The valuation of many types of financial contracts and contingent claim agreements is complicated by the possibility that one party will default on their contractual obligations. This dissertation develops a general model that prices Black-Scholes options subject to intertemporal default risk using stochastic barrier option pricing theory. The explicit closed-form solution is obtained by generalizing the reflection principle to k-space to determine the appropriate transition density function. The European analytical valuation formula has a straightforward economic interpretation and preserves much of the intuitive appeal of the traditional Black-Scholes model. The hedging properties of this model are compared and contrasted with the default-free model. The model is extended to include partial recoveries. In one situation, the option holder is assumed to recover α (a constant) percent of the value of the writer’s assets at the time of default. This version of the partial recovery option leads to an analytical valuation formula for a first passage option - an option with a random payoff at a random time. / Ph. D.

This dissertation investigates the effects of price, brand, and store information on buyers perception of product quality and value, as well as the buyers' willingness to buy. It reviews the dissimilar paradigms developed by economists and behaviorists to explain the influence of price on consumer behavior. Hypotheses are derived from a conceptual model to posit the relationship that the extrinsic cues of information, price, brand name and store name, individually have with the constructs of perceived quality, perceived value, and willingness to buy. Additionally, the combined effects of the extrinsic cues on the three constructs are examined. The research was conducted in two phases. The first phase was necessary to determine products, price levels, brand names and store names to use in the second phase. A 5x3x3 factorial design, with a student sample was used in phase two to test the research hypotheses. Each of the three independent variables had no information treatment that allowed partial replication of past price-perceived quality studies, and examination of price, brand name, and store name main effects in many different cue combinations. Additionally, this research design allowed exploratory research of the marginal effects of combining cue information. Reliability of the measures was assessed using exploratory and confirmatory factor analysis and Cronbach's alpha. Analysis of variance, Duncans' multiple range tests, and trend analysis were used to analyze the data. In general the analysis gave good support for the hypothesized effects. The principal exception was finding only the downward sloping relationships for perceived value and willingness to buy as affected by price information. Also, there was a lack of support for the hypothesized combined cues when all the information were perceived to be low. The research results are discussed with respect to the major findings, significance to theoretical and methodological knowledge as well as marketing practice. Limitations of the research are discussed as well as directions for future research in this paradigm. / Ph. D.

The objective of this research was to determine if there is empirical evidence to show that a statistical dependence exists between accounting variables and stock market returns in a Mexican context. Security price research refers to such statistical dependence as "information content." In order to satisfy the above objective, three different abnormal performance indexes were used and the following hypothesis were tested: Hypothesis One: H : There is no relationship between the sign of the forecast error and the sign of the abnormal return. To test for cumulative abnormal returns, the next hypothesis was also tested. H : There is no relationship between the sign of the forecast error and the sign of the "cumulative" abnormal return. Hypothesis Two H : The expected value of the abnormal return is equal to zero. Hypothesis Three H : The expected value of the" cumulative" abnormal return is equal to zero. The interpretation of the results indicate that accounting numbers, specifically EPS and cash flow data, do possess informational content for investors in equity securities. The association criterion was used to determine which expectation model and which accounting variable approximates market expectations. According to such criterion, results indicate that model 2 seems to be the model which approximates market expectations. Such a model assumes that the variable to be forecasted will change by the same amount that the previous year changed from the year before that. / Ph. D.

In the decades that followed World War II, tuition at American colleges was well within the financial reach of most families. Since 1980, however, it has grown more expensive to attend both public and private colleges, as tuition has surged at a rate that has far outpaced inflation. At the same time, the economic and lifestyle disparities between those who earn four-year degrees and those who do not have reached record levels. As a result, students have to go to college in order to have a realistic shot at prosperity, but must borrow significantly in order to afford the cost of attendance. Colleges are aware that whenever the subject of increased tuition comes up, be it a proposed increase or an official one, it is a threat to their image and is likely to be viewed as offensive by students, who are already straining from the high cost of college. Thus, colleges employ a range of image restoration theory strategies at all phases of the conflict management life cycle, in order to restore, repair, and protect their images. While the rhetorical strategies taken by colleges may be given a great deal of thought by college spokespersons, they are not always strategically appropriate. This thesis uses mental accounting to extend image restoration theory, and offers rhetorical strategies that colleges may consider in order to minimize the threat to their images posed by increased tuition. / Master of Arts / For American families, sending their children to college is a far greater financial strain than it was a generation or two ago. Across the United States, college tuition has surged in recent decades, a trend that shows few signs of abating in the future. As a result, current and future college students and their families view the news of a tuition increase, or a potential increase, unfavorably. Colleges are aware of the threat that they face when the subject of tuition increases comes up, so they employ a range of rhetorical strategies to reduce the threat. This master’s thesis classifies the rhetoric used by college spokespersons at the top-20 ranked American public universities when they talked about planned or potential tuition increases for three academic years. It then evaluates the appropriateness of these rhetorical choices, evaluating them based upon established marketing scholarship in order to determine if they are likely to make students view the news of a planned or proposed tuition increase news seem more fair.

