Guojun Yuan School of Economics and Management, West Anhui University, Lu an , Anhui, China,
|
|
- Homer Edmund Phillips
- 5 years ago
- Views:
Transcription
1 Rev. Téc. Ing. Univ. Zulia. Vol. 39, Nº 10, , 016 doi: / Pricing Binary Opions Based on Fuzzy Number Theory Guojun Yuan chool of Economics and Managemen, Wes Anhui Universiy, Lu an 3701, Anhui, China, Absrac Opions pricing model parameers are inherenly imprecise due o flucuaions in he real-world financial marke. Tradiional opion pricing mehods do no accoun for he uncerainy in parameers, bu he fuzzy se heory may be applicable. This paper proposes a cash-or-nohing European call binary opion pricing model based on he hypohesis ha he underlying asse price, risk-free rae of ineres, and volailiy all are uncerain. We presen he fuzzy pricing model of he cash-or-nohing call binary opion under he fuzzy environmen. Two numerical examples presened in he paper illusrae he raionaliy and effeciveness of he fuzzy opion pricing model. Keywords: Binary Opion, Cash-Or-Nohing Opion, Fuzzy Number, Fuzzy Opion Pricing 1. INTRODUCTION An opion is a conrac which gives is holder he righ (bu no he obligaion o buy or sell an underlying asse a a predeermined price on a specified dae. Opions can be caegorized as call opions and pu opions. The call opion gives he holder he righ o buy an underlying asse a a predeermined price; he pu opion gives he holder he righ o sell an underlying asse a a predeermined price. Opions firs appeared in he early 1970 s as a finance innovaion and since hen have developed quickly ino an efficien approach oward risk hedging. In effor o saisfy he increasingly diverse needs of invesors, exoic opions wih a wide array of characerisics have been designed based on he foundaion of he sandard conrac. Exoic opions, pu simply, are opions ha do no share he same characerisics as sandard opions (Wei e al., 015. The pah-dependen opion is a ype of exoic opion ha feaures payoffs relaed o he underlying asse price a mauriy, or o he price pah beween he curren ime and expiraion dae. The binary opion is a pah-dependen opion ha has disconinuous payoffs. The binary opion can be used o hedge and speculae; i is very popular in over-he-couner marke dealings. There are wo main ypes of binary opions: The cash-or-nohing binary opion, and he asse-or-nohing binary opion. The radiional binary opion pricing model only applies o scenarios in which he underlying sock price, risk-free ineres rae, and price volailiy are cerain. In he acual financial marke, precise opion model parameers are no necessarily aainable i is especially challenging (even impossible o precisely deermine he underlying asse price, risk-free rae of ineres, or volailiy. Furher, invesors end o focus on he range wihin which opion prices end o oscillae, while generally neglecing he precise opion price. In shor: The radiional opion pricing model does no accuraely reflec he real-world financial marke. The fuzzy ses heory firs proposed by Zadeh can be uilized o solve problems ha feaure uncerainy (Zadeh, Ribeiro e al., in a noable example of his, addressed a finance engineering problem by applying he fuzzy se heory (Ribeiro e al., Based on Black-choles pricing formula, Wu esablished a fuzzy pricing model for European opions (Wu, 004; Wu, 005; Wu, 007. Considering he randomness and fuzziness under uncerain environmens,yoshida derived a novel mehod for valuaing European opion prices by using fuzzy numbers (Yoshida, 003. Lee e al. developed a fuzzy binominal European opion pricing approach in he CRR model and conduced an empirical analysis by aking &P 500 index opions as an example (Lee e al., 005. Thiagarajah e al. buil a European opions pricing model by using adapive fuzzy numbers (Thiagarajah e al., 007, and Xu e al. buil a fuzzy pricing model for European opions in normal jump-diffusion wih uncerain randomness and fuzziness. The pricing model can be considered an exension of he Meron s opion price model (Xu e al., 009. Yen derived a new opion pricing model by inroducing a non-uniform self-selecive coder (Yen, 010. Based on he assumpion ha he underlying asse price, discoun rae, he volailiy and risk-free rae of ineres are all fuzzy numbers, Zhang e al. obained a fuzzy pricing formula and corresponding algorihm for American opions (Zhang e al., 011. There have indeed been many valuable conribuions o he lieraure, bu o dae, here have been relaively few sudies on exoic opions pricing wihin fuzzy environmens apar from hose by Wang e al. (Wang e al., 014 and Zhan (Zhang, 014. Recenly, Thavaneswaran e al. used fuzzy se heory o price asse-or-nohing 384
2 Rev. Téc. Ing. Univ. Zulia. Vol. 39, Nº 10, , 016 European binary opions (Thavaneswaran e al., 013, bu only by fuzzifying he mauriy value of he underlying asse price while considering risk-free rae of ineres and volailiy o be cerain, real numbers. In he acual financial marke, daa such as underlying asse price, risk-free ineres rae, and volailiy simply canno be precisely obained. Our primary goal in conducing he presen sudy was o fill hese gaps in knowledge ha is, o build a cash-or-nohing European binary opion pricing model by fuzzifying he underlying asses price, risk-free rae of ineres, and volailiy. A number of oher sudies served as inspiraion for he presen sudy. Carlsson and Fuller used fuzzy numbers o explore he real opion pricing problem and idenified he possibilisic mean value and possibilisic variance of fuzzy numbers simulaneously (Carlsson and Fuller, 001. Thavaneswaran e al. proved he superioriy of fuzzy forecass compared o oher echniques per he opion pricing problem in he GARCH model by applying he weighed possibilisic momens of fuzzy numbers (Thavaneswaran e al., 009. Zmeskal proposed a fuzzy binomial model for pricing American real opions (Zmeskal, 010. Guerra e al. and Chryafis and Papadopoulos sudied similar pricing problems under he fuzzy environmen and uilizing fuzzy numbers (Guerra e al., 011; Chryafis and Papadopoulos, 009. Few researchers have explored