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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes

Botha, Russel John January 1998 (has links)
Bibliography: pages 190-209. / This research proposed to identify the most accurate method of pricing rights using option pricing models, including the Black Scholes model, the Cox constant elasticity of variance model and the Merton jump diffusion model, and to determine the set of input parameters that lead to the most optimal results. The empirical results indicated that on average all of the models are able to estimate the actual rights trading prices relatively well. Some models performed better than others did and these findings were consistent with the original reasonings. The market was shown to not account for the effect of dilution. The best model prices were obtained when calculating volatility over a one year historical period that included the actual rights trading period. The hypothesis regarding trading volume showed that there is a significant impact of trading volume on the estimation of accurate option prices. The filter rule of rejecting rights prices below 10 cents and 100 cents also improved the results thus showing a bias for lower priced rights to be incorrectly valued and possibly some inefficiency in this sector of the market.
2

Doubly stochastic point processes in reinsurance and the pricing of catastrophe insurance derivatives

Jang, Ji-Wook January 1998 (has links)
This dissertation presents pricing models for stop-loss reinsurance contracts for catastrophic events and for catastrophe insurance derivatives. We use doubly stochastic Poisson process or the Cox process for the claim arrival process for catastrophic events. The shot noise process is able to measure the frequency, magnitude and time period needed to determine the effect of the catastrophe. This process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic Markov process theory. We apply the Cox process incorporating the shot noise process as its intensity to price stop-loss catastrophe reinsurance contracts and catastrophe insurance derivatives. In order to calculate fair prices for reinsurance contracts and catastrophe insurance derivatives we need to assume that there is an absence of arbitrage opportunities in the market. This can be achieved by using an equivalent martingale probability measure in our pricing models. The Esscher transform is used to change probability measure. The dissertation also shows how to estimate the parameters of claim intensity using the likelihood function. In order to estimate the distribution of claim intensity, state estimation is employed as well. Since the claim intensity is not observable we filter it out on the basis of the number of claims, i.e. we employ the Kalman-Bucy filter. We also derive pricing formulae for stop-loss reinsurance contracts for catastrophic events using the distribution of claim intensity that is obtained by the Kalman-Bucy filter. Both estimations are essential in pricing stop-loss reinsurance contracts and catastrophe insurance derivatives.
3

Interest rate swaps : why do they exist and how should they be priced?

Yu, Wing Tong Bosco January 2000 (has links)
No description available.
4

Static Pricing for a Network Service Provider

Caro, Felipe, Simchi-Levi, David 01 1900 (has links)
This article studies the static pricing problem of a network service provider who has a fixed capacity and faces different types of customers (classes). Each type of customers can have its own capacity constraint but it is assumed that all classes have the same resource requirement. The provider must decide a static price for each class. The customer types are characterized by their arrival process, with a price-dependant arrival rate, and the random time they remain in the system. Many real-life situations could fit in this framework, for example an Internet provider or a call center, but originally this problem was thought for a company that sells phone-cards and needs to set the price-per-minute for each destination. Our goal is to characterize the optimal static prices in order to maximize the provider's revenue. We note that the model here presented, with some slight modifications and additional assumptions can be used in those cases when the objective is to maximize social welfare. / Singapore-MIT Alliance (SMA)
5

Probabilistic Choice Models for Product Pricing Using Reservation Prices

Hui, Betsy January 2007 (has links)
The problem of pricing a product line to maximize profits is an important challenge faced by many companies. To address this problem, we discuss four different probabilistic choice models that are based on reservation prices: the Uniform Distribution Model, the Weighted Uniform Model, the Share-of-Surplus Model, and the Price Sensitive Model. They are formulated as convex mixed-integer mathematical programs. We explore the properties and additional valid inequalities of these formulations. We also compare their optimal solutions on a set of inputs. In general, the Uniform Distribution, Weighted Uniform, and Price Sensitive Models have the same optimal solution while the Share-of-Surplus Model gives a different solution in many cases. We develop a few heuristics for finding good feasible solutions. These simple and efficient heuristics perform well and help to improve the solution time. Computational results of solving problem instances of various sizes are shown.
6

Probabilistic Choice Models for Product Pricing Using Reservation Prices

Hui, Betsy January 2007 (has links)
The problem of pricing a product line to maximize profits is an important challenge faced by many companies. To address this problem, we discuss four different probabilistic choice models that are based on reservation prices: the Uniform Distribution Model, the Weighted Uniform Model, the Share-of-Surplus Model, and the Price Sensitive Model. They are formulated as convex mixed-integer mathematical programs. We explore the properties and additional valid inequalities of these formulations. We also compare their optimal solutions on a set of inputs. In general, the Uniform Distribution, Weighted Uniform, and Price Sensitive Models have the same optimal solution while the Share-of-Surplus Model gives a different solution in many cases. We develop a few heuristics for finding good feasible solutions. These simple and efficient heuristics perform well and help to improve the solution time. Computational results of solving problem instances of various sizes are shown.
7

