Download or read book Five Essays on Contingent Claim Valuation written by Bjarke Jensen and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Questions in the Contingent Valuation Method written by Peter Frykblom and published by . This book was released on 1998 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Five Essays on the Pricing of Contingent Claims written by Leif B. G. Andersen and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Valuation of Contingent Claims written by In Joon Kim and published by . This book was released on 1987 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Contingent Valuation Method written by Chih-Chen Liu and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Valuation Problems of Contingent Claims written by Akihiko Takahashi and published by . This book was released on 1995 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Contingent Valuation written by Timothy Kenneth Munro Beatty and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 2001 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three essays on validating contingent valuation written by Philippe Polomé and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Contingent Claims written by Arjuna Indraeswaran Rajasingham and published by . This book was released on 1989 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Two Essays on a Contingent Valuation Model written by Dongil Kim and published by . This book was released on 2000 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Contingent Claims Pricing written by Anlong Li and published by . This book was released on 2006 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three research topics in contemporary financial option pricing theories and their applications. The common theme of those topics involves the pricing of financial claims whose value become path-dependent when using the usual lattice approximating schemes.The first essay explores the potential of transformation and other schemes in constructing a sequence of simple binomial processes that weakly converges to the desired diffusion limit. Convergence results are established for the valuation of both European and American contingent claims when the underlying asset prices are approximated by simple binomial processes. It is also demonstrated how to construct reflecting or absorbing binomial processes to approximate diffusions with boundaries. Numerical examples demonstrate that the proposed simple approximations not only converge, but also give more accurate results then existing methods such as Nelson and Ramaswamy (1990), especially for longer maturities.Our purpose in essay 2 is two-fold. First we extend some of the simple lattice-approximation methods for one-dimensional diffusions to higher dimensions and develop special lattices to approximate perfectly correlated diffusions. We then examine current modelling issues of the term structure of interest rates, and demonstrate how to apply the approximation techniques developed here to handle path-dependence and multi-sources of uncertainty in these models.The last essay analyzes the investment decisions of insured banks under fixed-rate deposit insurance. The model takes into account the charter value and allows banks to dynamically revise their asset portfolios. Trade-offs exists between preserving the charter and exploiting deposit insurance. The optimal bank portfolio problem is solved analytically for a constant charter value. In any audit period, banks maximize their risk exposure before some critical time and act cautiously thereafter. The corresponding deposit insurance is shown to be a put option that matures at this critical time rather than at the audit date.
Download or read book Valuing Public Goods with the Contingent Valuation Method written by Helen Rosemary Neill and published by . This book was released on 1992 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Systemic Contingent Claims Analysis written by Mr.Andreas A. Jobst and published by International Monetary Fund. This book was released on 2013-02-27 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from systemic linkages with a view towards enhancing the resilience of the financial sector. This paper presents a forward-looking framework ("Systemic CCA") to measure systemic solvency risk based on market-implied expected losses of financial institutions with practical applications for the financial sector risk management and the system-wide capital assessment in top-down stress testing. The suggested approach uses advanced contingent claims analysis (CCA) to generate aggregate estimates of the joint default risk of multiple institutions as a conditional tail expectation using multivariate extreme value theory (EVT). In addition, the framework also helps quantify the individual contributions to systemic risk and contingent liabilities of the financial sector during times of stress.
Download or read book Valuation Approaches and Metrics written by Aswath Damodaran and published by Now Publishers Inc. This book was released on 2005 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Valuation lies at the heart of much of what we do in finance, whether it is the study of market efficiency and questions about corporate governance or the comparison of different investment decision rules in capital budgeting. In this paper, we consider the theory and evidence on valuation approaches. We begin by surveying the literature on discounted cash flow valuation models, ranging from the first mentions of the dividend discount model to value stocks to the use of excess return models in more recent years. In the second part of the paper, we examine relative valuation models and, in particular, the use of multiples and comparables in valuation and evaluate whether relative valuation models yield more or less precise estimates of value than discounted cash flow models. In the final part of the paper, we set the stage for further research in valuation by noting the estimation challenges we face as companies globalize and become exposed to risk in multiple countries.
Download or read book Contingency Approaches to Corporate Finance written by Dan Galai and published by World Scientific Publishing Company. This book was released on 2019-01-30 with total page 2036 pages. Available in PDF, EPUB and Kindle. Book excerpt: Black and Scholes (1973) and Merton (1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the valuation of corporate debt and equity. The BSM modeling framework is also named the 'structural' approach to risky debt valuation. The CCA approach considers all stakeholders of the corporation as holding contingent claims on the assets of the corporation. Each claim holder has different priorities, maturities and conditions for payouts. It is based on the principle that all the assets belong to all the liability holders.In the structural approach the arrival of the default event relies on economic arguments for why firms default as it is explicitly related to the dynamics of the economic value of the firm. A standard structural model of default timing assumes that a corporation defaults when its assets drop to a sufficiently low level relative to its liabilities.The BSM modeling framework gives the basic fundamental version of the structural model where default is assumed to occur when the net asset value of the firm at the maturity of the pure-discount debt becomes negative, i.e., market value of the assets of the firm falls below the market value of the firm's liabilities. In a regime of limited liability, the shareholders of the firm have the option to default on the firm's debt. Equity can be viewed as a European call option on the firm's assets with a strike price equal to the face value of the firm's debt. Actually, CCA can be used to value all the components of the firm's liabilities. Option pricing models are used to value stocks, bonds, and many other types of corporate claims.Different versions of the model correspond to different assumptions about the conditions when a firm defaults. Merton (1974) assumes that the firm only defaults at the maturity date of the firm's outstanding debt when the net asset value of the firm, in market value terms, is negative. Others introduce other conditions for default. Also, different authors introduce more complicated capital structure with different kinds of bonds (e.g. senior and junior), warrants, corporate taxes, ESOP, and more. Volume 1: Foundations of CCA and Equity ValuationVolume 1 presents the seminal papers of Black and Scholes (1973) and Merton (1973, 1974). This volume also includes papers that specifically price equity as a call option on the corporation. It introduces warrants, convertible bonds and taxation as contingent claims on the corporation. It highlights the strong relationship between the CCA and the Modigliani-Miller (M&M) Theorems, and the relation to the Capital Assets Pricing Model (CAPM). Volume 2: CCA Approach to Corporate Debt ValuationVolume 2 concentrates on corporate bond valuation by introducing various types of bonds with different covenants as well as introducing various conditions that trigger default. While empirical evidence indicates that the simple Merton's model underestimates the credit spreads, additional risk factors like jumps can be used to resolve it. Volume 3: Issues in Corporate Finance with CCA ApproachVolume 3 includes papers that look at issues in corporate finance that can be explained with the CCA approach. These issues include the effect of dividend policy on the valuation of debt and equity, the pricing of employee stock options and many other issues of corporate governance. Volume 4: CCA Approach to Banking and Financial IntermediationVolume 4 focuses on the application of the contingent claim approach to banks and other financial intermediaries. Regulation of the banking industry led to the creation of new financial securities (e.g., CoCos) and new types of stakeholders (e.g., deposit insurers).
Download or read book Essays on Contingent Claims written by Gonzalo Cortazar and published by . This book was released on 1992 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Model Rules of Professional Conduct written by American Bar Association. House of Delegates and published by American Bar Association. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.
