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On The Relationship Of The Dynamic Programming Approach And The Contingent Claim Approach To Asset Valuation
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Book Synopsis Strategy, Value and Risk - The Real Options Approach by : J. Rogers
Download or read book Strategy, Value and Risk - The Real Options Approach written by J. Rogers and published by Springer. This book was released on 2002-06-25 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 1990s shareholder value was applied to all aspects of corporate strategy and management decisions as a result of intense competition, globalization, advances in technology, deregulation and the financial markets. As we enter the twentyfirst century the business environment is one of increasing creative destruction, where competitive advantage is much harder to sustain. Real Options , a type of advanced financial analysis, applies financial option theory to real assets and offers a strategic framework that recognizes the need for management flexibility and to leverage risk in this corporate environment.
Book Synopsis Strategy, Value and Risk by : J. Rogers
Download or read book Strategy, Value and Risk written by J. Rogers and published by Springer. This book was released on 2009-09-18 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updated and revised, this second edition applies advanced financial analytics within a strategic framework that recognizes an environment where sustainable competitive advantage is a progressively more difficult task. Real Options offer the link to value and the strategic opportunities that lie in an increasingly dynamic landscape
Book Synopsis Financial Engineering with Finite Elements by : Juergen Topper
Download or read book Financial Engineering with Finite Elements written by Juergen Topper and published by John Wiley & Sons. This book was released on 2005-06-24 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets
Book Synopsis Investment under Uncertainty by : Robert K. Dixit
Download or read book Investment under Uncertainty written by Robert K. Dixit and published by Princeton University Press. This book was released on 2012-07-14 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: How should firms decide whether and when to invest in new capital equipment, additions to their workforce, or the development of new products? Why have traditional economic models of investment failed to explain the behavior of investment spending in the United States and other countries? In this book, Avinash Dixit and Robert Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made. In so doing, they answer important questions about investment decisions and the behavior of investment spending. This new approach to investment recognizes the option value of waiting for better (but never complete) information. It exploits an analogy with the theory of options in financial markets, which permits a much richer dynamic framework than was possible with the traditional theory of investment. The authors present the new theory in a clear and systematic way, and consolidate, synthesize, and extend the various strands of research that have come out of the theory. Their book shows the importance of the theory for understanding investment behavior of firms; develops the implications of this theory for industry dynamics and for government policy concerning investment; and shows how the theory can be applied to specific industries and to a wide variety of business problems.
Book Synopsis Flexibility in Buyer-Seller Relationships by : Ellen Roemer
Download or read book Flexibility in Buyer-Seller Relationships written by Ellen Roemer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ellen Roemer analyzes the flexibility trade-off in buyer-seller relationships. She investigates how relationships should be managed when there is behavioral and environmental uncertainty.
Book Synopsis Real Options Illustrated by : Linda Peters
Download or read book Real Options Illustrated written by Linda Peters and published by Springer. This book was released on 2016-03-23 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains the standard Real Options Analysis (ROA) literature in a straightforward, step by step manner without the use of complex mathematics. A lot of ROA literature is described through partial differential equations, probability density functions and simulation techniques, all of which may be unconvincing in the applicable qualities ROA possesses. Using this book, the reader will have a better grasp about how ROA works and will be able to provide his or her judgment about ROA, since all the basics, as well as its positive and negative qualities, are discussed. Real Options Illustrated provides practitioners with a real options framework and encourages readers to study the methodology using the in-depth explanations. This introduction to ROA is sufficient to equip readers with ROA basics, enabling them to perform future independent research. From this book, readers can judge whether ROA is of any value to their field.
Download or read book Journal of Applied Probability written by and published by . This book was released on 2000 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Strategy, Value and Risk by : Jamie Rogers
Download or read book Strategy, Value and Risk written by Jamie Rogers and published by Springer Nature. This book was released on 2019-09-12 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current transformation of the global economy is being driven by new fundamental innovations, digitalization, industry dynamics and climate change. The impact of this transformation in terms of value migration, industry boundaries, investment and firm continuity is vast. The fourth edition of Strategy, Value and Risk examines these issues, and how they will influence firms and industries in the future. Those aspects of the business environment that will have a significant impact on strategy, business models, investments and value are identified, and the accounting, finance, economic and quantitative principles that provide a foundation for the analysis of these issues are discussed. Part I: Strategy, Value and Risk provides the strategic, economic, accounting and financial framework. Strategy discusses technology and innovation, industry dynamics, globalization and industry concentration, climate change, industry boundaries and future value. Value discusses the accounting framework and corporate finance and investment, while Risk covers investment risk, corporate risk management and value and risk. Part II: Quantitative Analytics provides an overview of financial statistics, derivatives and derivative applications, and provides a background on the financial economics used in the analysis of physical, intangible, financial and energy assets. Part III: The Analysis of Investments, Transformation and Value examines platforms, data and analytics, the energy sector, pharmaceutical and biotech, a growth firm and media transformation, and applies the accounting, economic, financial and quantitative concepts. This fourth edition lays out scenarios that will likely shape firms and industries in the future, and has relevance to CFOs, corporate finance and investment professionals. Business model disruption, data and analytics, intangible assets and dynamic analysis are now key issues within the CFO role. Investment professionals are required to see the larger economic environment in which firms compete, assess a firm’s industry and its position within that industry, recognize which investments best serve its broad strategic goals and identify a firm’s capabilities and options. A background in the accounting, finance, economic, quantitative and valuation concepts that are relevant to the digital economy, new industries, business models and technologies is essential for finance professionals. This book addresses these issues within the context of the fundamental changes underway in the global economy, and provides applications of the techniques to illustrate the concepts.
