Littérature scientifique sur le sujet « Valuation equation »
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Articles de revues sur le sujet "Valuation equation"
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Callen, Jeffrey L., et Mindy Morel. « A Lintnerian Linear Accounting Valuation Model ». Journal of Accounting, Auditing & ; Finance 15, no 3 (juillet 2000) : 301–14. http://dx.doi.org/10.1177/0148558x0001500307.
Texte intégralRésumé :
This paper develops and tests a linear valuation accounting model based on Lintner's (1956) dividend model. Two test methodologies are employed on a firm-level time-series basis. First, abstracting from the nonlinear relationships among the parameters, the information dynamic and valuation equation are estimated by linear OLS and linear SUR. The estimated equations are evaluated by reference to the sign and value predictions of the model. Second, recognizing the underlying nonlinear relationships among the parameters, the Lintnerian system of equations is estimated by nonlinear OLS and nonlinear SUR. All parameters are estimated endogenously at the firm level, including each firm's cost of capital. The resulting parameter estimates are evaluated for statistical and, in the case of costs of capital, for economic significance. Results of the first (linear) methodology by and large confirm the validity of the Lintner model. The signs and values of the estimated coefficients are consistent with the predictions of the Lintner model except that the (mean) estimated book value coefficient in the price equation exceeds its theoretical upper bound. The results of the second (nonlinear) methodology are somewhat more problematic. Although the Lintner model yields statistically significant firm-level costs of capital, these estimates are not economically significant for the sample period.
2
Matsutani, Shigeki. « p-adic difference-difference Lotka-Volterra equation and ultra-discrete limit ». International Journal of Mathematics and Mathematical Sciences 27, no 4 (2001) : 251–60. http://dx.doi.org/10.1155/s0161171201010808.
Texte intégralRésumé :
We study the difference-difference Lotka-Volterra equations inp-adic number space and itsp-adic valuation version. We point out that the structure of the space given by taking the ultra-discrete limit is the same as that of thep-adic valuation space. Since ultra-discrete limit can be regarded as a classical limit of a quantum object, it implies that a correspondence between classical and quantum objects might be associated with valuation theory.
3
Matenda, Frank Ranganai, Justin Chirima et Mabutho Sibanda. « Valuation of Corporate Debt and Equity in Uncertain Markets ». International Journal of Economics and Financial Issues 13, no 1 (14 janvier 2023) : 7–12. http://dx.doi.org/10.32479/ijefi.13706.
Texte intégralRésumé :
In practice, financial decisions are made in the context of indeterminacy. Randomness, uncertainty, and fuzziness are three basic types of indeterminacy. A multiplicity of differential equations have been designed to depict various processes powered by different kinds of indeterminacy. Among others, these differential equations include uncertain differential equations, stochastic differential equations, and fuzzy differential equations. In this study, we propose that the value of a firm can be described by an uncertain differential equation powered by a geometric canonical Liu process. Uncertain differential equations describe processes driven by uncertainty. Implementing the uncertain Liu option pricing theory, we develop and analyse a framework for valuing debt and equity for a levered firm in uncertain markets. Numerical calculations are demonstrated.
4
Schwaiger, Jens. « Connections Between the Completion of Normed Spaces Over Non-Archimedean Fields and the Stability of the Cauchy Equation ». Annales Mathematicae Silesianae 34, no 1 (1 juillet 2020) : 151–63. http://dx.doi.org/10.2478/amsil-2020-0002.
Texte intégralRésumé :
AbstractIn [12] a close connection between stability results for the Cauchy equation and the completion of a normed space over the rationals endowed with the usual absolute value has been investigated. Here similar results are presented when the valuation of the rationals is a p-adic valuation. Moreover a result by Zygfryd Kominek ([5]) on the stability of the Pexider equation is formulated and proved in the context of Banach spaces over the field of p-adic numbers.
5
Shokrollahi, Foad. « Equity Warrants Pricing Formula for Uncertain Financial Market ». Mathematical and Computational Applications 27, no 2 (22 février 2022) : 18. http://dx.doi.org/10.3390/mca27020018.
Texte intégralRésumé :
In this paper, inside the system of uncertainty theory, the valuation of equity warrants is explored. Different from the strategies of probability theory, the valuation problem of equity warrants is unraveled by utilizing the strategy of uncertain calculus. Based on the suspicion that the firm price follows an uncertain differential equation, a valuation formula of equity warrants is proposed for an uncertain stock model.
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Schall, Lawrence D. « Valuation of an Equity Interest ». Review of Pacific Basin Financial Markets and Policies 18, no 04 (décembre 2015) : 1550021. http://dx.doi.org/10.1142/s0219091515500216.
Texte intégralRésumé :
The equity cash flow approach to valuing an equity interest is intuitive, rigorous, and practical, and is easily implemented using historical and forecasted statements of cash flows. This method is compared with popular alternatives. The equity cash flow equation for valuing equity is derived taking into account employee compensation expense in the form of equity participation (stock options and stock grants). This is of particular interest in light of the importance of options and grants as a form of compensation.
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Lindgren, Jussi. « Efficient Markets and Contingent Claims Valuation : An Information Theoretic Approach ». Entropy 22, no 11 (12 novembre 2020) : 1283. http://dx.doi.org/10.3390/e22111283.