binary opion valuaion under fuzzy environmens, however. In his paper, we inroduce a correlaive definiion of fuzzy numbers and heir operaions; we also derive a fuzzy pricing model of he cash-or-nohing binary European call opion. The remainder of his paper is organized as follows. The pricing model of cash-or-nohing binary opion under a sochasic environmen is derived in ecion. In ecion 3, we inroduce he basic characerisics of fuzzy numbers as uilized hroughou his paper. A general fuzzy pricing model of binary opions is discussed in ecion 4, and he numerical experimens we conduced o verify he model s effeciveness are discussed in ecion 5. ecion 6 provides a brief summary and conclusion.. PRICING MODEL OF CAH-OR-NOTHING BINARY OPTION UNDER TOCHATIC ENVIROMENT There have been many noable breakhroughs in opion pricing heory, namely in 1973, when Black and choles esablished he model for valuing European opions. Their pricing mehod can be used o valuae any claim in he Black-choles model: o d r d dw, 0 T, (1 0 W ( r / 0 e ( r is he risk-free rae of ineres, is volailiy, and W is he Brownian moion. Le T be he mauriy dae and [ T0, T ] denoe he final ime inerval; le K denoe he srike price and V (, denoe he price of he binary call opion a ime. The pricing model of he cash-or-nohing European call binary opion a ime can hen be wrien as follows: V V V r rv 0 (3 wih he following boundary condiion: Q T K H( T, T 0 T K (4 K denoes he srike price and Q is a consan. To solve Eqs. (3 and (4 for he cash-or-nohing binary opion, le based on upper ransformaion, because T, x ln (5 K x H ( K H ( 1 H( e 1 H( x. (6 K Thus, Eqs. (4 and (5 can be ranslaed ino he following Cauchy problem: 385
3 Rev. Téc. Ing. Univ. Zulia. Vol. 39, Nº 10, , 016 V V V ( r rv 0 x x V( x,0 H ( x (7 imilar o he derivaion of he Black-choles formula, we have r x ( r / V ( x, e N( (8 w 1 x N( x e dw. Because x ln, T K, we have r ( T V (, e QN( d (9 d K ln ( r / ( T T. 3. FUZZY NUMBER This secion provides several correlaive definiions and operaions of fuzzy numbers ha will be uilized hroughou his paper (Zadeh, 1965; Zimmermann, Correlaive Definiion Definiion 1. A fuzzy se A in X R, R is he se of real numbers, is a se of ordered pairs A {( x, ( x : x X}, ( x is he membership funcion of x X which maps x X ono he real inerval [0, 1]. Le R denoe a universal se of all real numbers. Then a fuzzy subse A is defined by is membership funcion A : R [0, 1]. The level se of A is defined by A { x ( x }, (0 1 The 0-level se A 0 of A is defined by he closure of he se { x ( x 0}, which is called a normal fuzzy se A if here exiss a x such ha. Definiion. A fuzzy se A n n in R is called a convex fuzzy se, if and only if for any x1, x R and 0 1, ( x (1 x min{ ( x, ( x } (10 A 1 A 1 A Definiion 3. The following condiions mus be saisfied for A o be defined as a fuzzy number: (1 A is a normal and convex fuzzy se; ( Is membership funcion A is upper semi-coninuous; (3 The level se A is bounded for all [0,1]. Zadeh proved ha if A is a fuzzy number, hen A is a convex and compac se (Zadeh, Tha is, A is a closed inerval, denoed by [, ] A A A and A has he following propery: A A, A B A B, [0,1] (11 The fuzzy se and membership funcion are an exension of he classical se and characerisic funcion. A crisp or usual number is inroduced accordingly. If he membership funcion of A is in he following forma: 1, x m ( x A 0, x m (1 hen A is a crisp or usual number ha is denoed by A 1 { m }. I readily follows ha (1 (1, [0,1], and ha any real number can be considered a crisp or usual number. { m} { m} m A 386
4 Rev. Téc. Ing. Univ. Zulia. Vol. 39, Nº 10, , 016 Definiion 4. If he membership funcion of A has he following form: a x 1 a x a, 0 1 a x b ( x A (13 x b 1 b x b, 0 0 oherwise hen he fuzzy number A is a rapezoidal fuzzy number, which has he core [a, b], lef widh, and righ widh. Le A ( a, b,, denoe a rapezoidal fuzzy number, hen i follows ha he level ses of A have he following form: A [ A, A ] [ a (1, b (1 ] [0,1] (14 3. Fuzzy Number Operaion If he binary operaion of wo fuzzy numbers A, B is defined, hen he membership funcion of A, B is as follows: ( z sup min{ ( x, ( x } (15 A B A B {( x, y x y} denoes + or operaion, and can be easily expanded o and operaion. Le A and B be wo fuzzy numbers. Thus, A [ A, A ] and B [ B, B ] ; hen A B, A B, and A B are also fuzzy numbers wih level ses in he following forma: ( A B A B [ A B, A B ], (A B A - B [ A - B, A - B ], ( A B A B [min( A B, A B, A B, A B,max( A B, A B, A B, A B ] for all [0,1]. If B denoes he level se of B wihou zero, hen A / B is also a fuzzy number wih he level se as he following: (A A A A A A A A A A / B [min(,,,,max(,,, ] B B B B B B B B B 4. FUZZY PRICING MODEL OF EUROPEAN CALL BINARY OPTION Based on he assumpion ha he underlying asses price, ineres rae r, and volailiy are all fuzzy numbers and under he operaional principle of fuzzy numbers, he fuzzy paern pricing model of he cash-or-nohing European call binary opion (Eq. (10 is as follows: r 1 (,,,, ( { T V K r e } N ( d (16 d ((ln( / 1 ( r 1 1 / ( 1 { K} {1/ } { T } { T } The underlying asses price K and he ime are boh real (usual numbers, which are denoed by he crisp numbers 1 { K } and 1 { } wih values K and, respecively, so he fuzzy pricing model of a cash-or-nohing European call binary opion a ime is: C V (, T, K, r, (17 C and are fuzzy random variables and [0,1]. The funcion N( x is an increasing funcion, so he level se of N ( d is wrien as follows: 387
