A game theory analysis of options

Corporate finance and financial intermediation in continuous time

Alexandre Ziegler - Collection Springer Finance

174 pages, parution le 01/04/2004 (2^eme édition)

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Résumé

This book shows how to combine game theory and option pricing in order to analyze dynamic multiperson decision problems in continuous time and under uncertainty.

The basic intuition of the method is to separate the problem of the valuation of payoffs from the analysis of strategic interactions. Whereas the former is to be handled using option pricing, the latter can be addressed by game theory. The text shows how both instruments can be combined and how game theory can be applied to complex problems of corporate finance and financial intermediation.

Besides providing theoretical foundations and serving as a guide to stochastic game theory modelling in continuous time, the text contains numerous applications to the theory of corporate finance and financial intermediation, such as the design of debt contracts, capital structure choice, the structure of banking deposit contracts, and the incentive effects of deposit insurance.

By combining arbitrage-free valuation techniques with strategic analysis, the game theory analysis of options actually provides the link between markets and organizations.

Sommaire

Methodological Issues
Credit and Collateral
Endogenous Bankruptcy and Capital Structure
Junior Debt
Bank Runs
Deposit Insurance

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Alexandre Ziegler
Collection	Springer Finance
Parution	01/04/2004
Édition	2^eme édition
Nb. de pages	174
Format	16 x 24
Couverture	Relié
Poids	399g
Intérieur	Noir et Blanc
EAN13	9783540206682
ISBN13	978-3-540-20668-2