Item description for A Structural Framework for the Pricing of Corporate Securities: Economic and Empirical Issues (Lecture Notes in Economics and Mathematical Systems) by Michael Genser...
This book is the first comprehensive treatment of structural credit risk models for the simultaneous and consistent pricing of corporate securities. Through the development of a flexible economic framework based on the firm's EBIT, the reader is taken from the economic principles of firm value models to the empirical implementation. Analytical solutions are provided if EBIT follows an arithmetic or geometric Brownian motion. In addition, numerical methods are proposed to solve more advanced economic settings or to price derivatives on corporate securities. Numerical examples make the theory easily accessible and show its ability to reproduce empirical observations. An econometric implementation guides towards practical application. Hence, the book provides a state-of-the-art exposition of corporate securities pricing for academics and practitioners alike.
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Est. Packaging Dimensions: Length: 9.2" Width: 6" Height: 0.5" Weight: 0.7 lbs.
Release Date Dec 20, 2005
ISBN 3540286837 ISBN13 9783540286837
Availability 83 units. Availability accurate as of Jan 23, 2017 10:59.
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