5 Rev. Téc. Ing. Univ. Zulia. Vol. 39, Nº 10, , 016 of x, so imilarly, he funcion e r 1 { T } ( N ( d { N( x x d } { N( x d x d } [ N( d, N( d ] (18 x e is a decreasing funcion of x and he funcion ln x is an increasing funcion and ln( / 1 { K} have he following level ses: r 1 { T } r ( T r ( T ( e [ e, e ] (19 (ln( / 1 [ln( / K,ln( / K] (0 { K} The righ-end and lef-poins of he closed inerval ( C [( C,( C ] can now be deermined, which makes i easy o calculae he righ-end poin ( C and he lef-end poin ( C of he closed inerval ( C as follows: ( ( r C e T N( d (1 d d ln( / K ( r (1/ ( ( T T ( ( r C T e N( d [0,1] [0,1] ln( / K ( r (1/ ( ( T T ( If he underlying asses price, risk-free rae of ineres r, and volailiy are rapezoidal fuzzy numbers, he specific fuzzy pricing model of he cash-or-nohing European call binary opion can be derived accuraely. If, r, and are all rapezoidal fuzzy numbers and ( 1,,,, r ( r, r,, 1 r r, ( 1,,,, hen heir level se is as follows: [ 1 (1, (1 ], r [ r1 (1 r, r (1 r ], [ (1, (1 ] 1 The fuzzy pricing formula of C can be obained by using he fuzzy paern of he cash-or-nohing call binary opion pricing model (Eq. (17. The level se of he cash-or-nohing call binary opion price C can be wrien in crisp form as follows: and ( C [( C,( C ], [0,1] (3 (4 ( (1 ( ( r C r T e N( d (5 ( 1 (1 ( + ( r C r T e N( d ln(( 1 (1 / K ( r1 (1 r (1/ ( 1 (1 ( T d ( (1 T + ln(( (1 / K ( r (1 r (1/ ( (1 ( T d ( 1 (1 T If 0 and 0, hen, r, and are all inerval numbers. r r The fuzzy pricing formula of C can be obained by using he fuzzy paern of he cash-or-nohing call binary opion pricing model (Eq. (3. The cash-or-nohing call binary opion price C can be given by he following inerval: C [ C, C ] (6 388
6 Rev. Téc. Ing. Univ. Zulia. Vol. 39, Nº 10, , 016 and and r ( T C e N( d C e N( d + r1 ( T + ln( 1 / K ( r1 (1/ 1 ( T d T d + ln( / K ( r (1/ ( T. T 1 If 1, r1 r, 1, r 0, and r 0, hen, r, and are all real, crisp numbers. I readily follows ha C C, so assuming ha he parameers, r, and are colleced or recorded exacly, he range of fuzzy opions price will become a real, crisp number; accordingly, he fuzzy opion pricing model reurns ino a radiional pricing model of he cash-or-nohing call binary opion. To his effec, he fuzzy binary opion pricing model proposed here is an exension of he radiional cash-or-nohing binary call opion pricing model. 5. NUMERICAL EXPERIMENT In order o verify effeciveness of he proposed model, we ook similar algorihms proposed by Wu (Wu, 005 and ran wo numerical experimens o compare heir performance. Consider a cash-or-nohing European call binary opion wih he underlying asses price K=30 and T =6(monh. Assume ha he underlying asses price =35, Q=10, he volailiy of underlying asses =0., and he risk-free rae of ineres r=0.05(per annum. uppose ha = 0 and T =0.5. The fuzzy underlying asses price 0, fuzzy risk-free rae of ineres r, and fuzzy volailiy of underlying asses price are all assumed as rapezoidal fuzzy numbers: 0 = (34.7, 35., 1.9,.6, r =(0.047, 0.05, 0.01, 0.014, and = (0.18, 0., 0.05, 0.06, respecively. According o he fuzzy opion pricing model derived above, he curren fuzzy price C 0 of he cash-or-nohing call binary opion can be obained accuraely. Given differen he cash-or-nohing call binary opion prices c, using he algorihm derived by Wu (Wu, 005, he belief degrees ( c are given in Table 1. C0 Table 1. Belief degrees ( c for cash-or-nohing call binary opion prices c C0 C C 0 ( c Table 1 yields a few ineresing conclusions. If he cash-or-nohing call binary opion price is 3.81, is belief degree is Accordingly, if he invesor is saisfied wih he belief degree 0.950, hen he or she can ake his opion for he price of 3.81 for use in he fuure. If he cash-or-nohing call binary opion price is 4., hen is belief degree equals This siuaion reflecs he fac ha he cash-or-nohing call binary opion calculaed via he radiional formula is 4. (based on r = 0.05, =0., =
7 Rev. Téc. Ing. Univ. Zulia. Vol. 39, Nº 10, , 016 Table. - level closed inervals of he cash-or-nohing call binary opion fuzzy price ( C [3.6975, 4.744] 0.9 [3.7463, ] 0.94 [3.7948, ] 0.96 [3.8434, ] 0.98 [3.8919, ] 1.00 [3.9405, ] Table shows he level closed inervals ( C 0 of he cash-or-nohing call binary opion fuzzy price. If assuming =0.96, hen ( C 0 = [3.8434, ] his means ha he opion price will lie in [3.8434, ] when belief degree =0.96. I also means ha if he invesor is ineresed a belief degree 0.96, hen he or she may ake any value from he inerval [3.8434, ] as he opion price for use in he fuure. 6. CONCLUION This paper presened he resuls of our sudy on a novel cash-or-nohing call binary opion pricing mehod based on fuzzy number heory. We firs inroduced some basic conceps and operaions relaed o fuzzy numbers, hen esablished a fuzzy paern opion pricing model. The proposed model was proven feasible and effecive via wo numerical experimens. ACKNOWLEDGMENT This work was suppored by he Key Research Foundaion for Excellen Youh Talens of he Educaion Bureau of Anhui Province, China (Gran No. 013QRW054 ZD and he of cience Projec of Anhui Province, China (Gran No. 1607a REFERENCE Carlsson C., Fuller R. (001 On possibilisic mean value and variance of fuzzy numbers, Fuzzy es and ysems, 1 (, pp Chrysafis K., Papadopoulos B. (009 On heoreical pricing of opions wih fuzzy esimaors, Journal of Compuaional and Applied Mahemaics, 3(, pp Guerra M. L., orini L., efanini L. (011 Opion price sensiiviies hrough fuzzy numbers, Compuers and Mahemaics wih Applicaions, 61 (3, pp Lee C.F., Tzeng G.H., Wang.Y. (005 A fuzzy se approach for generalized CRR model: an empirical analysis of &P 500 index opions, Review Quaniaive Finance and Accouning, 5(3, pp Ribeiro R.A., Zimmermann H.-J., Yager R.R., Kacprzyk J. (1999 of Compuing in Financial Engineering, Physica-Verlag: Heidelberg. Thavaneswaran A., Appadoo.., Frank J. (013 Binary opion pricing using fuzzy numbers, Applied Mahemaics Leers, 6(1, pp Thavaneswaran A., Appadoo.., Paseka A. (009 Weighed possibilisic momens of fuzzy numbers wih applicaions o GARCH modeling and opion pricing, Mahemaical and Compuer Modelling, 49(1, pp Thiagarajah K., Appadoo.., Thavaneswaran A. (007 Opion valuaion model wih adapive fuzzy numbers, Compuers & Mahemaics wih Applicaion, 53 (3, pp Wang X. D., He J. M., Li. W. (014 Compound opion pricing under fuzzy environmen, Journal Applied Mahemaics, 014(1, pp.1 9. Wu H.C. (004 Pricing European opions based on he fuzzy paern of Black choles formula, Compuers & Operaions Research, 31(7, pp Wu H.C. (005 European opion pricing under fuzzy environmen, Inernaional Journal Inelligen ysems, 0(1, pp Wu H.C. (007 Using fuzzy ses heory and Black choles formula o generae pricing boundaries of European opions, Applied Mahemaics & Compuaion, 185(1, pp Xu W.D., Wu C.F., Xu W. J., Li H.Y. (009 A jump-diffusion model for opion pricing under fuzzy environmens, Insurance Mahemaics & Economics, 44(3, pp
