past 30years in contingent valuation, this book examines the relative value of securities in a corporation's capital structure, including debt of different priorities, convertible debt, common stock, and warrants.

Author: Jiro Akahori
Publisher: World Scientific
ISBN: 9814483095
Category : Mathematics
Languages : en
Pages : 410

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Book Description
This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and Lévy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings® (ISSHP® / ISI Proceedings)• Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences

Author: Robert Morris Townsend
Publisher:
ISBN:
Category :
Languages : en
Pages : 234

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Book Description

Author:
Publisher: World Scientific
ISBN: 9812702857
Category : Business & Economics
Languages : en
Pages : 410

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Book Description
This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and L(r)vy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in: OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings)OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)OCo CC Proceedings OCo Engineering & Physical Sciences"

Author: R. G. Collingwood
Publisher: Oxford University Press
ISBN: 0199280878
Category : History
Languages : en
Pages : 493

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Book Description
"An Essay on Philosophical Method contains the most sustained discussion in the twentieth century of the subject matter and method of philosophy and an unparalleled explanation of why philosophy has a distinctive domain of enquiry that differs from that of the sciences of nature. This new edition of the Essay focuses on Collingwood's contribution to metaphilosophy and locates his argument for the autonomy of philosophy against the twentieth century trend to naturalize its subject matter. Collingwood argues that the distinctions which philosophers make, for example, between the concepts of duty and utility in moral philosophy, or between the concepts of mind and body in the philosophy of mind, are not empirical taxonomies that cut nature at the joints but semantic distinctions to which there may correspond no empirical classes. This identification of philosophical distinctions with semantic distinctions provides the basis for an argument against the naturalization of the subject matter of philosophy for it entails that not all concepts are empirical concepts and not all classifications are empirical classifications. Collingwood's explanation of why philosophy has a distinctive subject matter thus constitutes a clear challenge to the project of radical empiricism."--Book cover.