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Warrant Pricing Using Observable Variables
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Book Synopsis Warrant Pricing Using Observable Variables by : Andrey Ukhov
Download or read book Warrant Pricing Using Observable Variables written by Andrey Ukhov and published by . This book was released on 2003 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The classical warrant pricing formula requires knowledge of the variance of the firm value process, and the firm value. When warrants are outstanding the firm value itself is a function of the warrant price. Firm value and the variance of the firm value are then unobservable variables. I develop an algorithm for pricing warrants using stock prices, an observable variable, and variance of stock returns. The method also enables estimation of the variance of firm value. A proof of existence of the solution is provided.
Book Synopsis Warrant Pricing Using Unobservable Variables by : Andrey Ukhov
Download or read book Warrant Pricing Using Unobservable Variables written by Andrey Ukhov and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The classical warrant pricing formula requires knowledge of the firm value and the variance of the firm value process. When warrants are outstanding the firm value itself is a function of the warrant price. Firm value and the variance of the firm value are then unobservable variables. I develop an algorithm for pricing warrants using stock prices, an observable variable, and variance of stock returns. The method also enables estimation of the variance of firm value. A proof of existence of the solution is provided.
Book Synopsis Pricing Levered Warrants with Dilution Using Observable Variables by : Isabel Abinzano
Download or read book Pricing Levered Warrants with Dilution Using Observable Variables written by Isabel Abinzano and published by . This book was released on 2014 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a valuation framework for pricing European call warrants on the issuer's own stock that allows for debt in the issuer firm. In contrast to other works which also price warrants with dilution issued by levered firms, ours uses only observable variables. We extend the models of both Crouhy and Galai (1994) and Ukhov (2004). We provide numerical examples to study some implementation issues and to compare the model with existing ones.
Book Synopsis Warrants, Tax, Dividends, and Signaling Theory by : Dongsik Kim
Download or read book Warrants, Tax, Dividends, and Signaling Theory written by Dongsik Kim and published by . This book was released on 1994 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Modeling Using Excel and VBA by : Chandan Sengupta
Download or read book Financial Modeling Using Excel and VBA written by Chandan Sengupta and published by John Wiley & Sons. This book was released on 2004-02-26 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Reviews all the necessary financial theory and concepts, and walks you through a wide range of real-world financial models" - cover.
Book Synopsis Applied Multivariate Statistics for the Social Sciences by : Keenan A. Pituch
Download or read book Applied Multivariate Statistics for the Social Sciences written by Keenan A. Pituch and published by Routledge. This book was released on 2015-12-07 with total page 827 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its 6th edition, the authoritative textbook Applied Multivariate Statistics for the Social Sciences, continues to provide advanced students with a practical and conceptual understanding of statistical procedures through examples and data-sets from actual research studies. With the added expertise of co-author Keenan Pituch (University of Texas-Austin), this 6th edition retains many key features of the previous editions, including its breadth and depth of coverage, a review chapter on matrix algebra, applied coverage of MANOVA, and emphasis on statistical power. In this new edition, the authors continue to provide practical guidelines for checking the data, assessing assumptions, interpreting, and reporting the results to help students analyze data from their own research confidently and professionally. Features new to this edition include: NEW chapter on Logistic Regression (Ch. 11) that helps readers understand and use this very flexible and widely used procedure NEW chapter on Multivariate Multilevel Modeling (Ch. 14) that helps readers understand the benefits of this "newer" procedure and how it can be used in conventional and multilevel settings NEW Example Results Section write-ups that illustrate how results should be presented in research papers and journal articles NEW coverage of missing data (Ch. 1) to help students understand and address problems associated with incomplete data Completely re-written chapters on Exploratory Factor Analysis (Ch. 9), Hierarchical Linear Modeling (Ch. 13), and Structural Equation Modeling (Ch. 16) with increased focus on understanding models and interpreting results NEW analysis summaries, inclusion of more syntax explanations, and reduction in the number of SPSS/SAS dialogue boxes to guide students through data analysis in a more streamlined and direct approach Updated syntax to reflect newest versions of IBM SPSS (21) /SAS (9.3) A free online resources site at www.routledge.com/9780415836661 with data sets and syntax from the text, additional data sets, and instructor’s resources (including PowerPoint lecture slides for select chapters, a conversion guide for 5th edition adopters, and answers to exercises) Ideal for advanced graduate-level courses in education, psychology, and other social sciences in which multivariate statistics, advanced statistics, or quantitative techniques courses are taught, this book also appeals to practicing researchers as a valuable reference. Pre-requisites include a course on factorial ANOVA and covariance; however, a working knowledge of matrix algebra is not assumed.
