Valuing Real Options Under Regime Switching Models

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A Stochastic Control Framework for Real Options in Strategic Evaluation

Author : Alexander Vollert
Publisher : Springer Science & Business Media
ISBN 13 : 1461220688
Total Pages : 275 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis A Stochastic Control Framework for Real Options in Strategic Evaluation by : Alexander Vollert

Download or read book A Stochastic Control Framework for Real Options in Strategic Evaluation written by Alexander Vollert and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theoretical foundation for real options goes back to the mid 1980s and the development of a model that forms the basis for many current applications of real option theory. Over the last decade the theory has rapidly expanded and become enriched thanks to increasing research activity. Modern real option theory may be used for the valuation of entire companies as well as for particular investment projects in the presence of uncertainty. As such, the theory of real options can serve as a tool for more practically oriented decision making, providing management with strategies maximizing its capital market value. This book is devoted to examining a new framework for classifying real options from a management and a valuation perspective, giving the advantages and disadvantages of the real option approach. Impulse control theory and the theory of optimal stopping combined with methods of mathematical finance are used to construct arbitrarily complex real option models which can be solved numerically and which yield optimal capital market strategies and values. Various examples are given to demonstrate the potential of this framework. This work will benefit the financial community, companies, as well as academics in mathematical finance by providing an important extension of real option research from both a theoretical and practical point of view.

Macroeconometrics and Time Series Analysis

Author : Steven Durlauf
Publisher : Springer
ISBN 13 : 0230280838
Total Pages : 417 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Macroeconometrics and Time Series Analysis by : Steven Durlauf

Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Real Options Theory

Author : Jeffrey J. Reuer
Publisher : Emerald Group Publishing
ISBN 13 : 1849504946
Total Pages : 520 pages
Book Rating : 4.8/5 (495 download)

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Book Synopsis Real Options Theory by : Jeffrey J. Reuer

Download or read book Real Options Theory written by Jeffrey J. Reuer and published by Emerald Group Publishing. This book was released on 2007-07-05 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examines the ways in which real options theory can contribute to strategic management. This volume offers conceptual pieces that trace out pathways for the theory to move forward and presents research on the implications of real options for strategic investment, organization, and firm performance.

Option Pricing and Estimation of Financial Models with R

Author : Stefano M. Iacus
Publisher : John Wiley & Sons
ISBN 13 : 1119990203
Total Pages : 402 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Option Pricing and Estimation of Financial Models with R by : Stefano M. Iacus

Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

Stochastic Optimization

Author : Stanislav Uryasev
Publisher : Springer Science & Business Media
ISBN 13 : 1475765940
Total Pages : 438 pages
Book Rating : 4.4/5 (757 download)

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Book Synopsis Stochastic Optimization by : Stanislav Uryasev

Download or read book Stochastic Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

Applied Operations Research and Financial Modelling in Energy

Author : André B. Dorsman
Publisher : Springer Nature
ISBN 13 : 3030849813
Total Pages : 283 pages
Book Rating : 4.0/5 (38 download)

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Book Synopsis Applied Operations Research and Financial Modelling in Energy by : André B. Dorsman

Download or read book Applied Operations Research and Financial Modelling in Energy written by André B. Dorsman and published by Springer Nature. This book was released on 2021-10-12 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book on Applied Operations Research and Financial Modelling in Energy (AORFME) presents several applications of operations research (OR) and financial modelling. The contributions by a group of OR and Finance researchers focus on a variety of energy decisions, presenting a quantitative perspective, and providing policy implications of the proposed or applied methodologies. The content is divided into three main parts: Applied OR I: Optimization Approaches, Applied OR II: Forecasting Approaches and Financial Modelling: Impacts of Energy Policies and Developments in Energy Markets. The book appeals to scholars in economics, finance and operations research, and to practitioners working in the energy sector. This is the eighth volume in a series of books on energy organized by the Centre for Energy and Value Issues (CEVI). For this volume, CEVI collaborated with Hacettepe University’s Energy Markets Research and Application Center. The previous volumes in the series are: Financial Aspects in Energy (2011), Energy Economics and Financial Markets (2012), Perspectives on Energy Risk (2014), Energy Technology and Valuation Issues (2015), Energy and Finance (2016), Energy Economy, Finance and Geostrategy (2018), and Financial Implications of Regulations in the Energy Industry (2020).