Texte intégralRésumé :
This research article shows how the pricing of derivative securities can be seen from the context of stochastic optimal control theory and information theory. The financial market is seen as an information processing system, which optimizes an information functional. An optimization problem is constructed, for which the linearized Hamilton–Jacobi–Bellman equation is the Black–Scholes pricing equation for financial derivatives. The model suggests that one can define a reasonable Hamiltonian for the financial market, which results in an optimal transport equation for the market drift. It is shown that in such a framework, which supports Black–Scholes pricing, the market drift obeys a backwards Burgers equation and that the market reaches a thermodynamical equilibrium, which minimizes the free energy and maximizes entropy.
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Adamowicz, Krzysztof. « The unresolved problem of determining the forest interest rate ». Folia Forestalia Polonica 60, no 2 (1 juin 2018) : 122–30. http://dx.doi.org/10.2478/ffp-2018-0012.
Texte intégralRésumé :
Abstract Valuation of forests and their components is a significant problem, both for science and practice. At present, in many countries, the market of forest property is limited. As a result, no conclusions may be inferred on the forest value based on the information on forest purchase and sale transactions. In this situation, we apply static methods of forest valuation. The problem of forest statics has been discussed for years (e.g., Brukas et al. 2001; Chang 1983, 2001; Dieter 2001; Hartman 1976; Manley and Bare 2001; Mohring 2001; Zhang 2001; Viitala 2016). Static methods of forest valuation are well known. In the construction of the proposed mathematical formula (Eq. 6), the Faustmann theory was applied, concerning the economic equilibrium in forestry. Numerous modifications of his equation for economic equilibrium were used to develop, for example, an income method for forest valuation based on discounting the final value or prolongation of initial value. The forest interest rate is a key element in these equations. At present, there are no procedures for the establishment of this interest rate, which would be generally accepted by the scientific community. Therefore, the article presents and discusses selected concepts for determining the forest interest rate.
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Sawal, A. S., S. N. I. Ibrahim et T. R. N. Roslan. « Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates ». Mathematical Modeling and Computing 9, no 4 (2022) : 882–91. http://dx.doi.org/10.23939/mmc2022.04.882.
Texte intégralRésumé :
A warrant is a derivative that gives the right, but not the obligation, to buy or sell a security at a certain price before the expiration. The warrant valuation method was inspired by option valuation because of the certain similarities between these two derivatives. The warrant price formula under the Black–Scholes is available in the literature. However, the Black–Scholes formula is known to have a number of flaws; hence, this study aims to develop a pricing formula for warrants by incorporating jumps, stochastic volatility, and stochastic interest rates into the Black–Scholes model. The closed-form pricing formula is presented in this study, where the derivation involves stochastic differential equations (SDE), which include the Cauchy problem and heat equation.
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EKSTRÖM, ERIK, et JOHAN TYSK. « DUPIRE'S EQUATION FOR BUBBLES ». International Journal of Theoretical and Applied Finance 15, no 06 (septembre 2012) : 1250041. http://dx.doi.org/10.1142/s0219024912500410.
Texte intégralRésumé :
We study Dupire's equation for local volatility models with bubbles, i.e. for models in which the discounted underlying asset follows a strict local martingale. If option prices are given by risk-neutral valuation, then the discounted option price process is a true martingale, and we show that the Dupire equation for call options contains extra terms compared to the usual equation. However, the Dupire equation for put options takes the usual form. Moreover, uniqueness of solutions to the Dupire equation is lost in general, and we show how to single out the option price among all possible solutions. The Dupire equation for models in which the discounted derivative price process is merely a local martingale is also studied.
Thèses sur le sujet "Valuation equation"
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Raybould, Michael, et n/a. « Attitudes and Information Effects in Contingent Valuation of Natural Resources ». Griffith University. Australian School of Environmental Studies, 2006. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20061009.150949.
