Optimal strategies in a risky debt context

References

• Alvarez , L.H.R. 2001 . Reward functionals, salvage values, and optimal stopping . Math. Meth. Oper. Res. , 54 : 315 – 337 .
   Web of Science ®Google Scholar
• B. Dao, Approche structurelle du risque de crédit avec des processus mixtes diffusion-sauts, Ph.D. Thesis, University of Paris-Dauphine (2005)
   Google Scholar
• Davis , M.H.A. and Zervos , M. 1994 . A problem of singular stochastic control with discretionary stopping . Ann. Appl. Probab. , 4 ( 1 ) : 226 – 240 .
   Web of Science ®Google Scholar
• Decamps , J.P. and Villeneuve , S. 2007 . Optimal dividends policy and growth option . Finance Stoch. , 11 ( 1 ) : 3 – 27 .
   Web of Science ®Google Scholar
• J.P. Decamps and S. Villeneuve, On the modeling of debt maturity and endogenous default: a caveat, preprint (2008)
   Google Scholar
• S. Dewan and F. Ren, Information technology and firm boundaries: impact on risk-return profile, preprint (2006)
   Google Scholar
• D. Dorobantu, Modélisation du risque de défaut en entreprise', Ph.D. Thesis, University of Toulouse. Available at http://www.lsp.ups-tlse.fr/Fp/Dorobantu/ (2007)
   Google Scholar
• D. Dorobantu, Arrêt optimal pour les processus de Markov forts et les fonctions affines, submitted to CRAS. Available at http://www.lsp.ups-tlse.fr/Fp/Dorobantu/ (2008)
   Google Scholar
• C. Ducourtieux, La généreuse politique de dividendes des sociétés du CAC 40, daily paper ‘Le Monde’ appeared Tuesday 16th May (2006), p. 14
   Google Scholar
• Duffie , D. and Lando , D. 2001 . Term structures of credit spreads with incomplete accounting information . Econometrica , 69 : 633 – 664 .
   Web of Science ®Google Scholar
• Duffie , D. and Singleton , K.J. 1999 . Modeling term structures of defaultable bonds . Rev. Finance Studies. Special , 12 ( 4 ) : 687 – 720 .
   Web of Science ®Google Scholar
• Eberhart , A.C. , Moore , W.T. and Roenfeldt , R.L. 1990 . Security pricing and deviations from the absolute priority rule in bankruptcy proceedings . J. Finance , : 1457 – 1469 .
   Web of Science ®Google Scholar
• El Karoui , N. 1981 . Les Aspects Probabilistes du Contrôle Stochastique , Lecture Notes in Mathematics 876 73 – 238 . Berlin : Springer-Verlag .
   Google Scholar
• Franks , J.R. and Torous , W. 1989 . An empirical investigation of US firms in reorganization . J. Finance , 44 : 747 – 769 .
   Web of Science ®Google Scholar
• A. Gamba and A. Triantis, The value of financial flexibility, to appear in J. Finance (2007)
   Google Scholar
• Gerber , H.U. and Shiu , E.S.W. 1994 . Martingale approach to pricing perpetual American options . ASTIN Bull. , 24 : 195 – 220 .
   Google Scholar
• Guo , X. and Pham , H. 2005 . Optimal partially reversible investment with entry decision and general production function . Stoch. Process. Appl. , 115 : 705 – 736 .
   Web of Science ®Google Scholar
• Jeanblanc , M. and Shiryaev , A.N. 1995 . Optimization of the flow of dividends . Russian Math. Survey , 50 ( 2 ) : 257 – 277 .
   Web of Science ®Google Scholar
• Karatzas , I. and Shreve , S. 1988 . Brownian Motion and Stochastic Calculus , Berlin, Heidelberg, New York : Springer .
   Google Scholar
• Kou , S.G. and Wang , H. 2004 . Option pricing under a double exponential jump diffusion model . Manage. Sci. , : 1178 – 1192 .
   Web of Science ®Google Scholar
• Kyprianou , A.E. and Pistorius , M.R. 2003 . Perpetual options and Canadization through fluctuation theory . Ann. Appl. Probab. , 13 ( 3 ) : 1077 – 1098 .
   Web of Science ®Google Scholar
• Leland , H.E. 1994 . Corporate debt value, bond covenant, and optimal capital structure . J. Finance , 49 : 1213 – 1252 .
   Web of Science ®Google Scholar
• Leland , H.E. and Toft , K.B. 1996 . Optimal capital structure, endogenous bankruptcy and the term structure of credit spreads . J. Finance , 51 : 987 – 1019 .
   Web of Science ®Google Scholar
• Longstaff , F. and Schwartz , E. 1995 . A simple approach to valuing risky fixed and floating rate debt and determining swap spreads . J. Finance , 50 : 798 – 819 .
   Google Scholar
• Merton , R.C. 1974 . On the pricing of corporate debt: the risk structure of interest rates . J. Finance , 29 : 449 – 470 .
   Web of Science ®Google Scholar
• Modigliani , F. and Miller , M. 1958 . The cost of capital, corporation finance and the theory of investment . Am. Econ. Rev. , 48 : 267 – 297 .
   Web of Science ®Google Scholar
• Mordecki , E. 1999 . Optimal stopping for a diffusion with jumps . Finance Stoch. , 3 : 227 – 236 .
   Google Scholar
• Peyrelevade , J. 2005 . Le capitalisme total , Paris : Seuil .
   Google Scholar
• Pham , H. 2007 . Optimisation et contrôle stochastique appliqués à la finance , SMAI, Berlin : Springer .
   Google Scholar
• Powell , T.C. and Dent-Micallef , A. 1997 . Information technology as competitive advantage: the role of human, business and technology resources . Strat. Manage. J. , 18 ( 5 ) : 375 – 405 .
   Web of Science ®Google Scholar
• Shiryaev , A. 1978 . Optimal Stopping Rules , New York : Springer-Verlag .
   Google Scholar
• V.L. Vath, H. Pham, and S. Villeneuve, A mixed singular/switching control problem for a dividend policy with reversible technology investment, forthcoming J. Appl. Probab. (2006)
   Google Scholar
• Villeneuve , S. 2007 . On the threshold strategies and smooth-fit principle for optimal stopping problem . J. Appl. Probab. , 44 : 181 – 198 .
   Web of Science ®Google Scholar