No description available.

Behavioural theories of finance and economics have received little academic attention until recently. Nevertheless, behavioural theories of investor behaviour can be directly applied to categorization of investors and prediction of future behaviour. The purpose of characterizing and predicting future behaviour is to ensure allocation of appropriate corporate resources to meet the needs of clients as effectively as possible. This research specifically focuses on segmentation and predictive modeling of retail clients at Phillips, Hager & North Investment Management Ltd. Segmentation is undertaken through cluster analysis of investors based on transactional and performance data. Subsequent logistic regression and seemingly unrelated regression models are developed to determine if investment personality - through Know-Your-Client (KYC) information - and demographics have an explanatory and predictive relationship with future investor behaviour. / Business, Sauder School of / Graduate

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Civil Engineering, 1979. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING. / Bibliography: leaves 240-241. / by Jose Enrique Fernandez Larran̄aga. / Ph.D.

This study utilizes the discriminant analysis technique in the development of a model able to predict acquisition targets. The model is tested in a portfolio selection setting to determine its ability to identify portfolios capable of performance superior to that of the market. The sample in the model building phase is composed of seventy-one firms acquired during the years of 1976 and 1977. Another seventy-one firms were drawn randomly from the general corporate population of firms identified for the study. A total of forty-seven variables were considered, including sixteen industry adjusted variables. The variables themselves are financial ratios available in company annual reports. A five variable model is developed which includes the adjusted debt ratio, net working capital, the return on assets ratio, the adjusted net profit margin and the adjusted times interest earned ratio. There is evidence to indicate that acquired firms use less debt, are smaller, and obtain a higher return on assets than firms in the general population. The model itself achieved an overall classification accuracy of 73.9 percent. The model then was subjected to an intertemporal test of validity during the subsequent two year period. A total of 1967 firms were classified, of which 171 represented actual acquired firms. These firms represent an appropriate investment population for a small investor confronted with portfolio investment choices. The model's performance in selecting acquired firms among those that are identified as acquired is significantly superior to that provided by a random chance model. In selecting portfolios, the model is able to identify securities that provide risk-adjusted returns superior to those obtained by the market. Increasing the portfolio size indicated that the model is able to consistently provide superior portfolio performance. One interesting finding is that the performance of the non-acquired segment of the portfolio is superior to the market as well. It is hypothesized that this group represents firms that are attractive to acquisition. / Ph. D.

Call number: LD2668 .T4 1985 K56 / Master of Science

Numerical methods form an important part of the pricing of financial derivatives and especially in cases where there is no closed form analytical formula. We begin our work with an introduction of the mathematical tools needed in the pricing of financial derivatives. Then, we discuss the assumption of the log-normal returns on stock prices and the stochastic differential equations. These lay the foundation for the derivation of the Black Scholes differential equation, and various Black Scholes formulas are thus obtained. Then, the model is modified to cater for dividend paying stock and for the pricing of options on futures. Multi-period binomial model is very flexible even for the valuation of options that do not have a closed form analytical formula. We consider the pricing of vanilla options both on non dividend and dividend paying stocks. Then show that the model converges to the Black-Scholes value as we increase the number of steps. We discuss the Finite difference methods quite extensively with a focus on the Implicit and Crank-Nicolson methods, and apply these numerical techniques to the pricing of vanilla options. Finally, we compare the convergence of the multi-period binomial model, the Implicit and Crank Nicolson methods to the analytical Black Scholes price of the option. We conclude with the pricing of exotic options with special emphasis on path dependent options. Monte Carlo simulation technique is applied as this method is very versatile in cases where there is no closed form analytical formula. The method is slow and time consuming but very flexible even for multi dimensional problems.

A technique called gaussian temporal factor analysis (gaussian TFA) proposed by Xu in 2000 may be used to test the APT model under the mild assumption that the efficient market hypothesis (EMH) is violated. We are motivated to investigate statistical behaviors of the gaussian TFA model. / According to a recent survey by Cochrane (1999), the multi-factor APT model is gaining popularity and recognition over CAPM by the investment community. While empirical evidence shows that mutual funds can earn average returns not explained by the CAPM by following a variety of investment styles, this anomaly could be captured by APT which includes the single-factor CAPM as a special case. Yet, three aspects of APT still cannot be tested in practice. / First, a systematic testing package is proposed for testing gaussian TFA in six dimensions, including factor number, factor loadings, residuals correlations and autoregressive conditional heteroscedasticity (ARCH) effects, economic significance and factor independence, using financial data in Hong Kong. Particularly, a new hypothesis testing approach is proposed for statistically testing independence. / In the finance literature, an objective way to judge whether an asset pricing model is misspecified is by statistical tests. In the past, both the capital asset pricing model (CAPM) and the arbitrage pricing theory (APT) have been the subjects of extensive tests. / Second, we investigate two extensions of the gaussian TFA model in view of ARCH in driving noise residuals. We test the extended models for ARCH as well as other aspects to ensure model specification adequacy. Furthermore, we find that ARCH effects are not quite significant driving noise residuals of the macroeconomic modulate independent state-space model. This may be due to long-term modelling of the market. / Third, we test gaussian TFA from the practical point of view in financial prediction and portfolio management. For prediction, we introduce the gaussian TFA alternative mixture experts (ME) approach for forecasting. For adaptive portfolio management, we derive the gaussian TFA adaptive algorithm for implementing the Sharpe-ratio based adaptive portfolio management under different scenarios. Empirical results reveal that APT-based portfolio management techniques are in general superior to return-based techniques. / by Kai-Chun Chiu. / "July, 2003." / Adviser: Lei Xu. / Source: Dissertation Abstracts International, Volume: 64-09, Section: B, page: 4451. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (p. 113-125). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / School code: 1307.