Texte intégralRésumé :
This thesis investigated the effects of photographic and text information on respondents' attitudes and willingness-to-pay for a proposed beach protection scheme in the erosion prone Gold Coast region on the east coast of Australia. The research developed two alternative expectancy-value attitude-behaviour models to test residents' attitudes toward relevant targets and behavioural intention, expressed through stated willingness-to-pay, and compared the proposed models with one established attitude-behaviour model. The thesis set out to investigate three central research questions; one question relating to the effects of information on attitudes and willingness-to-pay, and two questions relating to the relationships between attitudes and willingness-to-pay. It was hypothesised that photographs that depicted severe erosion damage would result in more positive attitudes toward, and greater willingness-to-pay for, beach protection than photographs that showed only mild levels of erosion damage. Positive relationships were hypothesised between variables representing attitudes toward beach erosion, attitude toward beach protection, attitude toward paying for beach protection, and willingness-to-pay. Finally, it was hypothesised that the relationships between attitudes and willingness-to-pay could be adequately explained by the proposed attitude-behaviour models. The thesis describes how seven information treatments and eight attitude measurement scales were developed and tested in a pilot experiment before use in a survey of homeowners in the region of interest. Analysis of variance showed that, while respondent's attitude toward beach protection was affected by the information treatments, their willingness-to-pay for the proposed program was insensitive to information. There were no significant effects that could be attributed exclusively to text descriptions of the good but there were significant effects that could be attributed to photographic information treatments. However, none of the effects on attitudes resulted in significant effects on the behavioural intention expressed in stated willingness-to-pay. Analysis of respondents with low previous knowledge of the proposed good revealed more extensive information effects on attitudes, but still not on willingness-to-pay, and this suggests that high levels of previous knowledge in a large proportion of the sample had a moderating effect on attitude change caused by the information treatments. Regression analysis showed that seven of the eight attitude and behaviour variables in the proposed attitude-behaviour model were significant predictors of willingness-to-pay. In the final phase of the analysis, goodness-of-fit indices, estimated using Structural Equation Modelling, indicated a good fit between the data and the attitude-behaviour models tested. Standardised coefficients on the model indicated that perceived behavioural control, expected utility of outcomes, and subjective norms all had strong direct relationships with stated willingness-to-pay, and strong indirect relationships on willingness-to-pay via attitudes toward payment. These results are consistent with the relationships proposed in attitude-behaviour models and the moderating effects of these variables explain why significant information treatment effects were observed on attitude to beach protection but not on willingness-to-pay. This research showed that respondent's willingness-to-pay in a contingent valuation experiment is quite insensitive to photographic treatments when previous knowledge is high and that costly and time consuming testing procedures, recommended by authorities, may not be necessary under these conditions. It also demonstrated that measures of attitude, consistent with an attitude-behaviour model, can be collected easily in a contingent valuation study and can contribute to understanding of participant responses and to identification of protest responses.
2
Raybould, Michael. « Attitudes and Information Effects in Contingent Valuation of Natural Resources ». Thesis, Griffith University, 2006. http://hdl.handle.net/10072/367928.
Texte intégralRésumé :
This thesis investigated the effects of photographic and text information on respondents' attitudes and willingness-to-pay for a proposed beach protection scheme in the erosion prone Gold Coast region on the east coast of Australia. The research developed two alternative expectancy-value attitude-behaviour models to test residents' attitudes toward relevant targets and behavioural intention, expressed through stated willingness-to-pay, and compared the proposed models with one established attitude-behaviour model. The thesis set out to investigate three central research questions; one question relating to the effects of information on attitudes and willingness-to-pay, and two questions relating to the relationships between attitudes and willingness-to-pay. It was hypothesised that photographs that depicted severe erosion damage would result in more positive attitudes toward, and greater willingness-to-pay for, beach protection than photographs that showed only mild levels of erosion damage. Positive relationships were hypothesised between variables representing attitudes toward beach erosion, attitude toward beach protection, attitude toward paying for beach protection, and willingness-to-pay. Finally, it was hypothesised that the relationships between attitudes and willingness-to-pay could be adequately explained by the proposed attitude-behaviour models. The thesis describes how seven information treatments and eight attitude measurement scales were developed and tested in a pilot experiment before use in a survey of homeowners in the region of interest. Analysis of variance showed that, while respondent's attitude toward beach protection was affected by the information treatments, their willingness-to-pay for the proposed program was insensitive to information. There were no significant effects that could be attributed exclusively to text descriptions of the good but there were significant effects that could be attributed to photographic information treatments. However, none of the effects on attitudes resulted in significant effects on the behavioural intention expressed in stated willingness-to-pay. Analysis of respondents with low previous knowledge of the proposed good revealed more extensive information effects on attitudes, but still not on willingness-to-pay, and this suggests that high levels of previous knowledge in a large proportion of the sample had a moderating effect on attitude change caused by the information treatments. Regression analysis showed that seven of the eight attitude and behaviour variables in the proposed attitude-behaviour model were significant predictors of willingness-to-pay. In the final phase of the analysis, goodness-of-fit indices, estimated using Structural Equation Modelling, indicated a good fit between the data and the attitude-behaviour models tested. Standardised coefficients on the model indicated that perceived behavioural control, expected utility of outcomes, and subjective norms all had strong direct relationships with stated willingness-to-pay, and strong indirect relationships on willingness-to-pay via attitudes toward payment. These results are consistent with the relationships proposed in attitude-behaviour models and the moderating effects of these variables explain why significant information treatment effects were observed on attitude to beach protection but not on willingness-to-pay. This research showed that respondent's willingness-to-pay in a contingent valuation experiment is quite insensitive to photographic treatments when previous knowledge is high and that costly and time consuming testing procedures, recommended by authorities, may not be necessary under these conditions. It also demonstrated that measures of attitude, consistent with an attitude-behaviour model, can be collected easily in a contingent valuation study and can contribute to understanding of participant responses and to identification of protest responses.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Australian School of Environmental Studies
Full Text
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Schwarz, Daniel Christopher. « Price modelling and asset valuation in carbon emission and electricity markets ». Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:7de118d2-a61b-4125-a615-29ff82ac7316.