Research has shown that acreage restrictions in flue-cured tobacco production have resulted in the capitalization of a portion of the future benefits of the price-support program into land values. Higher net income for farmers, the primary objective of the program, is therefore defeated through higher land cost and increased rents. The objective of this study was to derive empirical estimates of the capitalized value of an acre of tobacco during 1958-1961 in Pittsylvania County. The estimates were compared with those obtained in a previous study for the years 1954-1957. In addition, some analysis was made of factors which influence the price of farmland but which were difficult, if not impossible, to quantify as continuous variables for statistical measurement. Data on sale value of farms and factors thought to influence sale value were secured from public records. These data were analyzed by a multiple linear regression statistical technique to measure the value of an acre of tobacco allotment as a right to produce tobacco. Partial regression coefficients indicated that an acre of allotment was worth $833, $1,216, $1,453, and $1,460 for the four years, 1958-1961, respectively and $1,345 for the four years combined. Questionnaire data secured from buyers indicated that there were several distinct types of buyers on the land market and that the type of buyer influenced the type of farm purchased. Further, some differences in type of sale, number of buyers competing for a farm, variation in reason for purchase, and buyers' knowledge of market affected the sale price of tobacco farms. / M.S.

Yes / This paper develops a model of optimal choice over an array of different assets, including domestic and foreign bonds, domestic and foreign equities and domestic and foreign real money balances in order to examine the determination of the real exchange rate in the long-run. The model is tested empirically using data from the UK and the USA. The results show that all the coefficients of the model are right signed and significant and consequently financial assets may play a significant role in the determination of the real exchange rate.

Yes / This is a pioneering effort to test the comparative performance of two competing models for out-of-sample forecasting the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria. Under symmetric error statistics, our empirical model using the estimated growth factor of volatility through time is overall superior, and it beats in most cases the benchmark model of the square-root-of-time for holding periods between one and 250 days. Under asymmetric error statistics, if over-prediction (under-prediction) of volatility is undesirable, the empirical (benchmark) model is consistently superior. Relative performance of the empirical model is much higher for holding periods up to fifty days.

Dairy farming in Virginia could be more profitable if price and yield risks affecting the cost and availability of feed inputs such as corngrain, corn silage, alfalfa and ryelage are reduced. Price and yield risk facing dairy farmers in Virginia can be reduced through a marketing strategy like hedging and government commodity program participation. The overall objective of this study is to evaluate how the variability of price and yields of particular feed crops affect the variability of expected returns in dairy farming. Specific objectives include: 1) to evaluate the relationship between feed production risk and the level and variability of net returns for a representative dairy farm in Virginia; 2) to evaluate the relationship between price risks of purchased feed inputs and the variability of net returns; 3) to draw implications from the results that can be used to help dairy farmers better manage feed production risk. To accomplish these objectives, the target MOTAD risk analysis technique is used. The empirical model is developed in four steps. First, the model activities such as milking and feeding of cows, heifer and calf activities, crop production, harvesting, labor, and buying and selling activities were created. Second, variable yields based on probability elicitation from dairy farmers were generated. Third, variable prices based on commodity options were generated; and fourth a target income constraint was derived. Results from the analysis indicated that the target income constraint was exceeded in every state of nature for the representative farm resulting in an efficiency frontier of a single point. Increasing the assumed debt-asset ratio and annual debt service requirement, resulted in a risk-return tradeoff with lower levels of risk (measured as mean deviation below target or MDBT) being obtained at the expense of lower levels of expected returns. At a higher debt asset-ratio, when the mean deviation below target (MDBT) was varied over a range of values, the quantity of crops harvested also varied. The average harvested acres of alfalfa and corn silage increased as the MDBT increased while the harvested acres of corn grain and ryelage decreased. Alfalfa harvest is increased because less forage in terms of ryelage is harvested and the average quantity of corn grain decreases as the MDBT increases because more com silage is grown in place of the costlier but less risky ryelage. The results show that hedging and participation in the government feed grain program could lead to effective risk reduction and increases in expected returns for the dairy farmer. Government program participation increased expected returns at all debt-asset ratios. Both government programs and hedging reduced risks at higher debt-asset ratios. Government program participation led to larger gains in expected returns as the availability of land increased. / Master of Science

Yes / In this paper, a stochastic approach for the operation of active distribution networks within a joint active and reactive distribution market environment is proposed. The method maximizes the social welfare using market based active and reactive optimal power flow (OPF) subject to network constraints with integration of demand response (DR). Scenario-Tree technique is employed to model the uncertainties associated with solar irradiance, wind speed and load demands. It further investigates the impact of solar and wind power penetration on the active and reactive distribution locational prices (D-LMPs) within the distribution market environment. A mixed-integer linear programming (MILP) is used to recast the proposed model, which is solvable using efficient off-the shelf branch-and cut solvers. The 16-bus UK generic distribution system is demonstrated in this work to evaluate the effectiveness of the proposed method. Results show that DR integration leads to increase in the social welfare and total dispatched active and reactive power and consequently decrease in active and reactive D-LMPs. / Ministry of Higher Education and Scientific Research of Iraq

The real estate market in Sweden has experienced a significant increase in prices since the late 1990s, with prices for building materials and labour increasing by almost 60% more than consumer prices. Interest rates and mortgage lending have also impacted the real estate market, with higher disposable income and lower real interest rates accounting for almost 90% of the price increase. Population growth and migration have also impacted the demand for housing in Sweden's metropolitan areas. Regulatory measures have also impacted the housing market, with macroprudential policies introduced to stabilize the market and prevent housing bubbles. This paper examines the macroeconomic factors that affect the average square meter price for tenant-owned apartments in Sweden's three metropolitan areas, Greater Stockholm, Greater Gothenburg, and Greater Malmo. The variables studied are disposable income, unemployment rate, OMXSPI index, mortgage interest rates, new developments, an amortization dummy, and a trend variable. Two regression models have been produced where the difference is that the trend variable is included in only one of them (model 2). The result of the study shows that all variables are statistically significant in model (1).