Book Synopsis Macroeconomic Theory by : Michael Wickens
Download or read book Macroeconomic Theory written by Michael Wickens and published by Princeton University Press. This book was released on 2012-03-12 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive graduate textbook on modern macroeconomics Macroeconomic Theory is the most up-to-date graduate-level macroeconomics textbook available today. This revised second edition emphasizes the general equilibrium character of macroeconomics to explain effects across the whole economy while taking into account recent research in the field. It is the perfect resource for students and researchers seeking coverage of the most current developments in macroeconomics. Michael Wickens lays out the core ideas of modern macroeconomics and its links with finance. He presents the simplest general equilibrium macroeconomic model for a closed economy, and then gradually develops a comprehensive model of the open economy. Every important topic is covered, including growth, business cycles, fiscal policy, taxation and debt finance, current account sustainability, and exchange-rate determination. There is also an up-to-date account of monetary policy through inflation targeting. Wickens addresses the interrelationships between macroeconomics and modern finance and shows how they affect stock, bond, and foreign-exchange markets. In this edition, he also examines issues raised by the most recent financial crisis, and two new chapters explore banks, financial intermediation, and unconventional monetary policy, as well as modern theories of unemployment. There is new material in most other chapters, including macrofinance models and inflation targeting when there are supply shocks. While the mathematics in the book is rigorous, the fundamental concepts presented make the text self-contained and easy to use. Accessible, comprehensive, and wide-ranging, Macroeconomic Theory is the standard book on the subject for students and economists. The most up-to-date graduate macroeconomics textbook available today General equilibrium macroeconomics and the latest advances covered fully and completely Two new chapters investigate banking and monetary policy, and unemployment Addresses questions raised by the recent financial crisis Web-based exercises with answers Extensive mathematical appendix for at-a-glance easy reference This book has been adopted as a textbook at the following universities: American University Bentley College Brandeis University Brigham Young University California Lutheran University California State University - Sacramento Cardiff University Carleton University Colorado College Fordham University London Metropolitan University New York University Northeastern University Ohio University - Main Campus San Diego State University St. Cloud State University State University Of New York - Amherst Campus State University Of New York - Buffalo North Campus Temple University - Main Texas Tech University University of Alberta University Of Notre Dame University Of Ottawa University Of Pittsburgh University Of South Florida - Tampa University Of Tennessee University Of Texas At Dallas University Of Washington University of Western Ontario Wesleyan University Western Nevada Community College
Book Synopsis Asset Pricing and Portfolio Choice Theory by : Kerry E. Back
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry E. Back and published by Oxford University Press. This book was released on 2017-01-04 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.
Book Synopsis System Modeling and Optimization by : Adam Korytowski
Download or read book System Modeling and Optimization written by Adam Korytowski and published by Springer. This book was released on 2009-10-27 with total page 515 pages. Available in PDF, EPUB and Kindle. Book excerpt: rd This book constitutes a collection of extended versions of papers presented at the 23 IFIP TC7 Conference on System Modeling and Optimization, which was held in C- cow, Poland, on July 23–27, 2007. It contains 7 plenary and 22 contributed articles, the latter selected via a peer reviewing process. Most of the papers are concerned with optimization and optimal control. Some of them deal with practical issues, e. g. , p- formance-based design for seismic risk reduction, or evolutionary optimization in structural engineering. Many contributions concern optimization of infini- dimensional systems, ranging from a general overview of the variational analysis, through optimization and sensitivity analysis of PDE systems, to optimal control of neutral systems. A significant group of papers is devoted to shape analysis and opti- zation. Sufficient optimality conditions for ODE problems, and stochastic control methods applied to mathematical finance, are also investigated. The remaining papers are on mathematical programming, modeling, and information technology. The conference was the 23rd event in the series of such meetings biennially org- ized under the auspices of the Seventh Technical Committee “Systems Modeling and Optimization” of the International Federation for Information Processing (IFIP TC7).