Texte intégralRésumé :
This thesis is concerned with the mathematical analysis of electricity and carbon emission markets. We introduce a novel, versatile and tractable stochastic framework for the joint price formation of electricity spot prices and allowance certificates. In the proposed framework electricity and allowance prices are explained as functions of specific fundamental factors, such as the demand for electricity and the prices of the fuels used for its production. As a result, the proposed model very clearly captures the complex dependency of the modelled prices on the aforementioned fundamental factors. The allowance price is obtained as the solution to a coupled forward-backward stochastic differential equation. We provide a rigorous proof of the existence and uniqueness of a solution to this equation and analyse its behaviour using asymptotic techniques. The essence of the model for the electricity price is a carefully chosen and explicitly constructed function representing the supply curve in the electricity market. The model we propose accommodates most regulatory features that are commonly found in implementations of emissions trading systems and we analyse in detail the impact these features have on the prices of allowance certificates. Thereby we reveal a weakness in existing regulatory frameworks, which, in rare cases, can lead to allowance prices that do not conform with the conditions imposed by the regulator. We illustrate the applicability of our model to the pricing of derivative contracts, in particular clean spread options and numerically illustrate its ability to "see" relationships between the fundamental variables and the option contract, which are usually unobserved by other commonly used models in the literature. The results we obtain constitute flexible tools that help to efficiently evaluate the financial impact current or future implementations of emissions trading systems have on participants in these markets.
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Dyrssen, Hannah. « Valuation and Optimal Strategies in Markets Experiencing Shocks ». Doctoral thesis, Uppsala universitet, Tillämpad matematik och statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-316578.
Texte intégralRésumé :
This thesis treats a range of stochastic methods with various applications, most notably in finance. It is comprised of five articles, and a summary of the key concepts and results these are built on. The first two papers consider a jump-to-default model, which is a model where some quantity, e.g. the price of a financial asset, is represented by a stochastic process which has continuous sample paths except for the possibility of a sudden drop to zero. In Paper I prices of European-type options in this model are studied together with the partial integro-differential equation that characterizes the price. In Paper II the price of a perpetual American put option in the same model is found in terms of explicit formulas. Both papers also study the parameter monotonicity and convexity properties of the option prices. The third and fourth articles both deal with valuation problems in a jump-diffusion model. Paper III concerns the optimal level at which to exercise an American put option with finite time horizon. More specifically, the integral equation that characterizes the optimal boundary is studied. In Paper IV we consider a stochastic game between two players and determine the optimal value and exercise strategy using an iterative technique. Paper V employs a similar iterative method to solve the statistical problem of determining the unknown drift of a stochastic process, where not only running time but also each observation of the process is costly.
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Ouyang, Yuhui. « Numerical Approximation of Valuation Equations Incorporating Stochastic Volatility Models ». Research Showcase @ CMU, 2014. http://repository.cmu.edu/dissertations/317.
Texte intégralRésumé :
This dissertation studies the problem of controlling far field boundary errors arising in partial differential equation approaches for pricing financial contracts written on stochastic volatility models. Feynman-Kac type results are obtained by relating finite domain Dirichlet problems to options bearing barrier features. We then adopt a probabilistic framework to show convergence for strictly sublinear contracts even when the underlying process is a local martingale, and for linear contracts when it is a proper martingale. By restricting the stochastic volatility models to a smaller class, upper bounds for the far field boundary errors are derived for linear contracts. Convergence does not hold for linear contracts dependent on strict local martingales. While rigorous results for this case are unavailable, we conjecture inverse second order convergence in the far boundary distance when appropriate Neumann boundary conditions are imposed. Effective use of a finite difference alternating direction implicit algorithm is discussed. This scheme is implemented to test convergence theories and conjectures on well known models, such as the Bessel model and the Heston model.
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Kuhn, Zuzana. « Ranges of vector measures and valuations ». Diss., Georgia Institute of Technology, 1997. http://hdl.handle.net/1853/30875.
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Kolesnichenko, Anna, et Galina Shopina. « Valuation of portfolios under uncertain volatility : Black-Scholes-Barenblatt equations and the static hedging ». Thesis, Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1634.
Texte intégralRésumé :
The famous Black-Scholes (BS) model used in the option pricing theory
contains two parameters - a volatility and an interest rate. Both
parameters should be determined before the price evaluation procedure
starts. Usually one use the historical data to guess the value of these
parameters. For short lifetime options the interest rate can be estimated
in proper way, but the volatility estimation is, as well in this case,
more demanding. It turns out that the volatility should be considered
as a function of the asset prices and time to make the valuation self
consistent. One of the approaches to this problem is the method of
uncertain volatility and the static hedging. In this case the envelopes
for the maximal and minimal estimated option price will be introduced.
The envelopes will be described by the Black - Scholes - Barenblatt
(BSB) equations. The existence of the upper and lower bounds for the
option price makes it possible to develop the worse and the best cases
scenario for the given portfolio. These estimations will be financially
relevant if the upper and lower envelopes lie relatively narrow to each
other. One of the ideas to converge envelopes to an unknown solution
is the possibility to introduce an optimal static hedged portfolio.
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Iben, Taarit Marouan. « Valorisation des ajustements Xva : de l’exposition espérée aux risques adverses de corrélation ». Thesis, Paris Est, 2018. http://www.theses.fr/2018PESC1059/document.