This thesis studies the equilibrium behavior of continuous-time capital markets with various market assumptions. These assumptions include different settings of the investment opportunity set and consideration of the variability of the number of shares outstanding of stocks and the investment horizons of investors. Two capital asset pricing models (CAPMs) are established for every case. One of these CAPM focuses on the study of the relationship between the terminal rate of return of any given portfolio and the benchmark portfolios. The other CAPM focuses on the instantaneous rate of return. The market portfolios (and their substitutes for some cases) of all market situations are explicitly derived given homogeneous expectations. The mean-variance efficiencies with a specific terminal time are then investigated. It is proved that some of these market portfolios must be inefficient for a non-zero investment horizon. Moreover, the instantaneous efficiency of portfolios is studied for some market situations. The CAPMs are then developed based on the conditions of each market situation. / Chiu Chun Hung. / "December 2003." / Adviser: Xun Yu Zhou. / Source: Dissertation Abstracts International, Volume: 64-11, Section: A, page: 4147. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (p. 185-187). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

Cheng, Ping. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (p. 91-96). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.1.1 --- Accumulator in a Nutshell --- p.1 / Chapter 1.1.2 --- Criticism over Accumulators --- p.3 / Chapter 1.1.3 --- Significance of Research over Accumulators --- p.4 / Chapter 1.1.4 --- Contribution of this Research --- p.5 / Chapter 1.2 --- Literature Review --- p.6 / Chapter 1.2.1 --- Literature on Option Pricing Theory --- p.6 / Chapter 1.2.2 --- Literature on Occupation Time Derivatives and Accumulators --- p.9 / Chapter 1.2.3 --- Accumulators as Occupation Time Deriva- tives --- p.14 / Chapter 1.3 --- Structure of this Thesis --- p.16 / Chapter 2 --- Theoretical Foundation --- p.17 / Chapter 2.1 --- Black Scholes Framework --- p.18 / Chapter 2.1.1 --- The Model --- p.18 / Chapter 2.1.2 --- Girsanov's Theorem --- p.20 / Chapter 2.1.3 --- Simulation --- p.21 / Chapter 2.2 --- Heston Framework --- p.22 / Chapter 2.2.1 --- Motivation to Extend to Heston Model --- p.22 / Chapter 2.2.2 --- The Model --- p.23 / Chapter 2.2.3 --- The Monte Carlo Method --- p.25 / Chapter 3 --- Pricing under Black-Scholes Framework --- p.30 / Chapter 3.1 --- Structure One (Suspension Feature) --- p.30 / Chapter 3.1.1 --- Introduction --- p.30 / Chapter 3.1.2 --- Model --- p.32 / Chapter 3.1.3 --- Sensitivity Tests --- p.35 / Chapter 3.1.4 --- Simulation Results --- p.38 / Chapter 3.2 --- Structure Two (Knock-out Feature) --- p.40 / Chapter 3.2.1 --- Introduction --- p.40 / Chapter 3.2.2 --- Model --- p.41 / Chapter 3.2.3 --- Sensitivity Tests --- p.45 / Chapter 3.2.4 --- Simulation Results --- p.48 / Chapter 3.3 --- Structure Three (Knock-out & Double Commit- ment Feature) --- p.50 / Chapter 3.3.1 --- Introduction --- p.50 / Chapter 3.3.2 --- Model --- p.51 / Chapter 3.3.3 --- Sensitivity Tests --- p.56 / Chapter 3.3.4 --- Simulation Results --- p.58 / Chapter 4 --- Extension: Pricing under Heston Framework --- p.59 / Chapter 4.1 --- Structure One --- p.59 / Chapter 4.1.1 --- Pricing of the Contract --- p.59 / Chapter 4.2 --- Structure Two and Three --- p.61 / Chapter 4.2.1 --- Simulation Results --- p.62 / Chapter 4.3 --- Heston Parameters Estimates --- p.63 / Chapter 5 --- Discussion --- p.66 / Chapter 5.1 --- Volatility of Accumulators --- p.66 / Chapter 5.2 --- Instability in the Model Parameters --- p.69 / Chapter 5.3 --- Premium over Accumulators --- p.71 / Chapter 5.4 --- Return of the Accumulator Products --- p.72 / Chapter 6 --- Future Work & Conclusion --- p.75 / Chapter 6.1 --- Future Work --- p.75 / Chapter 6.2 --- Conclusion --- p.76 / Chapter A --- Other Parameters Estimation --- p.77 / Chapter B --- Sample Contracts --- p.80 / Chapter B.1 --- Equity Accumulator --- p.80 / Chapter B.2 --- Commodity Accumulator --- p.80 / Chapter B.3 --- FX-Linked Accumulation --- p.80 / Bibliography --- p.91