Book Synopsis Sustainable Management of Mining Operations by : J. A. Botin
Download or read book Sustainable Management of Mining Operations written by J. A. Botin and published by SME. This book was released on 2009 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: The pressure is on to enhance corporate reputations, achieve higher operational efficiency, improve planning and control, gain access to mineral resources, build trust with stakeholders, attract financing, recruit and retain a quality workforce, and lower costs. Sustainable Management of Mining Operations provides a holistic, practical approach to achieving these goals. The key, say the authors, is to create a culture within the organization that recognizes the value of sustainability by effectively integrating economic, environmental, and social considerations. Each section of this book focuses on sustainable management from a different perspective, management level, or stage of the mine life cycle. You'll benefit from real-life, practical insights from 27 internationally respected authors whose job titles have encompassed everything from CEO to master mechanic.
Book Synopsis Competitive Strategy by : Benoit Chevalier-Roignant
Download or read book Competitive Strategy written by Benoit Chevalier-Roignant and published by MIT Press. This book was released on 2014-08-29 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new paradigm for balancing flexibility and commitment in management strategy through the amalgamation of real options and game theory. Corporate managers who face both strategic uncertainty and market uncertainty confront a classic trade-off between commitment and flexibility. They can stake a claim by making a large capital investment today, influencing their rivals' behavior, or they can take a “wait and see” approach to avoid adverse market consequences tomorrow. In Competitive Strategy, Benoît Chevalier-Roignant and Lenos Trigeorgis describe an emerging paradigm that can quantify and balance commitment and flexibility, “option games,” by which the decision-making approaches of real options and game theory can be combined. The authors first discuss prerequisite concepts and tools from basic game theory, industrial organization, and real options analysis, and then present the new approach in discrete time and later in continuous time. Their presentation of continuous-time option games is the first systematic coverage of the topic and fills a significant gap in the existing literature. Competitive Strategy provides a rigorous yet pragmatic and intuitive approach to strategy formulation. It synthesizes research in the areas of strategy, economics, and finance in a way that is accessible to readers not necessarily expert in the various fields involved.
Book Synopsis Visualising Intangibles: Measuring and Reporting in the Knowledge Economy by : Stefano Zambon
Download or read book Visualising Intangibles: Measuring and Reporting in the Knowledge Economy written by Stefano Zambon and published by Routledge. This book was released on 2016-02-11 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the now widely recognized importance of intangible assets and intellectual capital, they still appear to be poorly understood by both academics and practitioners. Indeed, the necessity for adopting a fresh approach to their reporting, measurement and management is today generally clear and accepted. This book gives room to new perspectives which broaden the scope and depth of the investigation, whilst also opening up innovative methods and opportunities for practice.
Book Synopsis Nonparametric Finance by : Jussi Klemelä
Download or read book Nonparametric Finance written by Jussi Klemelä and published by John Wiley & Sons. This book was released on 2018-02-23 with total page 703 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Machine Learning in Finance, With Mathematical Background, Data Visualization, and R Nonparametric function estimation is an important part of machine learning, which is becoming increasingly important in quantitative finance. Nonparametric Finance provides graduate students and finance professionals with a foundation in nonparametric function estimation and the underlying mathematics. Combining practical applications, mathematically rigorous presentation, and statistical data analysis into a single volume, this book presents detailed instruction in discrete chapters that allow readers to dip in as needed without reading from beginning to end. Coverage includes statistical finance, risk management, portfolio management, and securities pricing to provide a practical knowledge base, and the introductory chapter introduces basic finance concepts for readers with a strictly mathematical background. Economic significance is emphasized over statistical significance throughout, and R code is provided to help readers reproduce the research, computations, and figures being discussed. Strong graphical content clarifies the methods and demonstrates essential visualization techniques, while deep mathematical and statistical insight backs up practical applications. Written for the leading edge of finance, Nonparametric Finance: • Introduces basic statistical finance concepts, including univariate and multivariate data analysis, time series analysis, and prediction • Provides risk management guidance through volatility prediction, quantiles, and value-at-risk • Examines portfolio theory, performance measurement, Markowitz portfolios, dynamic portfolio selection, and more • Discusses fundamental theorems of asset pricing, Black-Scholes pricing and hedging, quadratic pricing and hedging, option portfolios, interest rate derivatives, and other asset pricing principles • Provides supplementary R code and numerous graphics to reinforce complex content Nonparametric function estimation has received little attention in the context of risk management and option pricing, despite its useful applications and benefits. This book provides the essential background and practical knowledge needed to take full advantage of these little-used methods, and turn them into real-world advantage. Jussi Klemelä, PhD, is Adjunct Professor at the University of Oulu. His research interests include nonparametric function estimation, density estimation, and data visualization. He is the author of Smoothing of Multivariate Data: Density Estimation and Visualization and Multivariate Nonparametric Regression and Visualization: With R and Applications to Finance.
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Book Synopsis Handbook of the Economics of Finance by : G. Constantinides
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