Texte intégralRésumé :
Nous entamons ce rapport de thèse par l’évaluation de l’espérance espérée qui représente une des composantes majeures des ajustements XVA. Sous l’hypothèse d’indépendance entre l’exposition et les coûts de financement et de crédit, nous dérivons dans le chapitre 3 une représentation nouvelle de l’exposition espérée comme la solution d’une équation différentielle ordinaire par rapport au temps d’observation du défaut. Nous nous basons, pour le cas unidimensionnel, sur des arguments similaires à ceux de la volatilité locale de Dupire. Et pour le cas multidimensionnel, nous nous référons à la formule de la Co-aire. Cette représentation permet d’expliciter l’impact de la volatilité sur l’exposition espérée : Cette valeur temps fait intervenir la volatilité des sous-jacents ainsi que la sensibilité au premier ordre du prix, évalués sur un ensemble fini de points. Malgré des limitations numériques, cette méthode est une approche précise et rapide pour la valorisation de la XVA unitaire en dimension 1 et 2.Les chapitres suivants sont dédiés aux aspects du risque de corrélations entre les enveloppes d’expositions et les coûts XVA. Nous présentons une modélisation du risque général de corrélation à travers une diffusion stochastique multivariée, comprenant à la fois les sous-jacents des dérivés et les intensités de défaut. Dans ce cadre, nous exposons une nouvelle approche de valorisation par développements asymptotiques, telle que le prix d’un ajustement XVA correspond au prix de l’ajustement à corrélation nulle, auquel s’ajoute une somme explicite de termes correctifs. Le chapitre 4 est consacré à la dérivation technique et à l’étude de l’erreur numérique dans le cadre de la valorisation de dérivés contingents au défaut. La qualité des approximations numériques dépend uniquement de la régularité du processus de diffusion de l’intensité de crédit, et elle est indépendante de la régularité de la fonction payoff. Les formules de valorisation pour CVA et FVA sont présentées dans le chapitre 5. Une généralisation des développements asymptotiques pour le cadre bilatéral de défaut est adressée dans le chapitre 6.Nous terminons ce mémoire en abordant un cas du risque spécifique de corrélation lié aux contrats de migration de rating. Au-delà des formules de valorisation, notre contribution consiste à présenter une approche robuste pour la construction et la calibration d’un modèle de transition de ratings consistant avec les probabilités de défaut implicites de marchéThe point of departure of this thesis is the valuation of the expected exposure which represents one of the major components of XVA adjustments. Under independence assumptions with credit and funding costs, we derive in Chapter 3 a new representation of the expected exposure as the solution of an ordinary differential equation w.r.t the default time variable. We rely on PDE arguments in the spirit of Dupire’s local volatility equation for the one dimensional problem. The multidimensional extension is addressed using the co-area formula. This forward representation gives an explicit expression of the exposure’s time value, involving the local volatility of the underlying diffusion process and the first order Greek delta, both evaluated only on finite set of points. From a numerical perspective, dimensionality is the main limitation of this approach. Though, we highlight high accuracy and time efficiency for standalone calculations in dimensions 1 and 2.The remaining chapters are dedicated to aspects of the correlation risk between the exposure and XVA costs. We start with the general correlation risk which is classically modeled in a joint diffusion process for market variables and the credit/funding spreads. We present a novel approach based on asymptotic expansions in a way that the price of an XVA adjustment with correlation risk is given by the classical correlation-free adjustment to which is added a sum of explicit correction terms depending on the exposure Greeks. Chapter 4 is consecrated to the technical derivation and error analysis of the expansion formulas in the context of pricing credit contingent derivatives. The accuracy of the valuation approach is independent of the smoothness of the payoff function, but it is related to the regularity of the credit intensity model. This finding is of special interest for pricing in a real financial context. Pricing formulas for CVA and FVA adjustments are derived in Chapter 5, along with numerical experiments. A generalization of the asymptotic expansions to a bilateral default risk setting is addressed in Chapter 6.Our thesis ends by tackling the problem of modeling the specific Right-Way Risk induced by rating trigger events within the collateral agreements. Our major contribution is the calibration of a rating transition model to market implied default probabilities
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Skogtrø, Bjørn Waage. « Valuating Forward Contracts in the Electricity Market using Partial Integro-differential Equations ». Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2007. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9662.
Texte intégralRésumé :
e will evaluate forward contracts in the electricity market. A thorough presentation of stochastic analysis for processes with discontinuous paths are provided, and some results concerning these from mathematical finance are stated. Using a Feynman-Kac-type theorem by Pham we derive a partial integro-differential equation giving the forward price from the spot dynamics taken from Geman and Roncoroni. This spot model is regime switching, so we get two equations. These equations are then attempted solved numerically. We suggest the following approach: When implementing boundary-conditions numerically we use values obtained from a Monte Carlo simulation of the spot dynamics to calibrate the boundary.
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Malloch, Hamish Jr. « The valuation of options on traded accounts : continuous and discrete time models ». Thesis, The University of Sydney, 2010. http://hdl.handle.net/2123/7239.
