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Optimal capital structure and endogenous default

Hilberink, Bianca; Rogers, L.C.G. - In: Finance and Stochastics 6 (2002) 2, pp. 237-263

In a sequence of fascinating papers, Leland and Leland and Toft have investigated various properties of the debt and credit of a firm which keeps a constant profile of debt and chooses its bankruptcy level endogenously, to maximise the value of the equity. One feature of these papers is that the...

Persistent link: https://www.econbiz.de/10005390699

Optimal capital structure and endogenous default

Hilberink, Bianca; Rogers, Leonard C. G. - In: Finance and stochastics 6 (2002) 2, pp. 237-263

Persistent link: https://www.econbiz.de/10001662473

TWO-SECTOR STOCHASTIC GROWTH MODELS *

HARTLEY, P.M.; ROGERS, L.C.G. - In: Australian Economic Papers 44 (2005) 4, pp. 322-351

This paper develops the study of two-sector growth models of the form introduced by Arrow and Kurz (1970). We extend their deterministic model by allowing the population process to become random and by allowing the population to choose their level of effort. We find that under suitable...

Persistent link: https://www.econbiz.de/10005157681

Recovery of Preferences from Observed Wealth in a Single Realization

Dybvig, Philip H.; Rogers, L.C.G. - In: The review of financial studies 10 (1997) 1, pp. 151-174

Persistent link: https://www.econbiz.de/10007308657

Portfolio Turnpikes

Dybvig, Philip H.; Rogers, L.C.G.; Back, Kerry - In: The review of financial studies 12 (1999) 1, pp. 165-196

Persistent link: https://www.econbiz.de/10007344050

Stocks Paying Discrete Dividends: Modeling and Option Pricing

Korn, Ralf; Rogers, L.C.G. - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 44-48

Persistent link: https://www.econbiz.de/10005919524

Consistent fitting of one-factor models to interest rate data

Rogers, L.C.G.; Stummer, Wolfgang - In: Insurance / Mathematics & economics 27 (2000) 1, pp. 45-64

Persistent link: https://www.econbiz.de/10006906963

Estimating correlation from high, low, opening and closing prices Ee:230

Rogers, L.C.G.; Zhou, Fanyin - In: Operations research, Management science : OR MS ; the … 48 (2008) 4-5, pp. 477-478

Persistent link: https://www.econbiz.de/10008165355

Monte Carlo Valuation of American Options

Rogers, L.C.G. - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 271

Persistent link: https://www.econbiz.de/10008216215

ARTICLES - Robust Hedging of Barrier Options

Brown, Haydyn; Hobson, David; Rogers, L.C.G. - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 285-314

Persistent link: https://www.econbiz.de/10008216989