8 Rev. Téc. Ing. Univ. Zulia. Vol. 39, Nº 10, , 016 Yen E.C. (010 Using a non-uniform self-selecive coder for opion pricing, Applied of Compuing, 10(1, pp Yoshida Y.J. (003 The valuaion of European opions in uncerain environmen, European Journal of Operaional Research, 145(1, pp.1 9. Zadeh L.A. (1965 Fuzzy ses, Informaion & Conrol, 8(3, pp Zhan H.R. (010 Pricing Asian opions using fuzzy ses heory, Proc. Conf. on Arificial Inelligence and Educaion, pp Zhang W. G., hi Q.., Xiao W. L. (011 Fuzzy pricing of American opions on socks wih known dividends and is algorihm, Inernaional Journal of Inelligen ysems, 6(, pp Zhang W. G., Xiao W. L., Kong W. T., Zhang Y. (015 Fuzzy pricing of geomeric Asian opions and is algorihm, Applied of Compuing, 8 (C, pp Zimmermann H.J. (001 Fuzzy e Theory and is Applicaions (fourh ed., Kluwer Academic Publishers: Nowell. Zmeskal Z. (010 Generalized sof binomial American real opion model (fuzzy sochasic approach, European Journal of Operaional Research, 07(, pp
Pricing FX Target Redemption Forward under. Regime Switching Model
In. J. Conemp. Mah. Sciences, Vol. 8, 2013, no. 20, 987-991 HIKARI Ld, www.m-hikari.com hp://dx.doi.org/10.12988/ijcms.2013.311123 Pricing FX Targe Redempion Forward under Regime Swiching Model Ho-Seok
More informationIJRSS Volume 2, Issue 2 ISSN:
A LOGITIC BROWNIAN MOTION WITH A PRICE OF DIVIDEND YIELDING AET D. B. ODUOR ilas N. Onyango _ Absrac: In his paper, we have used he idea of Onyango (2003) he used o develop a logisic equaion used in naural
More informationAvailable online at ScienceDirect
Available online a www.sciencedirec.com ScienceDirec Procedia Economics and Finance 8 ( 04 658 663 s Inernaional Conference 'Economic Scienific Research - Theoreical, Empirical and Pracical Approaches',
More informationEquivalent Martingale Measure in Asian Geometric Average Option Pricing
Journal of Mahemaical Finance, 4, 4, 34-38 ublished Online Augus 4 in SciRes hp://wwwscirporg/journal/jmf hp://dxdoiorg/436/jmf4447 Equivalen Maringale Measure in Asian Geomeric Average Opion ricing Yonggang
More informationPricing formula for power quanto options with each type of payoffs at maturity
Global Journal of Pure and Applied Mahemaics. ISSN 0973-1768 Volume 13, Number 9 (017, pp. 6695 670 Research India Publicaions hp://www.ripublicaion.com/gjpam.hm Pricing formula for power uano opions wih
More informationMatematisk statistik Tentamen: kl FMS170/MASM19 Prissättning av Derivattillgångar, 9 hp Lunds tekniska högskola. Solution.
Maemaisk saisik Tenamen: 8 5 8 kl 8 13 Maemaikcenrum FMS17/MASM19 Prissäning av Derivaillgångar, 9 hp Lunds ekniska högskola Soluion. 1. In he firs soluion we look a he dynamics of X using Iôs formula.
More informationSingle Premium of Equity-Linked with CRR and CIR Binomial Tree
The 7h SEAMS-UGM Conference 2015 Single Premium of Equiy-Linked wih CRR and CIR Binomial Tree Yunia Wulan Sari 1,a) and Gunardi 2,b) 1,2 Deparmen of Mahemaics, Faculy of Mahemaics and Naural Sciences,
More informationOption Valuation of Oil & Gas E&P Projects by Futures Term Structure Approach. Hidetaka (Hugh) Nakaoka
Opion Valuaion of Oil & Gas E&P Projecs by Fuures Term Srucure Approach March 9, 2007 Hideaka (Hugh) Nakaoka Former CIO & CCO of Iochu Oil Exploraion Co., Ld. Universiy of Tsukuba 1 Overview 1. Inroducion
More informationIntroduction to Black-Scholes Model
4 azuhisa Masuda All righs reserved. Inroducion o Black-choles Model Absrac azuhisa Masuda Deparmen of Economics he Graduae Cener, he Ciy Universiy of New York, 365 Fifh Avenue, New York, NY 6-439 Email:
More informationThe Mathematics Of Stock Option Valuation - Part Four Deriving The Black-Scholes Model Via Partial Differential Equations
The Mahemaics Of Sock Opion Valuaion - Par Four Deriving The Black-Scholes Model Via Parial Differenial Equaions Gary Schurman, MBE, CFA Ocober 1 In Par One we explained why valuing a call opion as a sand-alone
More informationA pricing model for the Guaranteed Lifelong Withdrawal Benefit Option
A pricing model for he Guaraneed Lifelong Wihdrawal Benefi Opion Gabriella Piscopo Universià degli sudi di Napoli Federico II Diparimeno di Maemaica e Saisica Index Main References Survey of he Variable
More informationAn Indian Journal FULL PAPER. Trade Science Inc. The principal accumulation value of simple and compound interest ABSTRACT KEYWORDS
[Type ex] [Type ex] [Type ex] ISSN : 0974-7435 Volume 0 Issue 8 BioTechnology 04 An Indian Journal FULL PAPER BTAIJ, 08), 04 [0056-006] The principal accumulaion value of simple and compound ineres Xudong
More informationVaR and Low Interest Rates
VaR and Low Ineres Raes Presened a he Sevenh Monreal Indusrial Problem Solving Workshop By Louis Doray (U de M) Frédéric Edoukou (U de M) Rim Labdi (HEC Monréal) Zichun Ye (UBC) 20 May 2016 P r e s e n
More informationLIDSTONE IN THE CONTINUOUS CASE by. Ragnar Norberg
LIDSTONE IN THE CONTINUOUS CASE by Ragnar Norberg Absrac A generalized version of he classical Lidsone heorem, which deals wih he dependency of reserves on echnical basis and conrac erms, is proved in
More informationPortfolio Risk of Chinese Stock Market Measured by VaR Method
Vol.53 (ICM 014), pp.6166 hp://dx.doi.org/10.1457/asl.014.53.54 Porfolio Risk of Chinese Sock Marke Measured by VaR Mehod Wu Yudong School of Basic Science,Harbin Universiy of Commerce,Harbin Email:wuyudong@aliyun.com
More informationProceedings of the 48th European Study Group Mathematics with Industry 1
Proceedings of he 48h European Sudy Group Mahemaics wih Indusry 1 ADR Opion Trading Jasper Anderluh and Hans van der Weide TU Delf, EWI (DIAM), Mekelweg 4, 2628 CD Delf jhmanderluh@ewiudelfnl, JAMvanderWeide@ewiudelfnl
