Capital structure and risk acceptability

DOI10.3934/FMF.2024020MaRDI QIDQ6953021zbMATH OpenFDO

Authors Dilip B. Madan, K.-H. Wang

Publication date 25 July 2025

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/FMF.2024020

zbMATH Keywords

bilateral gamma processconic financemonetary utilitysaddle point optimization

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Convex programming (90C25) Corporate finance (dividends, real options, etc.) (91G50) Statistical methods; risk measures (91G70)

Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• Applied conic finance
• Asset pricing theory for two price economies
• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• Bilateral gamma distributions and processes in financial mathematics
• Coherent measures of risk
• Conditional nonlinear expectations
• Dynamic monetary risk measures for bounded discrete-time processes
• Financial finance
• scientific article; zbMATH DE number 46303 (Why is no real title available?)
• scientific article; zbMATH DE number 1502618 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Infinite dimensional analysis. A hitchhiker's guide.
• Markets as a counterparty: an introduction to conic finance
• Martingales and arbitage in securities markets with transaction costs
• Measuring and monitoring the efficiency of markets
• Monetary utility functions on \(C_b(X)\) spaces
• New developments on the Modigliani-Miller theorem
• New formulations of ambiguous volatility with an application to optimal dynamic contracting
• Nonlinear valuation and non-Gaussian risks in finance
• Random \(G\)-expectations
• Risk conscious investment
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similar processes with independent increments
• Stochastic finance. An introduction in discrete time
• The fundamental theorem of asset pricing under transaction costs
• The Variance Gamma Process and Option Pricing
• Weighted V\@R and its properties

Cited in

(1)

• Optimal spot slides

This page was built for publication: Capital structure and risk acceptability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6953021)