A Structural Framework for the Pricing of Corporate Securities

A Structural Framework for the Pricing of Corporate Securities PDF Author: Michael Genser
Publisher: Springer Science & Business Media
ISBN: 3540286853
Category : Business & Economics
Languages : en
Pages : 199

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Book Description
A treatment of structural credit risk models for simultaneous and consistent pricing of corporate securities. This book takes us from the economic principles of firm value models to the empirical implementation, through the development of an economic framework. It provides exposition of corporate securities pricing for academics and practitioners.

A Structural Framework for the Pricing of Corporate Securities

A Structural Framework for the Pricing of Corporate Securities PDF Author: Michael Genser
Publisher: Springer Science & Business Media
ISBN: 3540286853
Category : Business & Economics
Languages : en
Pages : 199

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Book Description
A treatment of structural credit risk models for simultaneous and consistent pricing of corporate securities. This book takes us from the economic principles of firm value models to the empirical implementation, through the development of an economic framework. It provides exposition of corporate securities pricing for academics and practitioners.

Computer-aided Systems in Public Transport

Computer-aided Systems in Public Transport PDF Author: Mark Hickman
Publisher: Springer Science & Business Media
ISBN: 3540733124
Category : Technology & Engineering
Languages : en
Pages : 437

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Book Description
This volume consists of selected papers presented at the Ninth International Conference on Computer-Aided Scheduling of Public Transport. Coverage includes the use of computer-aided methods and operations research techniques to improve: information management; network and route planning; vehicle and crew scheduling and rostering; vehicle monitoring and management; and practical experience with scheduling and public transport planning methods.

Artificial Markets Modeling

Artificial Markets Modeling PDF Author: Andrea Consiglio
Publisher: Springer Science & Business Media
ISBN: 3540731350
Category : Business & Economics
Languages : en
Pages : 277

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Book Description
This volume features contributions to agent-based computational modeling from the social sciences and computer sciences. It presents applications of methodologies and tools, focusing on the uses, requirements, and constraints of agent-based models used by social scientists. Topics include agent-based macroeconomics, the emergence of norms and conventions, the dynamics of social and economic networks, and behavioral models in financial markets.

Pricing Interest-Rate Derivatives

Pricing Interest-Rate Derivatives PDF Author: Markus Bouziane
Publisher: Springer Science & Business Media
ISBN: 3540770666
Category : Business & Economics
Languages : en
Pages : 207

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Book Description
The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.

Artificial Economics

Artificial Economics PDF Author: Philippe Mathieu
Publisher: Springer Science & Business Media
ISBN: 3540285474
Category : Business & Economics
Languages : en
Pages : 238

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Book Description
Agent-based Computational Economics (ACE) is a new discipline of economics, largely grounded on concepts like evolution, auto-organisation and emergence: it intensively uses computer simulations as well as artificial intelligence, mostly based on multi-agents systems. The purpose of this book is to give an up-to date view of the scientific production in the fields of Agent-based Computational Economics (mainly in Market Finance and Game Theory). Based on communications given at AE'2005 (Lille, USTL, France), this book offers a wide panorama of recent advances in ACE (both theoretical and methodological) that will interest academics as well as practitioners.

Topics in Dynamic Model Analysis

Topics in Dynamic Model Analysis PDF Author: Mario Faliva
Publisher: Springer Science & Business Media
ISBN: 354029239X
Category : Business & Economics
Languages : en
Pages : 152

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Book Description
Classical econometrics - which plunges its roots in economic theory with simultaneous equations models (SEM) as offshoots - and time series econometrics - which stems from economic data with vector autoregr- sive (VAR) models as offsprings - scour, like the Janus's facing heads, the flowing of economic variables so as to bring to the fore their autonomous and non-autonomous dynamics. It is up to the so-called final form of a dy namic SEM, on the one hand, and to the so-called representation theorems of (unit-root) VAR models, on the other, to provide informative closed form expressions for the trajectories, or time paths, of the economic vari ables of interest. Should we look at the issues just put forward from a mathematical standpoint, the emblematic models of both classical and time series econometrics would turn out to be difference equation systems with ad hoc characteristics, whose solutions are attained via a final form or a represen tation theorem approach. The final form solution - algebraic technicalities apart - arises in the wake of classical difference equation theory, display ing besides a transitory autonomous component, an exogenous one along with a stochastic nuisance term. This follows from a properly defined ma trix function inversion admitting a Taylor expansion in the lag operator be cause of the assumptions regarding the roots of a determinant equation pe culiar to SEM specifications.