More informationFundamental Basic. Fundamentals. Fundamental PV Principle. Time Value of Money. Fundamental. Chapter 2. How to Calculate Present Values
McGraw-Hill/Irwin Chaper 2 How o Calculae Presen Values Principles of Corporae Finance Tenh Ediion Slides by Mahew Will And Bo Sjö 22 Copyrigh 2 by he McGraw-Hill Companies, Inc. All righs reserved. Fundamenal
More informationUCLA Department of Economics Fall PhD. Qualifying Exam in Macroeconomic Theory
UCLA Deparmen of Economics Fall 2016 PhD. Qualifying Exam in Macroeconomic Theory Insrucions: This exam consiss of hree pars, and you are o complee each par. Answer each par in a separae bluebook. All
More informationINSTITUTE OF ACTUARIES OF INDIA
INSTITUTE OF ACTUARIES OF INDIA EXAMINATIONS 05 h November 007 Subjec CT8 Financial Economics Time allowed: Three Hours (14.30 17.30 Hrs) Toal Marks: 100 INSTRUCTIONS TO THE CANDIDATES 1) Do no wrie your
More informationTHE IMPORTANCE OF JUMPS IN PRICING EUROPEAN OPTIONS
THE IMPORTANCE OF JUMPS IN PRICING EUROPEAN OPTIONS F. Campolongo (1)1*, J. Cariboni (1),(), and W. Schouens () 1. European Commission, Join Research Cenre, Via Fermi 1, Ispra 100, Ialy. K.U.Leuven, U.C.S.,
More informationVALUATION OF THE AMERICAN-STYLE OF ASIAN OPTION BY A SOLUTION TO AN INTEGRAL EQUATION
Aca Universiais Mahiae Belii ser. Mahemaics, 16 21, 17 23. Received: 15 June 29, Acceped: 2 February 21. VALUATION OF THE AMERICAN-STYLE OF ASIAN OPTION BY A SOLUTION TO AN INTEGRAL EQUATION TOMÁŠ BOKES
More informationPricing Vulnerable American Options. April 16, Peter Klein. and. Jun (James) Yang. Simon Fraser University. Burnaby, B.C. V5A 1S6.
Pricing ulnerable American Opions April 16, 2007 Peer Klein and Jun (James) Yang imon Fraser Universiy Burnaby, B.C. 5A 16 pklein@sfu.ca (604) 268-7922 Pricing ulnerable American Opions Absrac We exend
More informationValuing Real Options on Oil & Gas Exploration & Production Projects
Valuing Real Opions on Oil & Gas Exploraion & Producion Projecs March 2, 2006 Hideaka (Hugh) Nakaoka Former CIO & CCO of Iochu Oil Exploraion Co., Ld. Universiy of Tsukuba 1 Overview 1. Inroducion 2. Wha
More informationMA Advanced Macro, 2016 (Karl Whelan) 1
MA Advanced Macro, 2016 (Karl Whelan) 1 The Calvo Model of Price Rigidiy The form of price rigidiy faced by he Calvo firm is as follows. Each period, only a random fracion (1 ) of firms are able o rese
More informationModels of Default Risk
Models of Defaul Risk Models of Defaul Risk 1/29 Inroducion We consider wo general approaches o modelling defaul risk, a risk characerizing almos all xed-income securiies. The srucural approach was developed
More informationINSTITUTE OF ACTUARIES OF INDIA
INSIUE OF ACUARIES OF INDIA EAMINAIONS 23 rd May 2011 Subjec S6 Finance and Invesmen B ime allowed: hree hours (9.45* 13.00 Hrs) oal Marks: 100 INSRUCIONS O HE CANDIDAES 1. Please read he insrucions on
More information(1 + Nominal Yield) = (1 + Real Yield) (1 + Expected Inflation Rate) (1 + Inflation Risk Premium)
5. Inflaion-linked bonds Inflaion is an economic erm ha describes he general rise in prices of goods and services. As prices rise, a uni of money can buy less goods and services. Hence, inflaion is an
More informationPrinciples of Finance CONTENTS
Principles of Finance CONENS Value of Bonds and Equiy... 3 Feaures of bonds... 3 Characerisics... 3 Socks and he sock marke... 4 Definiions:... 4 Valuing equiies... 4 Ne reurn... 4 idend discoun model...
More information1 Purpose of the paper
Moneary Economics 2 F.C. Bagliano - Sepember 2017 Noes on: F.X. Diebold and C. Li, Forecasing he erm srucure of governmen bond yields, Journal of Economerics, 2006 1 Purpose of he paper The paper presens
More informationAn Incentive-Based, Multi-Period Decision Model for Hierarchical Systems
Wernz C. and Deshmukh A. An Incenive-Based Muli-Period Decision Model for Hierarchical Sysems Proceedings of he 3 rd Inernaional Conference on Global Inerdependence and Decision Sciences (ICGIDS) pp. 84-88
More informationDYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus University Toruń Krzysztof Jajuga Wrocław University of Economics
DYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus Universiy Toruń 2006 Krzyszof Jajuga Wrocław Universiy of Economics Ineres Rae Modeling and Tools of Financial Economerics 1. Financial Economerics
More informationOptimal Early Exercise of Vulnerable American Options
Opimal Early Exercise of Vulnerable American Opions March 15, 2008 This paper is preliminary and incomplee. Opimal Early Exercise of Vulnerable American Opions Absrac We analyze he effec of credi risk
More informationJarrow-Lando-Turnbull model
Jarrow-Lando-urnbull model Characerisics Credi raing dynamics is represened by a Markov chain. Defaul is modelled as he firs ime a coninuous ime Markov chain wih K saes hiing he absorbing sae K defaul
More informationMacroeconomics II A dynamic approach to short run economic fluctuations. The DAD/DAS model.
Macroeconomics II A dynamic approach o shor run economic flucuaions. The DAD/DAS model. Par 2. The demand side of he model he dynamic aggregae demand (DAD) Inflaion and dynamics in he shor run So far,
More informationFinancial Econometrics Jeffrey R. Russell Midterm Winter 2011
Name Financial Economerics Jeffrey R. Russell Miderm Winer 2011 You have 2 hours o complee he exam. Use can use a calculaor. Try o fi all your work in he space provided. If you find you need more space
More informationRisk Management of a DB Underpin Pension Plan
Risk Managemen of a DB Underpin Pension Plan Kai Chen upervisor: Mary Hardy Acknowledge he UW Insiue for Quaniaive Finance and Insurance CKER ARC Travel Gran for heir uppor Ouline Inroducion and Background
More informationFinal Exam Answers Exchange Rate Economics
Kiel Insiu für Welwirhschaf Advanced Sudies in Inernaional Economic Policy Research Spring 2005 Menzie D. Chinn Final Exam Answers Exchange Rae Economics This exam is 1 ½ hours long. Answer all quesions.