Texte intégralRésumé :
In this thesis we are concerned with valuing options on traded accounts using both continuous and discrete time models. An option on a traded account is a zero strike call on the balance of a trading account which consists of a position of size $\theta$ in a risky asset (which we refer to as a stock) and the remaining wealth in a risk-free account. The choice of trading positions throughout the life of the option are made by the buyer, subject to constraints specified in the contract at the time of purchase. The specification of these trading constraints gives rise to some of the more well known examples including passport options and vacation options. At maturity, the option buyer is entitled to any positive wealth accumulated in the trading account whilst any losses are covered by the option seller. First, we examine the problem of valuing these options in continuous time. A review of some existing methods is presented, including a complete derivation of the pricing formula for the passport option and the option on a traded account following the methods proposed by Hyer et al. (1997) and Shreve and Vecer (2000), though we often use different techniques to those authors. We also present an alternative derivation for the value of a passport option using our own methodology which we believe is simpler than those currently available. Secondly, we consider the valuation problem in a discrete time setting by looking at one specific discrete time model, the binomial tree. This is a new contribution to the literature as binomial models for these options have not been previously examined. Using this approach, the greatest difficulty is the determination of an optimal trading strategy which is required to price this class of option. We show that in general, binomial models and continuous time models do not have the same trading strategy, and in fact that the analytic determination of the trading strategy for an option on a traded account may in fact be impossible to obtain. We then turn to passport options, where we are able to derive an analytic optimal strategy which in this case is identical to that used in the continuous time models, thus the problem of valuing passport options is reduced to the same computational burdens as a binomial valuation without recombining branches. Lastly, we examine some numerical methods which could be used to value options on traded accounts with binomial models. Our problem is shown to be an NP-hard convex maximisation which we convert into both an l1-norm convex maximisation and an indefinite quadratic program. Whilst we present algorithms which are guaranteed to obtain the optimal solution, they are also known to be inefficient and thus inappropriate for any likely application beyond a few time steps. We conclude by summarising our results and give directions for future research in this area.
Livres sur le sujet "Valuation equation"
1
Valuations and differential Galois groups. Providence, R.I : American Mathematical Society, 2011.
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2
Beyna, Ingo. Interest Rate Derivatives : Valuation, Calibration and Sensitivity Analysis. Berlin, Heidelberg : Springer Berlin Heidelberg, 2013.
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3
Beyna, Ingo. Interest Rate Derivatives : Valuation, Calibration and Sensitivity Analysis. Springer, 2013.
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4
Sobczyk, Eugeniusz Jacek. Uciążliwość eksploatacji złóż węgla kamiennego wynikająca z warunków geologicznych i górniczych. Instytut Gospodarki Surowcami Mineralnymi i Energią PAN, 2022. http://dx.doi.org/10.33223/onermin/0222.
Texte intégralRésumé :
Hard coal mining is characterised by features that pose numerous challenges to its current operations and cause strategic and operational problems in planning its development. The most important of these include the high capital intensity of mining investment projects and the dynamically changing environment in which the sector operates, while the long-term role of the sector is dependent on factors originating at both national and international level. At the same time, the conditions for coal mining are deteriorating, the resources more readily available in active mines are being exhausted, mining depths are increasing, temperature levels in pits are rising, transport routes for staff and materials are getting longer, effective working time is decreasing, natural hazards are increasing, and seams with an increasing content of waste rock are being mined. The mining industry is currently in a very difficult situation, both in technical (mining) and economic terms. It cannot be ignored, however, that the difficult financial situation of Polish mining companies is largely exacerbated by their high operating costs. The cost of obtaining coal and its price are two key elements that determine the level of efficiency of Polish mines. This situation could be improved by streamlining the planning processes. This would involve striving for production planning that is as predictable as possible and, on the other hand, economically efficient. In this respect, it is helpful to plan the production from operating longwalls with full awareness of the complexity of geological and mining conditions and the resulting economic consequences. The constraints on increasing the efficiency of the mining process are due to the technical potential of the mining process, organisational factors and, above all, geological and mining conditions. The main objective of the monograph is to identify relations between geological and mining parameters and the level of longwall mining costs, and their daily output. In view of the above, it was assumed that it was possible to present the relationship between the costs of longwall mining and the daily coal output from a longwall as a function of onerous geological and mining factors. The monograph presents two models of onerous geological and mining conditions, including natural hazards, deposit (seam) parameters, mining (technical) parameters and environmental factors. The models were used to calculate two onerousness indicators, Wue and WUt, which synthetically define the level of impact of onerous geological and mining conditions on the mining process in relation to: —— operating costs at longwall faces – indicator WUe, —— daily longwall mining output – indicator WUt. In the next research step, the analysis of direct relationships of selected geological and mining factors with longwall costs and the mining output level was conducted. For this purpose, two statistical models were built for the following dependent variables: unit operating cost (Model 1) and daily longwall mining output (Model 2). The models served two additional sub-objectives: interpretation of the influence of independent variables on dependent variables and point forecasting. The models were also used for forecasting purposes. Statistical models were built on the basis of historical production results of selected seven Polish mines. On the basis of variability of geological and mining conditions at 120 longwalls, the influence of individual parameters on longwall mining between 2010 and 2019 was determined. The identified relationships made it possible to