CONIC FINANCE AND THE CORPORATE BALANCE SHEET

DOI10.1142/S0219024911006541MaRDI QIDQ3094324zbMATH OpenFDO

Authors 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

capital requirementsliability valuationtaxpayer put optionbid and ask pricesconcave distortionsclientele effectstwo price markets

Mathematics Subject Classification ID

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

Recommendations

• Applied conic finance
• Convex analysis and financial equilibrium
• Conic portfolio theory
• Nonlinear equity valuation using conic finance and its regulatory implications
• Conic coconuts: the pricing of contingent capital notes using conic finance
• Markets as a counterparty: an introduction to conic finance
• Coherence and anti-coherence resonance of corporation finance
• Conic asset pricing and the costs of price fluctuations
• Capital structure and tax convexity when the maturity of debt is finite

Cites work

• scientific article; zbMATH DE number 3487161 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 3307201 (Why is no real title available?)
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Capital requirements, acceptable risks and profits
• Coherent measures of risk
• Coherent risk measures and good-deal bounds
• Optimal capital structure and endogenous default
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

Cited in

(10)

• Pricing American options by a Fourier transform multinomial tree in a conic market
• Two price economies in continuous time
• Unbounded liabilities, capital reserve requirements and the taxpayer put option
• FIX: the fear index -- measuring market fear
• Dynamic conic hedging for competitiveness
• Conic coconuts: the pricing of contingent capital notes using conic finance
• Nonlinear equity valuation using conic finance and its regulatory implications
• TWO PROCESSES FOR TWO PRICES
• Bid and ask prices as non-linear continuous time G-expectations based on distortions
• Markets as a counterparty: an introduction to conic finance

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