Book Synopsis Pricing Commodity Bonds Using Binomial Option Pricing by :
Download or read book Pricing Commodity Bonds Using Binomial Option Pricing written by and published by World Bank Publications. This book was released on with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation Techniques by : David T. Larrabee
Download or read book Valuation Techniques written by David T. Larrabee and published by John Wiley & Sons. This book was released on 2012-10-09 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis and insights from top thought leaders on a pivotal topic in investing and asset management Valuation is the cornerstone for investment analysis, and a thorough understanding and correct application of valuation methodologies are critical for long-term investing success. Edited by two leading valuation experts from CFA Institute, this book brings together the insights and expertise of some of the most astute and successful investment minds of the past 50 years. From Benjamin Graham, the “father of value investing,” to Aswath Damodaran, you’ll learn what these investment luminaries have to say about investment valuation techniques, including earnings and cash flow analysis. Features the best thinking on valuation from the industry’s masters on the topic, supplemented with dozens of fascinating and instructive real-world examples Comprehensively discusses special valuation situations, such as real options, employee stock options, highly leveraged firms, corporate takeovers, and more Supplies you with the tools you need to successfully navigate and thrive in the ever-changing financial markets Is being produced with the full support and input of CFA Institute, the world’s leading association of investment professionals
Book Synopsis Designing and Evaluating E-Management Decision Tools by : Giampiero Beroggi
Download or read book Designing and Evaluating E-Management Decision Tools written by Giampiero Beroggi and published by Springer Science & Business Media. This book was released on 2007-04-15 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designing and Evaluating E-Managemnet Decision Tools presents the most relevant concepts for designing intelligent decision tools in an Internet-based multimedia environment and assessing the tools using concepts of statistical design of experiments. The design principle is based on the visual interactive decision modeling (VIDEMO) paradigm. Several case studies are discussed in detail, referring to online preference elicitation, collaborative decision making, negotiation and conflict resolution, and marketing decision optimization. (See www.beroggi.net for more info on the book and Visual Interactive Decision Modeling)
Book Synopsis Option Pricing and Strategies in Investing by : Richard M. Bookstaber
Download or read book Option Pricing and Strategies in Investing written by Richard M. Bookstaber and published by . This book was released on 1981 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Alternative Investments by : CAIA Association
Download or read book Alternative Investments written by CAIA Association and published by John Wiley & Sons. This book was released on 2020-09-14 with total page 960 pages. Available in PDF, EPUB and Kindle. Book excerpt: Whether you are a seasoned professional looking to explore new areas within the alternative investment arena or a new industry participant seeking to establish a solid understanding of alternative investments, Alternative Investments: An Allocator's Approach, Fourth Edition (CAIA Level II curriculum official text) is the best way to achieve these goals. In recent years, capital formation has shifted dramatically away from public markets as issuers pursue better financial and value alignment with ownership, less onerous and expensive regulatory requirements, market and information dislocation, and liberation from the short-term challenges that undergird the public capital markets. The careful and informed use of alternative investments in a diversified portfolio can reduce risk, lower volatility, and improve returns over the long-term, enhancing investors' ability to meet their investment outcomes. Alternative Investments: An Allocator's Approach (CAIA Level II curriculum official text) is a key resource that can be used to improve the sophistication of asset owners and those who work with them. This text comprises the curriculum, when combined with supplemental materials available at caia.org, for the CAIA Level II exam. "Over the course of my long career one tenet has held true, 'Continuing Education'. Since CalSTRS is a teachers' pension plan, it is no surprise that continuing education is a core attribute of our Investment Office culture. Overseeing one of the largest institutional pools of capital in the world requires a cohesive knowledge and understanding of both public and private market investments and strategies. We must understand how these opportunities might contribute to delivering on investment outcomes for our beneficiaries. Alternative Investments: An Allocator's Approach is the definitive core instruction manual for an institutional investor, and it puts you in the captain's chair of the asset owner." —Christopher J. Ailman, Chief Investment Officer, California State Teachers’ Retirement System "Given their diversified cash flow streams and returns, private markets continue to be a growing fixture of patient, long-term portfolios. As such, the need to have proficiency across these sophisticated strategies, asset classes, and instruments is critical for today's capital allocator. As a proud CAIA charterholder, I have seen the practical benefits in building a strong private markets foundation, allowing me to better assist my clients." —Jayne Bok, CAIA, CFA, Head of Investments, Asia, Willis Tower Watson
Book Synopsis The Risk-Shifting Effect and the Value of a Warrant by : Emanuele Bajo
Download or read book The Risk-Shifting Effect and the Value of a Warrant written by Emanuele Bajo and published by . This book was released on 2009 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The exercise of a warrant leads to the well-known dilution phenomenon, whose effects have been extensively studied over the last four decades. In contrast, the existing literature has paid inadequate attention to the volatility spillover between stockholders and warrant holders. This ldquo;risk-shifting effectrdquo; has significant implications on warrant pricing, since any formula that assumes a constant volatility of stock returns produces a bias, as we document in this paper. We prove that a CEV process with a specific elasticity parameter properly models the stochastic volatility of stock returns for a firm with warrants outstanding. Besides, contrarily to most of the existing warrant pricing approaches, we propose a closed-form formula (exclusively based on observable market variables) able to absorb the risk-shifting bias.
