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Original Essays | September 17, 2014

Merritt Tierce: IMG Has My Husband Read It?



My first novel, Love Me Back, was published on September 16. Writing the book took seven years, and along the way three chapters were published in... Continue »
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A Game Theory Analysis of Options: Ontinuous Time (Springer Finance)

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A Game Theory Analysis of Options: Ontinuous Time (Springer Finance) Cover

 

Synopses & Reviews

Publisher Comments:

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.

Table of Contents

Methodological Issues.- Credit and Collateral.- Endogenous Bankruptcy and Capital Structure.- Junior Debt.- Bank Runs.- Deposit Insurance.- Summary and Conclusion.

Product Details

ISBN:
9783540206682
Author:
ZIEGLER, ALEXANDRE
Publisher:
Springer
Author:
Ziegler, Alexandre C.
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
Economics - Theory
Subject:
Game Theory
Subject:
Banking
Subject:
Corporate Finance
Subject:
Financial Intermediation
Subject:
Finanzintermediation
Subject:
Incentives
Subject:
Option Pricing
Subject:
Optionspreistheorie
Subject:
Spieltheorie
Subject:
Finance/Investment/Banking
Subject:
Quantitative Finance
Subject:
Game Theory/Mathematical Methods <P>Integration of game theory aspects into the framework of continuous time finance</P> <P>Numerous figures allow the reader to visualize the results obtained in the formal mathematical analysis</P>
Subject:
Economics - General
Subject:
Game Theory/Mathematical Methods
Subject:
Economics
Subject:
Language, literature and biography
Subject:
mathematics and statistics
Subject:
Economics, mathematical
Copyright:
Edition Number:
2
Edition Description:
2nd ed. 2004
Series:
SPRINGER FINANCE
Publication Date:
April 2004
Binding:
HARDCOVER
Language:
English
Pages:
190
Dimensions:
2.30 in.

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Related Subjects

Business » Accounting and Finance
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History and Social Science » Economics » General
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Science and Mathematics » Mathematics » Modeling

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