CONIC FINANCE AND THE CORPORATE BALANCE SHEET

DOI10.1142/S0219024911006541zbMath1282.91370MaRDI QIDQ3094324

Dilip B. Madan, Wim Schoutens

Publication date: 24 October 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

clientele effectscapital requirementsliability valuationtaxpayer put optionbid and ask pricesconcave distortionstwo price markets

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (6)

Dynamic conic hedging for competitiveness ⋮ FIX: The Fear Index—Measuring Market Fear ⋮ Bid and ask prices as non-linear continuous time G-expectations based on distortions ⋮ Two price economies in continuous time ⋮ TWO PROCESSES FOR TWO PRICES ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market

Cites Work

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• Optimal capital structure and endogenous default
• Coherent Measures of Risk
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• Capital requirements, acceptable risks and profits
• Coherent risk measures and good-deal bounds

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