More informationComparison of back-testing results for various VaR estimation methods. Aleš Kresta, ICSP 2013, Bergamo 8 th July, 2013
Comparison of back-esing resuls for various VaR esimaion mehods, ICSP 3, Bergamo 8 h July, 3 THE MOTIVATION AND GOAL In order o esimae he risk of financial invesmens, i is crucial for all he models o esimae
More informationFINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004
FINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004 This exam has 50 quesions on 14 pages. Before you begin, please check o make sure ha your copy has all 50 quesions and all 14 pages.
More informationPARAMETER ESTIMATION IN A BLACK SCHOLES
PARAMETER ESTIMATIO I A BLACK SCHOLES Musafa BAYRAM *, Gulsen ORUCOVA BUYUKOZ, Tugcem PARTAL * Gelisim Universiy Deparmen of Compuer Engineering, 3435 Isanbul, Turkey Yildiz Technical Universiy Deparmen
More informationMay 2007 Exam MFE Solutions 1. Answer = (B)
May 007 Exam MFE Soluions. Answer = (B) Le D = he quarerly dividend. Using formula (9.), pu-call pariy adjused for deerminisic dividends, we have 0.0 0.05 0.03 4.50 =.45 + 5.00 D e D e 50 e = 54.45 D (
More informationOption pricing and hedging in jump diffusion models
U.U.D.M. Projec Repor 21:7 Opion pricing and hedging in jump diffusion models Yu Zhou Examensarbee i maemaik, 3 hp Handledare och examinaor: Johan ysk Maj 21 Deparmen of Mahemaics Uppsala Universiy Maser
More informationt=1 C t e δt, and the tc t v t i t=1 C t (1 + i) t = n tc t (1 + i) t C t (1 + i) t = C t vi
Exam 4 is Th. April 24. You are allowed 13 shees of noes and a calculaor. ch. 7: 137) Unless old oherwise, duraion refers o Macaulay duraion. The duraion of a single cashflow is he ime remaining unil mauriy,
More informationThe Binomial Model and Risk Neutrality: Some Important Details
The Binomial Model and Risk Neuraliy: Some Imporan Deails Sanjay K. Nawalkha* Donald R. Chambers** Absrac This paper reexamines he relaionship beween invesors preferences and he binomial opion pricing
More informationThe Impact of Interest Rate Liberalization Announcement in China on the Market Value of Hong Kong Listed Chinese Commercial Banks
Journal of Finance and Invesmen Analysis, vol. 2, no.3, 203, 35-39 ISSN: 224-0998 (prin version), 224-0996(online) Scienpress Ld, 203 The Impac of Ineres Rae Liberalizaion Announcemen in China on he Marke
More informationVolatility and Hedging Errors
Volailiy and Hedging Errors Jim Gaheral Sepember, 5 1999 Background Derivaive porfolio bookrunners ofen complain ha hedging a marke-implied volailiies is sub-opimal relaive o hedging a heir bes guess of
More informationSystemic Risk Illustrated
Sysemic Risk Illusraed Jean-Pierre Fouque Li-Hsien Sun March 2, 22 Absrac We sudy he behavior of diffusions coupled hrough heir drifs in a way ha each componen mean-revers o he mean of he ensemble. In
More informationOn the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment
MPRA Munich Personal RePEc Archive On he Impac of Inflaion and Exchange Rae on Condiional Sock Marke Volailiy: A Re-Assessmen OlaOluwa S Yaya and Olanrewaju I Shiu Deparmen of Saisics, Universiy of Ibadan,
More informationVariance Risk Premium and VIX Pricing: A Simple GARCH Approach
Variance Risk Premium and VIX Pricing: A Simple GARCH Approach Qiang iu a Professor, School of Finance Souhwesern Universiy of Finance and Economics Chengdu, Sichuan, P. R. China. Gaoxiu Qiao Graduae suden,
More informationOPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS
Kuwai Chaper of Arabian Journal of Business and Managemen Review Vol. 3, No.6; Feb. 2014 OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Ayoub Faramarzi 1, Dr.Rahim
More informationThe macroeconomic effects of fiscal policy in Greece
The macroeconomic effecs of fiscal policy in Greece Dimiris Papageorgiou Economic Research Deparmen, Bank of Greece Naional and Kapodisrian Universiy of Ahens May 22, 23 Email: dpapag@aueb.gr, and DPapageorgiou@bankofgreece.gr.
More informationDescription of the CBOE Russell 2000 BuyWrite Index (BXR SM )
Descripion of he CBOE Russell 2000 BuyWrie Index (BXR SM ) Inroducion. The CBOE Russell 2000 BuyWrie Index (BXR SM ) is a benchmark index designed o rack he performance of a hypoheical a-he-money buy-wrie
More information7 pages 1. Hull and White Generalized model. Ismail Laachir. March 1, Model Presentation 1
7 pages 1 Hull and Whie Generalized model Ismail Laachir March 1, 212 Conens 1 Model Presenaion 1 2 Calibraion of he model 3 2.1 Fiing he iniial yield curve................... 3 2.2 Fiing he caple implied
More informationIntroduction. Enterprises and background. chapter
NACE: High-Growh Inroducion Enerprises and background 18 chaper High-Growh Enerprises 8 8.1 Definiion A variey of approaches can be considered as providing he basis for defining high-growh enerprises.
