Made available in DSpace on 2016-03-15T19:30:52Z (GMT). No. of bitstreams: 1 Jose Antonio Chavez Orlotegui.pdf: 1008123 bytes, checksum: 851740c2da263d053e73b2b6c4ab1a2a (MD5) Previous issue date: 2011-11-09 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / The objective is to price agricultural areas and quantify the influence of prices of agricultural products in the value of rural enterprises. The assessment takes into account that the value of the area is linked to the Present Value of future cash flow from exploration and the existence of flexibility associated with land tenure that can be evaluated by the method of real options. Crops evaluated in the study will be the corn and soybean. The evolution of crop prices will be modeled on the CIR process (Cox, Ingersoll, Ross). The price of land will be calculated from a partial differential equation (PDE). This is addressed from Monte Carlo simulations. The results show that the price of choice, for both cultures, it is more than 40% of the land. The value of land for corn, the 30-year horizon, is greater than of soybeans. / O objetivo do estudo consiste em precificar áreas agrícolas e quantificar a influência dos preços de produtos agrícolas no valor da empresa rural. A avaliação considera que o valor da área está vinculado ao Valor Presente dos Fluxos de Caixa Futuros, da exploração e da existência de certa flexibilidade associada à posse da terra que pode ser avaliada por meio do método de opções reais. As culturas avaliadas no estudo serão a Soja e o Milho. A evolução dos preços das culturas será modelada a partir do processo CIR (Cox, Ingersoll, Ross). O preço da terra será calculado a partir de uma equação diferencial parcial (EDP). Esta é resolvida a partir de simulações de Monte Carlo. Os resultados mostram que o preço da opção, para ambas as culturas, vale mais de quarenta por cento do valor da terra. O valor da terra para o milho, no horizonte de trinta anos, é maior que o da soja.

[pt] Certamente uma das arenas competitivas mais marcada pela incerteza é a indústria de telecomunicações. Características intrínsecas ao negócio, como o alto nível de imobilização e a dispersão geográfica, sob a ação de questões voláteis como demanda, câmbio, tecnologia, regulamentação, dentre outras, podem representar grandes impactos nos resultados do negócio. Esta incerteza sempre existiu, porém nos últimos anos tem estado em maior evidência. Diante desta nova necessidade, os métodos adotados atualmente em planejamento estratégico e em análise de investimentos têm se mostrado pouco eficazes. Não é uma questão de usar uma abordagem melhor ou pior, e sim de usar a mais adequada. Quanto a isto, porém, a única certeza é a de que a melhor forma não é tentar encaixar investimentos e estratégias de uma indústria tão dinâmica como a de telecomunicações em um planejamento estático e rígido. A proposta deste trabalho é propor e exemplificar um método para descrição e avaliação de estratégia para telecomunicações, baseado no paradigma de opções reais. Este método é uma visão integrada de ferramentas e métodos conhecidos e utilizados em opções reais, análise de cenários e estratégia. A pesquisa não pretende definir o que é melhor para a discussão de análise de estratégias e investimentos em telecomunicações, mas oferecer uma reflexão mais em linha com as peculiaridades do negócio. / [en] Definitely, one of the most uncertain competitive arena in corporate business is the industry of telecommunications. It's intrinsic characteristics, such as high degree of immobilization and geographic dispersion, under the effect of some volatile issues such as demand, currency rate, technology and regulatory affairs, among others, may yield great impacts on business results. This uncertainty has always existed, but in recent times it has been emphasized. In the face of this new necessity, the current methods used in strategic planning and investment analysis have been little effective. It's not a matter of adopting a better or worse approach, but of adopting the most appropriate one. Regarding this, however, the only certainty is that the best alternative is not try to fit investments and strategies of such a dynamic industry as telecommunication in a static and inflexible planning. The objective of this work is present and illustrates a method for strategy assessment and definition for telecommunications, based on real options. This method is an integrated view of employed and known tools and methods in real options, scenario analysis and strategy. The research does not intend to define what is best for analysis and discussion of strategies and investments in telecommunications, but to offer reflections more in line with the singularities of the business.

This thesis deals with the real investment project. The aim was to determine the value of this project and its subsequent recommendation or rejection. The theoretical part is aimed at defining the concepts and methodologies, with which it is possible to encounter in evaluating projects. A separate chapter is devoted to real options. First set of financial options and they are established with the problems of valuation of the rights related to tangible assets. The practical part is devoted to determining the parameters needed to evaluate the traditional conventional methods. Sensitivity of the calculated NPV is tested using Monte Carlo methods. Subsequently, the methodology is applied to real options and is valued flexibility resulting from the project. The performed calculations show that the methodology of real options is an effective complement to traditional evaluation methods, which allows operators to make decisions, quality assessment of options.