Chung, Tsz Kin = 均值回復正態過程的雙撞擊時間分佈以及其在金融上的應用 / 鍾子健. / Thesis submitted in: December 2008. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 101-105). / Abstracts in English and Chinese. / Chung, Tsz Kin = Jun zhi hui fu zheng tai guo cheng de shuang zhuang ji shi jian fen bu yi ji qi zai jin rong shang de ying yong / Zhong Zijian. / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Overview --- p.1 / Chapter 1.2 --- Mean-reverting lognormal (MRL) process --- p.3 / Chapter 1.3 --- MRL-process and AR(l)-process --- p.5 / Chapter 2 --- Double Hitting Time Distribution of a Mean-Reverting Log-normal Process --- p.8 / Chapter 2.1 --- Introduction --- p.8 / Chapter 2.2 --- Probability density function --- p.9 / Chapter 2.3 --- Interpolation scheme - estimates and bounds --- p.12 / Chapter 2.4 --- Multi-stage approximation scheme --- p.17 / Chapter 2.5 --- Hitting time distribution and density --- p.19 / Chapter 2.6 --- Numerical analysis --- p.20 / Chapter 2.7 --- Appendix --- p.24 / Chapter 2.7.1 --- Solving the Fokker-Planck equation --- p.24 / Chapter 2.7.2 --- Probability density function associated with two piecewise-continuous boundaries --- p.27 / Chapter 3 --- Pricing Exotic Options with Mean Reversion --- p.29 / Chapter 3.1 --- Introduction --- p.29 / Chapter 3.2 --- Barrier options --- p.30 / Chapter 3.2.1 --- Double barrier options --- p.32 / Chapter 3.2.2 --- Rebates --- p.33 / Chapter 3.2.3 --- Numerical examples --- p.34 / Chapter 3.3 --- Lookback options --- p.36 / Chapter 3.3.1 --- Expected minimum and maximum --- p.37 / Chapter 3.3.2 --- Standard lookback options --- p.41 / Chapter 3.3.3 --- Fixed strike lookback options --- p.42 / Chapter 3.3.4 --- Lookback spread option --- p.43 / Chapter 3.3.5 --- Numerical examples --- p.43 / Chapter 3.4 --- Sensitivity analysis --- p.46 / Chapter 3.4.1 --- Analysis ´ؤ double knock-out call option --- p.47 / Chapter 3.4.2 --- Analysis ´ؤ floating strike lookback put option --- p.52 / Chapter 3.4.3 --- Analysis ´ؤ lookback spread option --- p.56 / Chapter 3.4.4 --- Summary --- p.60 / Chapter 3.5 --- Appendix --- p.61 / Chapter 3.5.1 --- Closed-form price formula of the double knock-out call option --- p.61 / Chapter 3.5.2 --- Derivations of lookback options --- p.63 / Chapter 4 --- Using First-Passage-Time Density to Assess Realignment Risk of a Target Zone --- p.66 / Chapter 4.1 --- Realignment risk of a target zone --- p.66 / Chapter 4.1.1 --- Currency option market and target zone --- p.66 / Chapter 4.1.2 --- First-Passage-Time approach --- p.67 / Chapter 4.1.3 --- Option price and implied volatility --- p.69 / Chapter 4.1.4 --- FPT density and realignment risk --- p.73 / Chapter 4.2 --- The ERM crisis of 1992 --- p.74 / Chapter 4.2.1 --- British pound (GBP) target zone --- p.74 / Chapter 4.2.2 --- Italian lira (ITL) target zone --- p.81 / Chapter 4.2.3 --- Summary --- p.85 / Chapter 5 --- Market Expectation of Appreciation of the Renminbi --- p.87 / Chapter 5.1 --- The Chinese Renminbi exchange rate system --- p.87 / Chapter 5.2 --- First-Passage-Time approach --- p.90 / Chapter 5.3 --- Estimations of expected maximum appreciation of Renminbi --- p.92 / Chapter 5.4 --- Appendix --- p.99 / Chapter 5.4.1 --- Derivations of the expected minimum and maximum --- p.99 / Bibliography --- p.101