Download or read book Currency Overlay written by Neil Record and published by John Wiley & Sons. This book was released on 2004-02-06 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: Currency overlay is the management of the currency exposure inherent in cross-border institutional investments. Exposure to foreign currencies increases the volatility of their returns, without increasing the returns themselves and academics and consultants recommended that the currency exposure should be stripped out of international portfolios and eliminated as far as practicable. This book provides a comprehensive description of currency overlay, its history and possible future developments and growth, the reason for its emergence, the debates and controversies, the different styles of currency management, and the industry's performance track record. This is a subject of international appeal and is an area of particular growth potential for institutional investors. Coverage includes: The theoretical case for eliminating currency risk in international portfolios The interplay between asset returns and currency returns, and the effect of this on hedging decisions Benchmarks - their construction and strategic role Least-cost passive overlay The structure of the currency market, and its 'inefficiencies' Active overlay styles Active overlay both restricted and unrestricted (currency alpha) Uses diagrams, charts, tables and explanatory boxes to explain concepts
Book Synopsis Structural Equation Modeling by : Natasha K. Bowen
Download or read book Structural Equation Modeling written by Natasha K. Bowen and published by Oxford University Press. This book was released on 2012 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural Equation Modeling (SEM) has long been used in social work research, but the writing on the topic is typically fragmented and highly technical. This pocket guide fills a major gap in the literature by providing social work researchers and doctoral students with an accessible synthesis. The authors demonstrate two SEM programs with distinct user interfaces and capabilities (Amos and Mplus) with enough specificity that readers can conduct their own analyses without consulting additional resources. Examples from social work literature highlight best practices for the specification, estimation, interpretation, and modification of structural equation models. Unlike most sources on SEM, this book provides clear guidelines on how to evaluate SEM output and how to proceed when model fit is not acceptable.Oftentimes, confirmatory factor analysis and general structure modeling are the most flexible, powerful, and appropriate choices for social work data. Richly illustrated with figures, equations, matrices, and tables, this pocket guide empowers social workers with a set of defensible analysis strategies that allows for competent, confident use of SEM.
Book Synopsis Encyclopedia of Quantitative Risk Analysis and Assessment by :
Download or read book Encyclopedia of Quantitative Risk Analysis and Assessment written by and published by John Wiley & Sons. This book was released on 2008-09-02 with total page 2163 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.
Book Synopsis Economic Models for Dairy Policy Analysis by :
Download or read book Economic Models for Dairy Policy Analysis written by and published by . This book was released on 1994 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Structural Equation Modeling by : Rick H. Hoyle
Download or read book Handbook of Structural Equation Modeling written by Rick H. Hoyle and published by Guilford Publications. This book was released on 2023-02-17 with total page 801 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This accessible volume presents both the mechanics of structural equation modeling (SEM) and specific SEM strategies and applications. The editor, along with an international group of contributors, and editorial advisory board are leading methodologists who have organized the book to move from simpler material to more statistically complex modeling approaches. Sections cover the foundations of SEM; statistical underpinnings, from assumptions to model modifications; steps in implementation, from data preparation through writing the SEM report; and basic and advanced applications, including new and emerging topics in SEM. Each chapter provides conceptually oriented descriptions, fully explicated analyses, and engaging examples that reveal modeling possibilities for use with readers' data. Many of the chapters also include access to data and syntax files at the companion website, allowing readers to try their hands at reproducing the authors' results"--
