Spelling suggestions: "subject:"erices  amathematical models"" "subject:"erices  dmathematical models""
71 
Multilateral approaches to the theory of international comparisonsArmstrong, Keir G. 11 1900 (has links)
The present thesis provides a definite answer to the question of how comparisons of
certain aggregate quantities and price levels should be made across two or more geographic
regions. It does so from the viewpoint of both economic theory and the “test” (or
“axiomatic”) approach to indexnumber theory.
Chapter 1
gives an overview of the problem of multilateral interspatial comparisons and
introduces the rest of the thesis.
Chapter 2 focuses on a particular domain of comparison involving consumer goods and
services, countries and households in developing a theory of international comparisons in
terms of the the (Kontistype) costofliving index. To this end, two new classes of
purchasing power parity measures are set out and the relationship between them is explored.
The first is the manyhousehold analogue of the (singlehousehold) costofliving index and,
as such, is rooted in the theory of group costofliving indexes. The second Consists of sets
of (nominal) expenditureshare deflators, each corresponding to a system of (real)
consumption shares for a group of countries. Using this framework, a rigorous exact index
number interpretation for Diewert’s “ownshare” system of multilateral quantity indexes is
provided.
Chapter 3 develops a novel multilateral test approach to the problem at hand by
generalizing Eichhorn and Voeller’s bilateral counterpart in a sensible manner. The
equivalence of this approach to an extended version of Diewert’s multilateral test approach is
exploited in an assessment of the relative merits of several alternative multilateral comparison
formulae motivated outside the testapproach framework.
Chapter 4 undertakes an empirical comparison of the formulae examined on theoretical
grounds in Chapter 3
using an appropriate crosssectional data set constructed by the
Eurostat—OECD Purchasing Power Parity Programme. The principal aim of this comparison is
to ascertain the magnitude of the effect of choosing one formula over another. In aid of this, a
new indicator is proposed which facilitates the measurement of the difference between two sets
of purchasing power parities, each computed using a different multilateral indexnumber
formula. / Arts, Faculty of / Vancouver School of Economics / Graduate

72 
Willow treeHo, Andy C.T. 11 1900 (has links)
We present a tree algorithm, called the willow tree, for financial derivative pricing. The
setup of the tree uses a fixed number of spatial nodes at each time step. The transition
probabilities are determine by solving linear programming problems. The willow tree
method is radically superior in numerical performance when compared to the binomial
tree method. / Science, Faculty of / Mathematics, Department of / Graduate

73 
Three essays on volatility specification in option valuationMimouni, Karim. January 2007 (has links)
No description available.

74 
Three essays on volatility long memory and European option valuationWang, Yintian, 1976 January 2007 (has links)
No description available.

75 
Beta bias in lowpriced stocks due to trading price roundingYoung, Walter Lewis January 1981 (has links)
Stocks and similar securities are normally traded in prices which are integral multiples of oneeiqhth of a dollar (a few are traded in onesixteenths of a dollar). This price constraint may introduce a bias in the estimates of beta for lowpriced securities, and the purpose of this dissertation is to examine the bias introduced from this source.
The research methodology briefly consists of constructing a price series for a hypothetical stock by computing"true" prices from an assumed"true" beta and alpha, the series of returns generated from a market index, and a random disturbance term. The constructed price series is rounded to the nearest oneeighth of a dollar and an"observed" beta for this rounded price series is calculated.
The"observed” beta is compared to the"true" beta to observe the degree of bias. Replications are made which differ in their randomly chosen starting point in the market index series; and the experiment is repeated for various"true" betas and alphas within the range of interest, for different intervals between price observations, and for different initial prices.
Chapter I provides an introduction to the study. In Chapter II the relevant literature for this study is reviewed. The first part includes previous studies of the oneeighth effect and the intervalling effect, while the second part of the chapter focuses on the composition and characteristics of common market indexes. The analytical considerations are discussed in Chapter III. The price generating mechanism and the constraint placed upon it by one eighth price rounding are explicitly stated. Alternative rounding procedures are presented and their implications discussed. In the next section the characteristics of the rounding functions are discussed. Finally, expressions for the amount of bias in beta estimates introduced by the one eighth price rounding are derived for both logarithmic returns and holding period (arithmetic) returns.
In Chapter IV the methodology used to secure the results presented in Chapter V is reviewed. The simulation itself is discussed as well as the statistical and ad hoc procedures used to evaluate the results. The results presented in the next chapter also include the results pertinent to two ancillary issues discussed in Chapter IV, namely, how many replications are needed and how reproducible are the results. Chapter VI summarizes the findings, draws a conclusion, and suggests extensions of the study. / Ph. D.