Material Flow Management

Material Flow Management PDF Author: Bernd Wagner
Publisher: Springer Science & Business Media
ISBN: 9783790815917
Category : Business & Economics
Languages : en
Pages : 412

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Book Description
Material flow management offers enterprises a high potential for realizing new economic competitive advantages. The eco-efficient optimization of material flow cutS costs while simultaneously achieving long-term ecological sustainability. This book summarises the fundamental concepts and tools of material flow management, and presents contemporary methods and findings. Case studies illustrate the results from recent research projects conducted in cooperation with industrial companies.

Strategic Competition in Oligopolies with Fluctuating Demand

Strategic Competition in Oligopolies with Fluctuating Demand PDF Author: Leslie Neubecker
Publisher: Springer Science & Business Media
ISBN: 3540295577
Category : Business & Economics
Languages : en
Pages : 237

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Book Description
Dynamic oligopolistic competition has implications both for the strategic management of firms and for the design of an effective competition policy. Consequently, the present book considers the issue from a private and social perspective. It discusses the potential pro- and anticollusive effects of long-term business strategies, especially for cooperation and reinvestment in production, financing and management compensation, in markets with fluctuating demand. The method of supergame theory is applied to integrate long-run decisions and different types of demand into the analysis. Aside from its contributions to the theoretical literature, the book provides valuable insights into the design of competition policy. The observed development of prices is an indicator of the extent of collusion in the market and can thereby be used to assess antitrust regulation in certain business areas, and to focus the resources of competition authorities on markets where conditions are conducive to collusion.

International Trade and Multinational Activity

International Trade and Multinational Activity PDF Author: Julian Emami Namini
Publisher: Springer Science & Business Media
ISBN: 3540327193
Category : Business & Economics
Languages : en
Pages : 168

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Book Description
This study investigates the dynamic welfare effects of exposure to trade in a new trade model, which is extended by firm heterogeneity. It is analyzed under which conditions exposure to trade with firm heterogeneity increases or decreases steady state welfare of a country. It uses a new trade model to explore which country-specific conditions give rise to horizontal or vertical multinational activity. Finally, it combines the Heckscher-Ohlin model and a new trade model with horizontal multinational firms.

Market-Conform Valuation of Options

Market-Conform Valuation of Options PDF Author: Tobias Herwig
Publisher: Springer Science & Business Media
ISBN: 3540308385
Category : Business & Economics
Languages : en
Pages : 112

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Book Description
1. 1 The Area of Research In this thesis, we will investigate the 'market-conform' pricing of newly issued contingent claims. A contingent claim is a derivative whose value at any settlement date is determined by the value of one or more other underlying assets, e. g. , forwards, futures, plain-vanilla or exotic options with European or American-style exercise features. Market-conform pricing means that prices of existing actively traded securities are taken as given, and then the set of equivalent martingale measures that are consistent with the initial prices of the traded securities is derived using no-arbitrage arguments. Sometimes in the literature other expressions are used for 'market-conform' valuation - 'smile-consistent' valuation or 'fair-market' valuation - that describe the same basic idea. The seminal work by Black and Scholes (1973) (BS) and Merton (1973) mark a breakthrough in the problem of hedging and pricing contingent claims based on no-arbitrage arguments. Harrison and Kreps (1979) provide a firm mathematical foundation for the Black-Scholes- Merton analysis. They show that the absence of arbitrage is equivalent to the existence of an equivalent martingale measure. Under this mea sure the normalized security price process forms a martingale and so securities can be valued by taking expectations. If the securities market is complete, then the equivalent martingale measure and hence the price of any security are unique.