RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL‐OVER DEBT

DOI10.1111/j.1467-9965.2012.00532.xzbMath1304.91186OpenAlexW2155315533MaRDI QIDQ5411394

Jean-Paul Décamps, Stéphane Villeneuve

Publication date: 23 April 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/15174/1/rethinking.pdf

zbMATH Keywords

strategic defaultconstrained optimal stopping timepayoff dominant equilibrium

Mathematics Subject Classification ID

Applications of game theory (91A80) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Related Items

Credit market frictions and capital structure dynamics

Cites Work

• Optimal capital structure and endogenous default
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• On the optimal stopping problem for one-dimensional diffusions.
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Term Structures of Credit Spreads with Incomplete Accounting Information
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
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