This study shows basic and advanced methods of information systems benefit quantification and applies selected methods to a real life problem. The practical part has been used to justify an information systems investment of already implemented and future systems. This work also appeals to a need of theoretical background and practical creativity when quantifying social properties of information systems. It is unacceptable to tolerate laical stance against social concepts of information systems and their quantification.

This thesis presents the new approach to IT investment valuation by using real options. In the introductory part the traditional methods of information investment valuation are introduced and described. It gives a detailed summary of valuation methods that could be used for valuation made in the traditional way. Next part deals with the financial options, its definition, types, parameters and methods of valuation. Some basic methods of reducing the risks (hedging) with the help of financial options are mentioned as well. After that, the real options, the difference between real and financial options, behaviour, parameters and methods of valuation are introduced. Next chapter analyses and describes the chosen frameworks for using real options in IT investment valuation. The selection was performed so as to give reader a full idea of possible ways real options could be used. Final part presents a case study where one of the chosen frameworks is applied to a real project so as to show all aspects and level of complexity of this solution.

[pt] As estruturas do tipo Project Finance, cada vez mais, vêm sendo utilizadas para o financiamento de projetos de investimento, principalmente, quando se trata de obras infraestruturais. Para tanto, uma grande estruturação jurídica é utilizada de forma a garantir uma adequada alocação de riscos às partes interessadas do projeto. Esta gestão riscos do projeto é de fundamental importância para garantir a viabilidade financeira e sucesso de um financiamento estruturado, como o Project Finance. Agora, analisando o projeto, sob o ponto de vista econômico, uma nova abordagem de avaliação de projetos de investimentos vem ganhando força nas empresas e na academia. Trata-se da teoria de Opções Reais que busca valorar e mensurar flexibilidades gerenciais que venham a acontecer durante o ciclo de vida de um projeto de investimento. Essa ótica pode tornar viáveis, economicamente, projetos antes inviáveis, sob a perspectiva tradicionalmente estática da teoria clássica de análise de investimentos. No contexto de Project Finance, podem ser consideradas como opções reais, cláusulas contratuais (por determinadas garantias de serviço), o abandono de um projeto durante sua execução, dentre outras. Nesse sentido, este trabalho apresenta a modelagem de um caso fictício de construção de um gasoduto, analisando o projeto, sob a perspectiva com e sem opções. Para tanto, foram utilizados os métodos analítico e de Simulação de Monte Carlo. / [en] The Project Finance structures are increasingly being used to finance investment projects, especially for infrastructural projects. Therefore, a complex legal structure is used to ensure an appropriate allocation of risks to the project stakeholders. This project risk management is very important to ensure the financial viability and success of a structured finance, such as Project Finance. Now, analyzing the project from the economic point of view, a new approach for evaluating investment projects has been gaining strength in business companies and academy. That’s the Real Options theory which seeks to measure and value managerial flexibility which may arise during an investment project life cycle. Projects before unviable under the static view of investment analysis classical theory can become economically viable using this perspective. In Project Finance’s context can be regarded as real options contract terms (for certain guarantees of service), the project abandonment during its implementation, among others. In this sense, the dissertation presents a fictitious case modeling of a gas pipeline, analyzing the project s perspective with and without options. Thus, both methods were used: the analytical and Monte Carlo simulation.

