We propose a structural model for the valuation of defaultable securities of a firm which models the effect of deliberate misreporting done by insiders in the firm and unobserved by others. We derive exact formulas for equity and bond prices and approximate expressions for the conditional...

This paper examines the optimal consumption and investment problem for a quot;largequot; investor, whose portfolio choices affect the instantaneous expected returns on the traded assets. Alternatively, our analysis can be interpreted in terms of an optimal growth problem with nonlinear...

We study the problem of determining the minimum cost of super-replicating a non-negative contingent claim when there are convex constraints on the portfolio weights. It is shown that the optimal cost with constraints is equal to the price of a related claim without constraints. The related claim...