英文标题：
《The Leland-Toft optimal capital structure model under Poisson
  observations》
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作者：
Zbigniew Palmowski, Jos\\\'e Luis P\\\'erez, Budhi Arta Surya, Kazutoshi
  Yamazaki
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最新提交年份：
2020
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英文摘要：
  We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \\cite{Leland94} and Leland and Toft \\cite{Leland96}. Differently from the standard case, where shareholders observe continuously the asset value and bankruptcy is executed instantaneously without delay, we assume that the information of the asset value is updated only at intervals, modeled by the jump times of an independent Poisson process. Under the spectrally negative L\\\'evy model, we obtain the optimal bankruptcy strategy and the corresponding capital structure. A series of numerical studies are given to analyze the sensitivity of observation frequency on the optimal solutions, the optimal leverage and the credit spreads.
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中文摘要：
我们重温了由Leland和Toft首先研究的具有内生破产的最优资本结构模型。与标准情况不同，在标准情况下，股东持续观察资产价值，破产立即执行，没有延迟，我们假设资产价值信息仅在间隔时间更新，由独立泊松过程的跳跃时间建模。在谱负Levy模型下，我们得到了最优破产策略和相应的资本结构。通过一系列数值研究，分析了观测频率对最优解、最优杠杆率和信用利差的敏感性。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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