formulate numerical forecast of unit production cost and daily longwall mining output in relation to the level of expected onerousness. The projection period was assumed to be 2020–2030. On this basis, an opinion was formulated on the forecast of the expected unit production costs and the output of the 259 longwalls planned to be mined at these mines. A procedure scheme was developed using the following methods: 1) Analytic Hierarchy Process (AHP) – mathematical multi-criteria decision-making method, 2) comparative multivariate analysis, 3) regression analysis, 4) Monte Carlo simulation. The utilitarian purpose of the monograph is to provide the research community with the concept of building models that can be used to solve real decision-making problems during longwall planning in hard coal mines. The layout of the monograph, consisting of an introduction, eight main sections and a conclusion, follows the objectives set out above. Section One presents the methodology used to assess the impact of onerous geological and mining conditions on the mining process. Multi-Criteria Decision Analysis (MCDA) is reviewed and basic definitions used in the following part of the paper are introduced. The section includes a description of AHP which was used in the presented analysis. Individual factors resulting from natural hazards, from the geological structure of the deposit (seam), from limitations caused by technical requirements, from the impact of mining on the environment, which affect the mining process, are described exhaustively in Section Two. Sections Three and Four present the construction of two hierarchical models of geological and mining conditions onerousness: the first in the context of extraction costs and the second in relation to daily longwall mining. The procedure for valuing the importance of their components by a group of experts (pairwise comparison of criteria and sub-criteria on the basis of Saaty’s 9-point comparison scale) is presented. The AHP method is very sensitive to even small changes in the value of the comparison matrix. In order to determine the stability of the valuation of both onerousness models, a sensitivity analysis was carried out, which is described in detail in Section Five. Section Six is devoted to the issue of constructing aggregate indices, WUe and WUt, which synthetically measure the impact of onerous geological and mining conditions on the mining process in individual longwalls and allow for a linear ordering of longwalls according to increasing levels of onerousness. Section Seven opens the research part of the work, which analyses the results of the developed models and indicators in individual mines. A detailed analysis is presented of the assessment of the impact of onerous mining conditions on mining costs in selected seams of the analysed mines, and in the case of the impact of onerous mining on daily longwall mining output, the variability of this process in individual fields (lots) of the mines is characterised. Section Eight presents the regression equations for the dependence of the costs and level of extraction on the aggregated onerousness indicators, WUe and WUt. The regression models f(KJC_N) and f(W) developed in this way are used to forecast the unit mining costs and daily output of the designed longwalls in the context of diversified geological and mining conditions. The use of regression models is of great practical importance. It makes it possible to approximate unit costs and daily output for newly designed longwall workings. The use of this knowledge may significantly improve the quality of planning processes and the effectiveness of the mining process.
Chapitres de livres sur le sujet "Valuation equation"
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Poncet, Patrice, et Roland Portait. « The State Variables Model and the Valuation Partial Differential Equation ». Dans Springer Texts in Business and Economics, 847–69. Cham : Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-030-84600-8_20.
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in ’t Hout, Karel. « Financial Option Valuation ». Dans Numerical Partial Differential Equations in Finance Explained, 1–8. London : Palgrave Macmillan UK, 2017. http://dx.doi.org/10.1057/978-1-137-43569-9_1.
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Brigo, Damiano, Marco Francischello et Andrea Pallavicini. « Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects ». Dans Innovations in Derivatives Markets, 37–52. Cham : Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33446-2_2.
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« Solving a nonlinear equation ». Dans An Introduction to Financial Option Valuation, 123–30. Cambridge University Press, 2004. http://dx.doi.org/10.1017/cbo9780511800948.014.
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« Simultaneous Equation Models for Security Valuation ». Dans Financial Analysis, Planning & ; Forecasting, 1163–215. WORLD SCIENTIFIC, 2016. http://dx.doi.org/10.1142/9789814723855_0024.
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« Simultaneous Equation Models for Security Valuation ». Dans Security Analysis, Portfolio Management, and Financial Derivatives, 1027–80. WORLD SCIENTIFIC, 2012. http://dx.doi.org/10.1142/9789814343589_0026.
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« MODERN RECURSIVE EQUILIBRIUM AND THE BASIC PRICING EQUATION ». Dans The Economics of Business Valuation, 113–24. Stanford University Press, 2013. http://dx.doi.org/10.2307/j.ctvqsf1q5.12.
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Anderson, Patrick L. « MODERN RECURSIVE EQUILIBRIUM AND THE BASIC PRICING EQUATION ». Dans The Economics of Business Valuation, 113–24. Stanford University Press, 2013. http://dx.doi.org/10.11126/stanford/9780804758307.003.0009.
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« 9. Modern Recursive Equilibrium and the Basic Pricing Equation ». Dans The Economics of Business Valuation, 113–24. Stanford University Press, 2020. http://dx.doi.org/10.1515/9780804783224-010.
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Narwal, Karam Pal, et Sushila Soriya. « Relationship between Company's Intellectual Capital and Performance ». Dans Asian Business and Management Practices, 190–209. IGI Global, 2015. http://dx.doi.org/10.4018/978-1-4666-6441-8.ch015.
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This chapter examines the relationship between Financial Reporting of Intellectual Capital and Company's Performances in Indian Information Technology Industry. The sample consisted of 60 companies listed on NSE for a time period of 1999-00 to 2008-09. Value-Added Intellectual Coefficient (VAICTM) method developed by Pulic (1998) was used for the analysis of the data. The chapter uses VAICTM model and regression equation for the evaluation of intellectual capital and their relationship with productivity, profitability, and market valuation of the companies. The result of the chapter supports the hypothesis that profitability of the company can be explained by the intellectual capital. However, there is no significant association of intellectual capital with productivity and market capitalization of the companies for the selected time period of year 1999-00 to 2008-09.
