A. D. Wilkie’s research while affiliated with Institut Supérieur de Commerce and other places

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Publications (3)


Applied Mathematics and Finance [and Discussion]
  • Article
  • Full-text available

June 1994

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333 Reads

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3 Citations

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R. Lacey

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A. D. Wilkie

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[...]

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My aim is to make some comments of a quite general nature about the relation between applied mathematics and finance, theoretical and practical. I shall begin with a brief description of a case in which `technology transfer' from a quite different area of mathematics, the Stefan problem, was helpful with a financial problem, namely the Black-Scholes approach to an American option. I then discuss some more general issues about the role of this kind of mathematics in finance and suggest some possible avenues for future progress.

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Stochastic Equity Volatility and the Capital Structure of the Firm [and Discussion]

June 1994

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75 Reads

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42 Citations

This paper develops a general model for equity volatility when the firm is financed by equity, debt and any other financial instruments like warrants and convertible bonds. The stochastic nature of equity volatility is endogenous and comes from the impact of a change in the value of the firm's assets on the financial leverage. We first present the basic model to value corporate securities, which is an extension of the Black-Scholes model. Then, we are able to propose an analytic approximation for equity volatility, which is shown to be extremely precise. Finally, we study the behaviour of equity volatility when the firm is financed by equity and debt.


Stochastic Equity Volatility and the Capital Structure of the Firm [and Discussion]

January 1994

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38 Reads

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12 Citations

Philosophical Transactions A

This paper develops a general model for equity volatility when the firm is financed by equity, debt and any other financial instruments like warrants and convertible bonds. The stochastic nature of equity volatility is endogenous and comes from the impact of a change in the value of the firm's assets on the financial leverage. We first present the basic model to value corporate securities, which is an extension of the Black-Scholes model. Then, we are able to propose an analytic approximation for equity volatility, which is shown to be extremely precise. Finally, we study the behaviour of equity volatility when the firm is financed by equity and debt.

Citations (2)


... On the other hand, managers engage in REM activities, which directly impact cash holdings and lead to moral hazard. This occurs when managers do not act in the best interests of shareholders, resulting in the misuse of free cash flows for personal interests, such as investing in pet projects or empire-building (Bensoussan et al., 2009;Boujelben et al., 2020;Chen, 2008;Greiner, 2017;Salas-Molina et al., 2023). Moreover, holding excess cash can inhibit performance, because it is easy for entrenched managers to reserve liquid assets for their personal ambitions (Yun et al., 2021). ...

Reference:

The Joint Effect of Earnings Management and Efficiency of Cash Management on Firms’ Financial Well-being: Evidence from Egypt
Stochastic Equity Volatility and the Capital Structure of the Firm [and Discussion]