More informationCURRENCY CHOICES IN VALUATION AND THE INTEREST PARITY AND PURCHASING POWER PARITY THEORIES DR. GUILLERMO L. DUMRAUF
CURRENCY CHOICES IN VALUATION AN THE INTEREST PARITY AN PURCHASING POWER PARITY THEORIES R. GUILLERMO L. UMRAUF TO VALUE THE INVESTMENT IN THE OMESTIC OR FOREIGN CURRENCY? Valuing an invesmen or an acquisiion
More informationNew Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation
CIRJE-F-98 New Acceleraion Schemes wih he Asympoic Expansion in Mone Carlo Simulaion Akihiko akahashi Universiy of okyo Yoshihiko Uchida Osaka Universiy Sepember 4: Revised in June 5 CIRJE Discussion Papers
More informationReconciling Gross Output TFP Growth with Value Added TFP Growth
Reconciling Gross Oupu TP Growh wih Value Added TP Growh Erwin Diewer Universiy of Briish Columbia and Universiy of New Souh Wales ABSTRACT This aricle obains relaively simple exac expressions ha relae
More informationCENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T. J. KEHOE MACROECONOMICS I WINTER 2011 PROBLEM SET #6
CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T J KEHOE MACROECONOMICS I WINTER PROBLEM SET #6 This quesion requires you o apply he Hodrick-Presco filer o he ime series for macroeconomic variables for he
More informationDescription of the CBOE S&P 500 2% OTM BuyWrite Index (BXY SM )
Descripion of he CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) Inroducion. The CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) is a benchmark index designed o rack he performance of a hypoheical 2% ou-of-he-money
More informationSynthetic CDO s and Basket Default Swaps in a Fixed Income Credit Portfolio
Synheic CDO s and Baske Defaul Swaps in a Fixed Income Credi Porfolio Louis Sco June 2005 Credi Derivaive Producs CDO Noes Cash & Synheic CDO s, various ranches Invesmen Grade Corporae names, High Yield
More informationA Method for Estimating the Change in Terminal Value Required to Increase IRR
A Mehod for Esimaing he Change in Terminal Value Required o Increase IRR Ausin M. Long, III, MPA, CPA, JD * Alignmen Capial Group 11940 Jollyville Road Suie 330-N Ausin, TX 78759 512-506-8299 (Phone) 512-996-0970
More informationSHB Brent Crude Oil. Index Rules. Version as of 22 October 2009
SHB Bren rude Oil Index Rules Version as of 22 Ocober 2009 1. Index Descripions The SHB Bren rude Oil index (he Index ) measures he reurn from changes in he price of fuures conracs, which are rolled on
More informationAsymmetry and Leverage in Stochastic Volatility Models: An Exposition
Asymmery and Leverage in Sochasic Volailiy Models: An xposiion Asai, M. a and M. McAleer b a Faculy of conomics, Soka Universiy, Japan b School of conomics and Commerce, Universiy of Wesern Ausralia Keywords:
More informationFinancial Econometrics (FinMetrics02) Returns, Yields, Compounding, and Horizon
Financial Economerics FinMerics02) Reurns, Yields, Compounding, and Horizon Nelson Mark Universiy of Nore Dame Fall 2017 Augus 30, 2017 1 Conceps o cover Yields o mauriy) Holding period) reurns Compounding
More informationEffect of Probabilistic Backorder on an Inventory System with Selling Price Demand Under Volume Flexible Strategy
Inernaional Transacions in Mahemaical Sciences and compuers July-December 0, Volume 5, No., pp. 97-04 ISSN-(Prining) 0974-5068, (Online) 0975-75 AACS. (www.aacsjournals.com) All righ reserved. Effec of
More informationStock Market Behaviour Around Profit Warning Announcements
Sock Marke Behaviour Around Profi Warning Announcemens Henryk Gurgul Conen 1. Moivaion 2. Review of exising evidence 3. Main conjecures 4. Daa and preliminary resuls 5. GARCH relaed mehodology 6. Empirical
More informationR e. Y R, X R, u e, and. Use the attached excel spreadsheets to
HW # Saisical Financial Modeling ( P Theodossiou) 1 The following are annual reurns for US finance socks (F) and he S&P500 socks index (M) Year Reurn Finance Socks Reurn S&P500 Year Reurn Finance Socks
More informationWe exploit the information in the options market to study the variations of return risk and market prices
MANAGEMENT SCIENCE Vol. 56, No. 12, December 2010, pp. 2251 2264 issn 0025-1909 eissn 1526-5501 10 5612 2251 informs doi 10.1287/mnsc.1100.1256 2010 INFORMS Copyrigh: INFORMS holds copyrigh o his Aricles
More informationEvolution-based uncertainty design for artificial systems
5h Inernaional Conference on Advanced Design and Manufacuring Engineering (ICADME 05) Evoluion-based uncerainy design for arificial sysems Boqiang hi, a, Yanhua hen,b * chool of Mechanical Engineering,
More informationSTATIONERY REQUIREMENTS SPECIAL REQUIREMENTS 20 Page booklet List of statistical formulae New Cambridge Elementary Statistical Tables
ECONOMICS RIPOS Par I Friday 7 June 005 9 Paper Quaniaive Mehods in Economics his exam comprises four secions. Secions A and B are on Mahemaics; Secions C and D are on Saisics. You should do he appropriae
More informationA Note on Missing Data Effects on the Hausman (1978) Simultaneity Test:
A Noe on Missing Daa Effecs on he Hausman (978) Simulaneiy Tes: Some Mone Carlo Resuls. Dikaios Tserkezos and Konsaninos P. Tsagarakis Deparmen of Economics, Universiy of Cree, Universiy Campus, 7400,
More informationECONOMIC GROWTH. Student Assessment. Macroeconomics II. Class 1
Suden Assessmen You will be graded on he basis of In-class aciviies (quizzes worh 30 poins) which can be replaced wih he number of marks from he regular uorial IF i is >=30 (capped a 30, i.e. marks from
More informationSupplement to Models for Quantifying Risk, 5 th Edition Cunningham, Herzog, and London
Supplemen o Models for Quanifying Risk, 5 h Ediion Cunningham, Herzog, and London We have received inpu ha our ex is no always clear abou he disincion beween a full gross premium and an expense augmened
More informationINSTITUTE OF ACTUARIES OF INDIA
INSTITUTE OF ACTUARIES OF INDIA EXAMINATIONS 9 h November 2010 Subjec CT6 Saisical Mehods Time allowed: Three Hours (10.00 13.00 Hrs.) Toal Marks: 100 INSTRUCTIONS TO THE CANDIDATES 1. Please read he insrucions
More informationHow Risky is Electricity Generation?
How Risky is Elecriciy Generaion? Tom Parkinson The NorhBridge Group Inernaional Associaion for Energy Economics New England Chaper 19 January 2005 19 January 2005 The NorhBridge Group Agenda Generaion
More informationHEDGING SYSTEMATIC MORTALITY RISK WITH MORTALITY DERIVATIVES
HEDGING SYSTEMATIC MORTALITY RISK WITH MORTALITY DERIVATIVES Workshop on moraliy and longeviy, Hannover, April 20, 2012 Thomas Møller, Chief Analys, Acuarial Innovaion OUTLINE Inroducion Moraliy risk managemen
More informationStock Index Volatility: the case of IPSA
MPRA Munich Personal RePEc Archive Sock Index Volailiy: he case of IPSA Rodrigo Alfaro and Carmen Gloria Silva 31. March 010 Online a hps://mpra.ub.uni-muenchen.de/5906/ MPRA Paper No. 5906, posed 18.