Actes de conférences sur le sujet "Valuation equation"
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Senadheera, S., et E. Warusavitharana. « A Property valuation model to identify thriving real estate opportunities, based on spatial factors ». Dans Independence and interdependence of sustainable spaces. Faculty of Architecture Research Unit, 2022. http://dx.doi.org/10.31705/faru.2022.21.
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Traditional valuation techniques are used to evaluate the value of a property in most developing countries, despite the fact that the world is expanding with new technical developments in every discipline, including spatial science. Traditional techniques are primarily biased on physical and economic variables, but not on spatial variables. As a result, the purpose of this study is to investigate the gap in practice in advanced valuation approaches that can grasp the impact of spatial (geographical) variables on a property's value. In order to experiment it, a valuation model using the Geographical Information System has been created for an urban local area that generates the spatial heterogeneity of property values. Also, a coefficient of correlation analysis was carried out to identify relationship strengths with the property’s value. Results indicated that in the case study area, the strongest impact on property value is from the spatial variables of distance to main city, distance to major “A” class road and breadth of access road in order. Further, a multi linear regression equation has been derived to generate an estimation of each plot’s property assessed value. Ultimately this model could serve as a guidance tool for any real estate party to estimate property values based on spatial variables.
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Suhendra, Euphrasia Susy. « The Influence of Intellectual Capital on Firm Value towards Manufacturing Performance in Indonesia ». Dans International Conference on Eurasian Economies. Eurasian Economists Association, 2015. http://dx.doi.org/10.36880/c06.01192.
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The aim of this study is to analyse the influence of intellectual capital on firm value through firm performance (profitability, productivity, market valuation and growth). Intellectual capital is measured by using a Value Added Intellectual Coefficient (VAIC™). Firm value is measured by Tobin's Q. The financial performance consists of Return on assets (ROA), Asset turn over (ATO), Market to Book Value (MB) and Earnings per Share (EPS).
Data from this study was obtained from financial statements and annual reports of manufacturing companies that are taken from the Indonesia Stock Exchange. The sample of this study is manufacturing companies listed on the Indonesia Stock Exchange during the year of 2011-2013 for 37 companies. The types of data used are secondary data in the form of annual reports by the manufacturing companies. Empirical analysis is conducted by using Structural Equation Modelling (SEM).
The results of this study indicate that Intellectual capital has a significant effect on profitability, market valuation and growth. Intellectual capital does not significantly affect productivity and firm value. Market valuation significantly affects the firm value. Profitability, productivity and growth do not significantly affect firm value. Furthermore, Intellectual capital which is intervened by the firm performance has a positive effect on firm value.
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Saradva, Harshil, Christna Golaco, Matthew Robert, Siddharth Jain, Thurley Callum, Abdulhafid Bentaher et Masoud Al Hamadi. « Generation of a Regional Fluid Database for Gas Condensate Assets in a Thrusted Carbonate Environment of the Northern Emirates ». Dans ADIPEC. SPE, 2022. http://dx.doi.org/10.2118/211363-ms.
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Abstract Sharjah National Oil Corporation (SNOC) operates 4 onshore fields, the largest of which has been in production since the 1980's, in addition to over 50 years of exploration activity in the region. The producing fields exhibit a wide range of condensate-gas ratio (CGR) productivity and other properties. The scope of this paper is to discuss how the data from these exploration and development wells was combined to develop a trend of the fluid properties within the Northern Emirates to assist in the Future SNOC activities. A detailed data scouting and processing workflow was undertaken and all available legacy pressure-volume-temperature (PVT) reports were digitized. All available separator recombined samples reports and bottomhole sample reports were compiled into a master database. The well test reports were thoroughly examined to understand the field operations and determine the reliability of the PVT reports while the fluid samples were collected during the well tests. An equation of state was generated for each field using all available information taking into account their production history over 30+ years and the results were then used for the regional PVT study. A distinct trend of CGRs, specific gravity and other reservoir fluid properties were observed which co-related with the formations. These prospects which are spread out all over the Emirate of Sharjah were compared on the same parameters to develop a regional guideline. A regional trend of changing fluid properties was also observed which helps define the fluid properties expected in the Thamama Group formations in the Northern Emirates from any exploration well. The results will assist in determining the valuation of any exploration prospect if it is deemed successful and also plan ahead for the value of the prize. These trends also helped fill in missing data and perform quality control (QC) on older fields where comprehensive lab data was unavailable. In some cases, gas condensate fluid properties were unattainable at the mature stage of the field and this study provided the necessary information to plan enhanced recovery opportunities. This paper aims to be a leading reference for the PVT fluid properties in the complex Thamama Group of the Northern Emirates to support future exploration and development activities. The regional data provides a strong correlation and this information is novel in terms of utilizing legacy data for potential opportunities. The new database also helps QC the dataset of existing PVT reports along with aiding in identifying the sources of hydrocarbon origin in this region.