Valuation of Eurodollar futures contracts under alternative term structure models : theory and evidence

Tsai, Angela C. F. January 1999 (has links)
No description available.
8

Probabilistic costing of transmission services

Wijayatunga, Priyantha D. C. January 1992 (has links)
No description available.
9

Modelos de gestão do risco de crédito e sua aplicabilidade ao mercado brasileiro. / Credit risk models and its application in the brazilian market.

Chaia, Alexandre Jorge 02 June 2003 (has links)
Depois do período de implementação e utilização diária de modelos internos para gestão do risco de mercado e alocação de capital, as instituições financeiras passaram a se preocupar em desenvolver modelos similares para mensuração do risco de crédito. Esses modelos procuram resumir em um único número as perdas inesperadas de uma carteira de empréstimos em decorrência de mudanças na qualidade de crédito dos devedores. Como no Brasil os modelos de mensuração do risco de crédito ainda estão em estágios embrionários este trabalho procura analisar as características dos 4 principais modelos desenvolvidos por grandes instituições financeiras internacionais (CreditMetric, KMV, CreditRisk+ e CreditPortfolioView), procurando avaliar a possibilidade de utilização desses modelos aos empréstimos e títulos corporativos nacionais. Foram também discutidas as vantagens e desvantagens apresentadas pelos modelos, bem como os impactos que as peculiaridades do mercado brasileiro exercem sobre as hipóteses simplificadoras assumidas em cada modelos. Adicionalmente, foi realizado um estudo quantitativo da aderência do KMV ao mercado de debêntures nacional. / Once financial institutions had their internal market risk management models and daily routines for capital allocation duly implemented, they turned their attention to the development of similar methodologies for credit risk measurement. Such models attempt to summarize in a single number the possible unexpected losses arising from a loan portfolio when debtors’ credit quality change. Since credit risk methodologies are still in their early development stages in Brazil, this dissertation aims to analyze the features of the four main models currently in use by internationally active financial institutions (CreditMetrics, CreditRisk+, KMV and CreditPortfolioView), and to assess the feasibility of their use to manage domestic loan portfolios and corporate bonds. Those models were evaluated on their own merit, as well as on how Brazilian market peculiarities might violate the assumptions and impair their effectiveness. Additionally, an empirical study was carried out to test KMV performance on the domestic corporate bond market.
10

Modelos de gestão do risco de crédito e sua aplicabilidade ao mercado brasileiro. / Credit risk models and its application in the brazilian market.

Alexandre Jorge Chaia 02 June 2003 (has links)
Depois do período de implementação e utilização diária de modelos internos para gestão do risco de mercado e alocação de capital, as instituições financeiras passaram a se preocupar em desenvolver modelos similares para mensuração do risco de crédito. Esses modelos procuram resumir em um único número as perdas inesperadas de uma carteira de empréstimos em decorrência de mudanças na qualidade de crédito dos devedores. Como no Brasil os modelos de mensuração do risco de crédito ainda estão em estágios embrionários este trabalho procura analisar as características dos 4 principais modelos desenvolvidos por grandes instituições financeiras internacionais (CreditMetric, KMV, CreditRisk+ e CreditPortfolioView), procurando avaliar a possibilidade de utilização desses modelos aos empréstimos e títulos corporativos nacionais. Foram também discutidas as vantagens e desvantagens apresentadas pelos modelos, bem como os impactos que as peculiaridades do mercado brasileiro exercem sobre as hipóteses simplificadoras assumidas em cada modelos. Adicionalmente, foi realizado um estudo quantitativo da aderência do KMV ao mercado de debêntures nacional. / Once financial institutions had their internal market risk management models and daily routines for capital allocation duly implemented, they turned their attention to the development of similar methodologies for credit risk measurement. Such models attempt to summarize in a single number the possible unexpected losses arising from a loan portfolio when debtors’ credit quality change. Since credit risk methodologies are still in their early development stages in Brazil, this dissertation aims to analyze the features of the four main models currently in use by internationally active financial institutions (CreditMetrics, CreditRisk+, KMV and CreditPortfolioView), and to assess the feasibility of their use to manage domestic loan portfolios and corporate bonds. Those models were evaluated on their own merit, as well as on how Brazilian market peculiarities might violate the assumptions and impair their effectiveness. Additionally, an empirical study was carried out to test KMV performance on the domestic corporate bond market.

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