A Structural Framework for the Pricing of Corporate Securities
| Autor: | Michael Genser |
|---|---|
| EAN: | 9783540286851 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 20.01.2006 |
| Untertitel: | Economic and Empirical Issues |
| Kategorie: | |
| Schlagworte: | Corporate Securities Corporate security prices Credit risk Firm value Firm value models Option Valuation |
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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.