More informationAdvanced Forecasting Techniques and Models: Time-Series Forecasts
Advanced Forecasing Techniques and Models: Time-Series Forecass Shor Examples Series using Risk Simulaor For more informaion please visi: www.realopionsvaluaion.com or conac us a: admin@realopionsvaluaion.com
More informationValuation of European Currency Options in Financial Engineering
Available online a www.sciencedirec.com ysems Engineering Procedia (11) 3 Valuaion of European Currency Opions in inancial Engineering huai Wang 1, Linyi Qian Eas China Normal Universiy, hanghai, 41, P
More informationPricing options on defaultable stocks
U.U.D.M. Projec Repor 2012:9 Pricing opions on defaulable socks Khayyam Tayibov Examensarbee i maemaik, 30 hp Handledare och examinaor: Johan Tysk Juni 2012 Deparmen of Mahemaics Uppsala Universiy Pricing
More informationMacroeconomics. Part 3 Macroeconomics of Financial Markets. Lecture 8 Investment: basic concepts
Macroeconomics Par 3 Macroeconomics of Financial Markes Lecure 8 Invesmen: basic conceps Moivaion General equilibrium Ramsey and OLG models have very simple assumpions ha invesmen ino producion capial
More information1. Interest Rate Gap. Duration
. Ineres Rae Gap. Duraion Mauriy Gap Problem. Mauriy Gap A bank invess $00 million in 3-year, 0% fixed rae bonds (assume hese are all asses) In he same ime, i issuses $90 million in -year, 0% percen fixed
More informationA Decision Model for Investment Timing Using Real Options Approach
A Decision Model for Invesmen Timing Using Real Opions Approach Jae-Han Lee, Jae-Hyeon Ahn Graduae School of Managemen, KAIST 207-43, Cheongrangri-Dong, Dongdaemun-Ku, Seoul, Korea ABSTRACT Real opions
More informationTentamen i 5B1575 Finansiella Derivat. Måndag 27 augusti 2007 kl Answers and suggestions for solutions.
Tenamen i 5B1575 Finansiella Deriva. Måndag 27 augusi 2007 kl. 14.00 19.00. Answers and suggesions for soluions. 1. (a) For he maringale probabiliies we have q 1 + r d u d 0.5 Using hem we obain he following
More informationThe Correlation Risk Premium: Term Structure and Hedging
: erm Srucure and Hedging Gonçalo Faria (1),* and Rober Kosowski (2),* (1) CEF.UP, Universiy of Poro; (2) Imperial College Business School, CEPR, Oxford-Man Insiue of Quaniaive Finance. Nespar Inernaional
More informationHEDGING VOLATILITY RISK
HEDGING VOLAILIY RISK Menachem Brenner Sern School of Business New York Universiy New York, NY 00, U.S.A. Email: mbrenner@sern.nyu.edu Ernes Y. Ou ABN AMRO, Inc. Chicago, IL 60604, U.S.A. Email: Yi.Ou@abnamro.com
More informationSuggested Template for Rolling Schemes for inclusion in the future price regulation of Dublin Airport
Suggesed Templae for Rolling Schemes for inclusion in he fuure price regulaion of Dublin Airpor. In line wih sandard inernaional regulaory pracice, he regime operaed since 00 by he Commission fixes in
More informationEmpirical analysis on China money multiplier
Aug. 2009, Volume 8, No.8 (Serial No.74) Chinese Business Review, ISSN 1537-1506, USA Empirical analysis on China money muliplier SHANG Hua-juan (Financial School, Shanghai Universiy of Finance and Economics,
More informationMarket and Information Economics
Marke and Informaion Economics Preliminary Examinaion Deparmen of Agriculural Economics Texas A&M Universiy May 2015 Insrucions: This examinaion consiss of six quesions. You mus answer he firs quesion
More informationFORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY
Proceedings of he 9h WSEAS Inernaional Conference on Applied Mahemaics, Isanbul, Turkey, May 7-9, 006 (pp63-67) FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY Yasemin Ulu Deparmen of Economics American
More informationMissing Data Prediction and Forecasting for Water Quantity Data
2011 Inernaional Conference on Modeling, Simulaion and Conrol ICSIT vol.10 (2011) (2011) IACSIT ress, Singapore Missing Daa redicion and Forecasing for Waer Quaniy Daa rakhar Gupa 1 and R.Srinivasan 2
More informationAcceleration Techniques for Life Cash Flow Projection Based on Many Interest Rates Scenarios Cash Flow Proxy Functions
Acceleraion Techniques for Life Cash Flow Projecion Based on Many Ineres Raes Scenarios Cash Flow Proxy Funcions Auhor: Marin Janeček, Tools4F, s.r.o. and Economic Universiy in Prague, 207 Acknowledgmen:
More informationRobust localization algorithms for an autonomous campus tour guide. Richard Thrapp Christian Westbrook Devika Subramanian.
Robus localizaion algorihms for an auonomous campus our guide Richard Thrapp Chrisian Wesbrook Devika Subramanian Rice Universiy Presened a ICRA 200 Ouline The ask and is echnical challenges The localizaion
More informationAn Analysis About Market Efficiency in International Petroleum Markets: Evidence from Three Oil Commodities
An Analysis Abou Marke Efficiency in Inernaional Peroleum Markes: Evidence from Three Oil Commodiies Wang Shuping, Li Jianping, and Zhang Shulin The College of Economics and Business Adminisraion, Norh
More informationCh. 10 Measuring FX Exposure. Is Exchange Rate Risk Relevant? MNCs Take on FX Risk
Ch. 10 Measuring FX Exposure Topics Exchange Rae Risk: Relevan? Types of Exposure Transacion Exposure Economic Exposure Translaion Exposure Is Exchange Rae Risk Relevan?? Purchasing Power Pariy: Exchange
More informationEstimating Earnings Trend Using Unobserved Components Framework
Esimaing Earnings Trend Using Unobserved Componens Framework Arabinda Basisha and Alexander Kurov College of Business and Economics, Wes Virginia Universiy December 008 Absrac Regressions using valuaion
More informationAgenda. What is an ESG? GIRO Convention September 2008 Hilton Sorrento Palace
GIRO Convenion 23-26 Sepember 2008 Hilon Sorreno Palace A Pracical Sudy of Economic Scenario Generaors For General Insurers Gareh Haslip Benfield Group Agenda Inroducion o economic scenario generaors Building
More informationRoger Mercken 1, Lisette Motmans 2, Ghislain Houben Call options in a nutshell
No more replicaing porfolios : a simple convex combinaion o undersand he ris-neural valuaion mehod for he muli-sep binomial valuaion of a call opion Roger Mercen, Lisee Momans, Ghislain Houben 3 Hassel
More informationMAFS Quantitative Modeling of Derivative Securities
MAFS 5030 - Quaniaive Modeling of Derivaive Securiies Soluion o Homework Three 1 a For > s, consider E[W W s F s = E [ W W s + W s W W s Fs We hen have = E [ W W s F s + Ws E [W W s F s = s, E[W F s =
More information4452 Mathematical Modeling Lecture 17: Modeling of Data: Linear Regression
Mah Modeling Lecure 17: Modeling of Daa: Linear Regression Page 1 5 Mahemaical Modeling Lecure 17: Modeling of Daa: Linear Regression Inroducion In modeling of daa, we are given a se of daa poins, and
More information