Hidden Markov Models in Finance

Author : Rogemar S. Mamon
Publisher : Springer Science & Business Media
ISBN 13 : 0387711635
Total Pages : 203 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Hidden Markov Models in Finance by : Rogemar S. Mamon

Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.

Modeling, Stochastic Control, Optimization, and Applications

Author : George Yin
Publisher : Springer
ISBN 13 : 3030254984
Total Pages : 593 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Modeling, Stochastic Control, Optimization, and Applications by : George Yin

Download or read book Modeling, Stochastic Control, Optimization, and Applications written by George Yin and published by Springer. This book was released on 2019-07-16 with total page 593 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.

Real Options Valuation of Flexibility in Manufacturing and Quality

Author : Mehmet Aktan
Publisher :
ISBN 13 :
Total Pages : 232 pages
Book Rating : 4.:/5 (89 download)

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Book Synopsis Real Options Valuation of Flexibility in Manufacturing and Quality by : Mehmet Aktan

Download or read book Real Options Valuation of Flexibility in Manufacturing and Quality written by Mehmet Aktan and published by . This book was released on 2003 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Hidden Markov Models in Finance

Author : Rogemar S. Mamon
Publisher : Springer
ISBN 13 : 1489974423
Total Pages : 280 pages
Book Rating : 4.4/5 (899 download)

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Book Synopsis Hidden Markov Models in Finance by : Rogemar S. Mamon

Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer. This book was released on 2014-05-14 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors’ Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance and showcases the formulation of emerging potential applications of new research over the book’s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market.

Real Options In Energy And Commodity Markets

Author : Nicola Secomandi
Publisher : World Scientific
ISBN 13 : 9813149426
Total Pages : 258 pages
Book Rating : 4.8/5 (131 download)

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Book Synopsis Real Options In Energy And Commodity Markets by : Nicola Secomandi

Download or read book Real Options In Energy And Commodity Markets written by Nicola Secomandi and published by World Scientific. This book was released on 2016-11-28 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of real options is concerned with the management and financial valuation of operational flexibility in business endeavors. From the very outset, energy and commodity markets — which play fundamental roles in the worldwide economy — have provided a relevant context for real option analysis, both in theory and practice.This volume is a collection of six chapters covering recent research on real options in energy and commodity markets, reflecting the significance of these markets for real option analysis. The volume is divided into two parts — the first on theory and the second on methods and applications.The two chapters in the first part of the book respectively address commodity storage and the concept of convenience yield, and how the management of real options can be impacted by the trader's own market decisions in the context of commodity shipping.The four chapters in the second part of the book propose and apply real option models in various domains — modeling the evolution of futures prices of emission certificates; managing copper extraction illustrated with an application to a project at Codelco, Chile, the largest copper producer in the world; the core ideas behind real option analysis in the context of the merchant management of hydrocarbon cracking operations; and optimizing the portfolio of contracts that oil refineries use to market their gasoline production.

Real Options

Author : Lenos Trigeorgis
Publisher : MIT Press
ISBN 13 : 9780262201025
Total Pages : 452 pages
Book Rating : 4.2/5 (1 download)

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Book Synopsis Real Options by : Lenos Trigeorgis

Download or read book Real Options written by Lenos Trigeorgis and published by MIT Press. This book was released on 1996-03-14 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: Comprehensive in scope, Real Options reviews current techniques of capital budgeting and details an approach (based on the pricing of options) that provides a means of quantifying the elusive elements of managerial flexibility in the face of unexpected changes in the market. In the 1970s and the 1980s, developments in the valuation of capital-investment opportunities based on options pricing revolutionized capital budgeting. Managerial flexibility to adapt and revise future decisions in order to capitalize on favorable future opportunities or to limit losses has proven vital to long-term corporate success in an uncertain and changing marketplace. In this book Lenos Trigeorgis, who has helped shape the field of real options, brings together a wealth of previously scattered knowledge and research on the new flexibility in corporate resource allocation and in the evaluation of investment alternatives brought about by the shift from static cash-flow approaches to the more dynamic paradigm of real options—an approach that incorporates decisions on whether to defer, expand, contract, abandon, switch use, or otherwise alter a capital investment. Comprehensive in scope, Real Options reviews current techniques of capital budgeting and details an approach (based on the pricing of options) that provides a means of quantifying the elusive elements of managerial flexibility in the face of unexpected changes in the market. Also discussed are the strategic value of new technology, project interdependence, and competitive interaction. The ability to value real options has so dramatically altered the way in which corporate resources are allocated that future textbooks on capital budgeting will bear little resemblance to those of even the recent past. Real Options is a pioneer in this area, coupling a coherent picture of how option theory is used with practical insights in into real-world applications.