76 
Does a financial crisis change the demand for housing attributes?.January 2002 (has links)
Cheng Wing Yan. / Thesis (M.Phil.)Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 115122). / Abstracts in English and Chinese. / Abstract  p.iii / Acknowledgements  p.iii / Table of Contents  p.iv / List of Tables  p.v / List of Figures  p.vivii / List of Charts  p.viii / Chapter Chapter 1.  Introduction  p.1 / Chapter Chapter 2.  Literature Review  p.4 / Chapter Chapter 3.  Methodology  p.8 / Chapter Chapter 4.  Data Description  p.18 / Chapter Chapter 5.  Empirical Results  p.29 / Chapter 5.1  Simple Regression Results  p.29 / Chapter 5.2  Structural Break Test Results  p.31 / Chapter 5.3  Regression Results for Housing Attributes' Coefficients on Macroeconomic Variables  p.32 / Chapter Chapter 6.  Conclusion  p.34 / Appendix 1. Limitation  p.35 / Appendix 2. Tables  p.37 / Appendix 3. Figures  p.77 / Appendix 4. Charts  p.107 / Appendix 5. Regression Results for Housing Attributes from Literature  p.113 / Bibliography  p.115

77 
Pricing and risk management of fixed income securities and their derivatives. / CUHK electronic theses & dissertations collection / Digital dissertation consortium / ProQuest dissertations and thesesJanuary 2001 (has links)
In the first essay, this thesis provides a new methodology for pricing the fixed income derivatives using the arbitragefree HeathJarrowMorton model (hereafter HJM model). While, most previous empirical implementations of HJM model like that by Amin and Morton (1994) are focused on onefactor model only, the essay attempts to extend the test to a twofactor model that could further capture the subtleties of the forward rate process. The twofactor PoissonGaussian version of HJM model derived by Das (1999) that incorporates a jump component as the second state variables is used to value the actively traded Eurodollar futures call option under the jump diffusion lattice. The onefactor and twofactor models are compared with five volatility functions to evaluate the degree of pricing improvement by the inclusion of one more state variable. / The essay also addresses the critical issues on the volatility structure of forward rates that affect the pricing performance of option under the HJM framework. Three new volatility specifications are constructed to estimate the traded options. The first volatility function is the humped & curvature adjusted model that allows for humped shape in volatility structure and better adjustment to the curvature of the term structure. The second is the humped & proportional model that exhibits humped volatility feature and is proportional to the forward rate. The third function is the linear exponential model that is extended from Vasicek's exponential model. They are compared with two other volatility structures developed by previous researchers on their pricing performances. The alternative models are examined from the perspectives of insample fit, outofsample pricing and hedging. / The second essay develops an approach for estimating the ValueatRisk (hereafter VaR) with jumps using the Monte Carlo simulation method. It is by far the first paper to estimate VaR using the HJM model. The paper takes the framework of the Poisson Gaussian version of HJM model (hereafter, HJM jumpdiffusion model) from Das (1999). The model is incorporated with a jump component to capture the kurtosis effect in the daily price changes. As a result, the HJM jumpdiffusion model allows for the fat tailed and skewed distribution of return in most financial markets. The simulation process is expedited by using variance reduction method. The model is used for calculating the VaR of a portfolio consisting of the fixed income derivatives. The accuracy of the VaR estimates is examined statistically at the VaR at confidence level of both 95 and 99 percent. / This thesis is a collection of two essays that explore issues related to the pricing and the risk management of fixed income securities and derivatives in US markets. In the context of the pricing of derivatives, the arbitragefree pricing approach is adopted. For the issue of risk management, the estimation of ValueatRisk is presented. / by ZeTo Yau Man. / Source: Dissertation Abstracts International, Volume: 6209, Section: A, page: 3138. / Supervisors: Jia He; Yingfoon Chow. / Thesis (Ph.D.)Chinese University of Hong Kong, 2001. / Includes bibliographical references (p. 145151). / 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.

78 
Three essays on empirical studies of consumer behaviorLiu, AnShih, 1977 28 August 2008 (has links)
This dissertation is an empirical study of demand and supply in differentiated products markets using supermarket scanner data on two particular product categories  canned tuna and hotbreakfast cereals. First, I study the impact of retailers' price promotions on consumer demand and retailer profits in the cannedtuna product category. Since canned tuna is storable, I examine whether consumers stock up during sales. The results suggest that only a limited amount of stockpiling exists in this product category. Since inventory is not very important, consumer demand is thus modeled by a static demand model with a randomcoefficientsnestedlogit specification, which is estimated by the Markov Chain Monte Carlo method. The unitsales decomposition results show that on average 36% of the demand response to price promotions comes from brandswitching, so market expansion effects due to consumers switching from the outside good and to higher quantities usually dominate the brandswitching effect. Using the demand estimates, I compute optimal retail prices assuming that stores are local monopolists and choose prices to maximize static categorylevel profits. I find that regular prices at "highlow" stores are typically at or slightly below the optimal prices, but that regular prices at "everydaylowprice" stores are substantially below the optimal prices. These results suggest that retail price levels and price promotions are more likely related to local market conditions such as retail competition. In addition, I study the effects of storebrand (SB) entry on the demand elasticities of incumbent national brands (NB), consumers' substitution patterns for national and store brands, and the implications for consumer welfare in the hotbreakfastcereals product category. A randomcoefficients model of consumer demand is estimated by the generalizedmethodofmoments approach. The empirical findings are: (1) After the entry of SB's, demand becomes more elastic for nonimitated NB's, and either more elastic or shows no change for imitated NB's; (2) in general, substitution patterns for NB's and SB's are asymmetric, i.e., when the prices of their favorite products increase, most NB buyers tend to substitute to other NB products, but SB buyers will substitute to the corresponding imitated NB's; (3) the increase in consumer surplus due to SB entry is trivial for an individual consumer, but the aggregate benefit could be quite substantial.

79 
Risk measures in finance and insurance蕭德權, Siu, Takkuen. January 2001 (has links)
published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

80 
Applicability of various option pricing models in Hong Kong warrants marketYiu, Fanlai., 姚勳禮. January 1993 (has links)
published_or_final_version / Business Administration / Master / Master of Business Administration

Page generated in 0.1381 seconds