A Stochastic Control Framework For Real Options In Strategic Evaluation
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A Stochastic Control Framework For Real Options In Strategic Evaluation
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Author : Alexander Vollert
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
A Stochastic Control Framework For Real Options In Strategic Evaluation written by Alexander Vollert and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
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.
A Stochastic Control Framework For Real Options In Strategic Valuation
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Author : Alexander Vollert
language : en
Publisher: Birkhauser
Release Date : 2003
A Stochastic Control Framework For Real Options In Strategic Valuation written by Alexander Vollert and has been published by Birkhauser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business enterprises categories.
This text unfolds and examines a new framework for classifying real options from a management as well as 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 yield optimal capital market strategies and values. Various examples are given, demonstrating the potential of the proposed framework.
Optimisation Econometric And Financial Analysis
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Author : Erricos Kontoghiorghes
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-05-17
Optimisation Econometric And Financial Analysis written by Erricos Kontoghiorghes and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-17 with Computers categories.
Advanced computational methods are often employed for the solution of modelling and decision-making problems. This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modelling. Emphasis is given to computational optimisation methods and techniques. The first part of the book addresses optimisation problems and decision modelling, with special attention to applications of supply chain and worst-case modelling as well as advances in the methodological aspects of optimisation techniques. The second part of the book is devoted to optimisation heuristics, filtering, signal extraction and various time series models. The chapters in this part cover the application of threshold accepting in econometrics, the structure of threshold autoregressive moving average models, wavelet analysis and signal extraction techniques in time series. The third and final part of the book is about the use of optimisation in portfolio selection and real option modelling.
Proceedings Of The 17th International Symposium On Advancement Of Construction Management And Real Estate
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Author : Jiayuan Wang
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-08-16
Proceedings Of The 17th International Symposium On Advancement Of Construction Management And Real Estate written by Jiayuan Wang and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-16 with Business & Economics categories.
The Chinese Research Institute of Construction Management (CRIOCM) in collaboration with Shenzhen University (SZU) proudly invites all academics, researchers and professionals to participate in the CRIOCM 2012, the 17th International Symposium on "Advancement of Construction Management and Real Estate." We will uphold and preserve the idea and tradition of pragmatism and innovation, to offer an excellent academic and communication platform for academics and professionals to exchange information on the latest developments in real estate and construction management.
American Type Options
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Author : Dmitrii S. Silvestrov
language : en
Publisher: Walter de Gruyter
Release Date : 2013-11-27
American Type Options written by Dmitrii S. Silvestrov and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-27 with Mathematics categories.
The book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The book also contains an extended bibliography of works in the area. This book is the first volume of the comprehensive two volumes monograph. The second volume will present results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.
Financial Mathematics
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Author : Yuliya Mishura
language : en
Publisher: Elsevier
Release Date : 2016-02-01
Financial Mathematics written by Yuliya Mishura and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-01 with Mathematics categories.
Finance Mathematics is devoted to financial markets both with discrete and continuous time, exploring how to make the transition from discrete to continuous time in option pricing. This book features a detailed dynamic model of financial markets with discrete time, for application in real-world environments, along with Martingale measures and martingale criterion and the proven absence of arbitrage. With a focus on portfolio optimization, fair pricing, investment risk, and self-finance, the authors provide numerical methods for solutions and practical financial models, enabling you to solve problems both from mathematical and from financial point of view. - Calculations of Lower and upper prices, featuring practical examples - The simplest functional limit theorem proved for transition from discrete to continuous time - Learn how to optimize portfolio in the presence of risk factors
The Economics Of Business Valuation
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Author : Patrick Anderson
language : en
Publisher: Stanford University Press
Release Date : 2013-04-10
The Economics Of Business Valuation written by Patrick Anderson and has been published by Stanford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-10 with Business & Economics categories.
For decades, the market, asset, and income approaches to business valuation have taken center stage in the assessment of the firm. This book brings to light an expanded valuation toolkit, consisting of nine well-defined valuation principles hailing from the fields of economics, finance, accounting, taxation, and management. It ultimately argues that the "value functional" approach to business valuation avoids most of the shortcomings of its competitors, and more correctly matches the actual motivations and information set held by stakeholders. Much of what we know about corporate finance and mathematical finance derives from a narrow subset of firms: publicly traded corporations. The value functional approach can be readily applied to both large firms and companies that do not issue publicly traded stocks and bonds, cannot borrow without constraints, and often rely upon entrepreneurs to both finance and manage their operations. With historical side notes from an international set of sources and real-world exemplars that run throughout the text, this book is a future-facing resource for scholars in economics and finance, as well as the academically minded valuation practitioner.
The Value Of Information Updating In New Product Development
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Author : Christian Artmann
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-21
The Value Of Information Updating In New Product Development written by Christian Artmann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-21 with Mathematics categories.
Managing uncertainty in new product development projects for improved valuation and decision making is one of the most complex and challenging problems in operations management. It is important for any corporation depending on the success of new products and innovations. This work shows how uncertainty can be handled and partly resolved by conducting an information update during the development process. It is one of the first comprehensive models that combine statistical decision theory in form of Bayesian analysis with a real options framework for projects exposed to different sources of uncertainty. The proposed framework makes an important theoretical contribution in addressing this problem, while at the same time being of significant value to managers who face the difficult task of evaluating and managing complex product development projects.
Mathematical Reviews
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Author :
language : en
Publisher:
Release Date : 2008
Mathematical Reviews written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Mathematics categories.
The Bibliographic Index
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Author :
language : en
Publisher:
Release Date : 2005
The Bibliographic Index written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Bibliography categories.