Real Option Modeling and Valuation

Author : James A. DiLellio
Publisher : James A. DiLellio
ISBN 13 :
Total Pages : 145 pages
Book Rating : 4./5 ( download)

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Book Synopsis Real Option Modeling and Valuation by : James A. DiLellio

Download or read book Real Option Modeling and Valuation written by James A. DiLellio and published by James A. DiLellio. This book was released on 2022-12-21 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: The application of option pricing methods, which were initially developed for financially-traded assets, are now often applied to the valuation of options on real assets. Real options, or options on real assets, supplements standard discounted cash flow valuation approaches by including the value of managerial flexibility. Real Option Modeling and Valuation attempts to bridge the gap between theory and practice using the commercially available software program DPL© (Decision Programming Language) and Excel® to provide a decision tree approach to valuation using real options. Companion website: https://sites.google.com/view/real-options

The Blank Swan

Author : Elie Ayache
Publisher : John Wiley & Sons
ISBN 13 : 0470661763
Total Pages : 501 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis The Blank Swan by : Elie Ayache

Download or read book The Blank Swan written by Elie Ayache and published by John Wiley & Sons. This book was released on 2010-05-05 with total page 501 pages. Available in PDF, EPUB and Kindle. Book excerpt: October 19th 1987 was a day of huge change for the global finance industry. On this day the stock market crashed, the Nobel Prize winning Black-Scholes formula failed and volatility smiles were born, and on this day Elie Ayache began his career, on the trading floor of the French Futures and Options Exchange. Experts everywhere sought to find a model for this event, and ways to simulate it in order to avoid a recurrence in the future, but the one thing that struck Elie that day was the belief that what actually happened on 19th October 1987 is simply non reproducible outside 19th October 1987 - you cannot reduce it to a chain of causes and effects, or even to a random generator, that can then be reproduced or represented in a theoretical framework. The Blank Swan is Elie's highly original treatise on the financial markets presenting a totally revolutionary rethinking of derivative pricing and technology. It is not a diatribe against Nassim Taleb's The Black Swan, but criticises the whole background or framework of predictable and unpredictable events white and black swans alike , i.e. the very category of prediction. In this revolutionary book, Elie redefines the components of the technology needed to price and trade derivatives. Most importantly, and drawing on a long tradition of philosophy of the event from Henri Bergson to Gilles Deleuze, to Alain Badiou, and on a recent brand of philosophy of contingency, embodied by the speculative materialism of Quentin Meillassoux, Elie redefines the market itself against the common perceptions of orthodox financial theory, general equilibrium theory and the sociology of finance. This book will change the way that we think about derivatives and approach the market. If anything, derivatives should be renamed contingent claims, where contingency is now absolute and no longer derivative, and the market is just its medium. The book also establishes the missing link between quantitative modelling (no longer dependent on probability theory but on a novel brand of mathematics which Elie calls the mathematics of price) and the reality of the market.

Quantitative Methods for Electricity Trading and Risk Management

Author : S. Fiorenzani
Publisher : Springer
ISBN 13 : 023059834X
Total Pages : 188 pages
Book Rating : 4.2/5 (35 download)

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Book Synopsis Quantitative Methods for Electricity Trading and Risk Management by : S. Fiorenzani

Download or read book Quantitative Methods for Electricity Trading and Risk Management written by S. Fiorenzani and published by Springer. This book was released on 2006-01-31 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents practical Risk Management and Trading applications for the Electricity Markets. Various methodologies developed over the last few years are considered and current literature is reviewed. The book emphasizes the relationship between trading, hedging and generation asset management.

Handbook of Research Methods and Applications in Empirical Finance

Author : Adrian R. Bell
Publisher : Edward Elgar Publishing
ISBN 13 : 0857936093
Total Pages : 494 pages
Book Rating : 4.8/5 (579 download)

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Book Synopsis Handbook of Research Methods and Applications in Empirical Finance by : Adrian R. Bell

Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.

Financial Econometrics, Mathematics and Statistics

Author : Cheng-Few Lee
Publisher : Springer
ISBN 13 : 1493994298
Total Pages : 657 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Financial Econometrics, Mathematics and Statistics by : Cheng-Few Lee

Download or read book Financial Econometrics, Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 657 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.