[pt] As novas tecnologias no setor sucroalcooleiro permitem flexibilidade no que diz respeito a produzir etanol ou açúcar, podendo em qualquer momento concentrar a produção na commodity que gere maior rentabilidade. Ao longo da pesquisa foi identificado que o Imposto sobre Operações relativas à Circulação de Mercadorias e Prestação de Serviços de Transporte Interestadual e Intermunicipal e de Comunicação (ICMS), gera uma variação importante no preço destas duas commodities nas diferentes regiões do Brasil. Como exemplo, podemos citar o fato de São Paulo em 2013 ter um ICMS de 12 porcento, enquanto no estado do Pará foi observada uma taxa de 30 porcento para a mesma data. Neste estudo trabalha-se com duas regiões do Brasil, a sudeste representada pelo estado de São Paulo e a região Nordeste representada pelos estados de Alagoas e Pernambuco. Para conseguir avaliar a flexibilidade gerencial, nesta dissertação é utilizada a teoria das Opções Reais (OR) que enfatiza o valor da flexibilidade que o tomador de decisões possui ao possibilitar a alteração dos rumos de um projeto especialmente em condições de incerteza. Neste estudo foram feitos testes que determinaram que os preços das commodities seguem um Movimento de Reversão à Média Aritmética, com o qual determinou-se os parâmetros que descrevem este tipo de comportamento. Utilizou-se as abordagens de árvores recombinantes de Nelson e Ramaswamy (1990) e de arvores bivariáveis de Hahn e Dyer (2011) é construído para estas teorias um algoritmo programado em Matlab. Esta pesquisa revela que para as duas regiões estudadas a flexibilidade de produção gera rentabilidade maior que nas usinas cuja produção não é flexível, além disso mostra que a capacidade de produção maior e um imposto ICMS menor, proporcionam às empresas flexíveis da região sudeste um maior valor quando comparadas com as usinas da região nordeste. / [en] New technologies in the Sugar-Alcohol sector allow flexibility with regard to produce ethanol or sugar, it may at any time concentrate production in the commodity that generates higher benefits. During the research, it was identified that tax over operations related to Circulation of Goods and Supply of Services of Interstate and Intermunicipal Transportation and Communication (ICMS) generates a significant variation in the price of these two commodities in different regions of Brazil. As an example, we can mention the fact that Sao Paulo in 2013 had a ICMS of 12 percent, while in the state of Pará a rate of 30 percent was observed for the same date. In this study we work with two regions of Brazil, the southeast region represented by the state of São Paulo and the Northeast region represented by the states of Alagoas and Pernambuco. To be able to assess the managerial flexibility, this dissertation is to the theory of real options (OR) that emphasizes the value of flexibility that the decision maker has to enable the change of the direction of a project especially under conditions of uncertainty. This study made tests that determined that commodity prices follow a Reversal Movement to the Arithmetic Mean, with which it was determined the parameters that describe this behavior. We used the approach of recombinant tree Nelson and Ramaswamy (1990) and Hahn bivariate trees and Dyer (2011) is constructed for these theories an algorithm programmed in Matlab. This research reveals that for both regions studied the production flexibility generates higher profitability than in plants whose production is not flexible, also shows that the increased production capacity and a smaller ICMS tax, provide flexible companies from the Southeast greater value when compared with the plants in the northeastern.

Uncertainty of outcome is widely recognised as a concern facing decision-makers and their advisors. In a number of spheres of policy, it appears uncertainty has intensified in the face of globalisation, economic instability, climate change, technological innovation and changing consumer preferences. How can planners and policymakers plan for an uncertain future? There is growing interest in, and use of, techniques that can help decision-making processes where deep uncertainty is involved. This paper is based upon one of the most recent international examples of a foresight exercise employed to examine uncertainty – specifically that which concerns uncertainty over the nature and extent of future demand for car travel. The principal focus of the paper is on the insights and guidance this examination of uncertainty brings forth for transport planning and policymaking. To accommodate deep uncertainty requires a flexible and open approach in terms of how policy and investment possibilities are formulated and judged. The paper argues for a focus upon the Triple Access System of spatial proximity, physical mobility and digital connectivity as a framework for policy and investment decisions that can harness flexibility and resilience. Uncertainty becomes an opportunity for decision-makers with the realisation that they are shaping the future rather than (only) responding to a predicted future. The paper outlines two forms of policymaking pathway: regime-compliant (in which adherence to trends and the nature of the world we have known pushes policy) and regime-testing (in which the nature of the world as we have known it is brought into question and vision pulls policy decisions). Stronger orientation towards regime-testing to assist in managing an uncertain future is advocated.

Future 450mm semiconductor wafer foundries are expected to produce billions of low cost, leading-edge processors, memories, and wireless sensors for Internet of Everything applications in smart cities, smart grids, and smart infrastructures. The problem has been a lack of wise investment decision making using traditional semiconductor industry models. The purpose of this study was to design decision-making models to conserve financial resources from conception to commercialization using real options to optimize production capacity, to defer an investment, and to abandon the project. The study consisted of 4 research questions that compared net present value from real option closed-form equations and binomial lattice models using the Black-Scholes option pricing theory. Three had focused on sensitivity parameters. Moore's second law was applied to find the total foundry cost. Data were collected using snowball sampling and face-to-face surveys. Original survey data from 46 Americans in the U.S.A. were compared to 46 Europeans in Germany. Data were analyzed with a paired-difference test and the Box-Behnken design was employed to create prediction models to support each hypothesis. Data from the real option models and survey findings indicate American 450mm foundries will likely capture greater value and will choose the differentiation strategy to produce premium chips, whereas higher capacity, cost leadership European foundries will produce commodity chips. Positive social change and global quality of life improvements are expected to occur by 2020 when semiconductors will be needed for the $14 trillion Internet of Everything market to create safe self-driving vehicles, autonomous robots, smart homes, novel medical electronics, wearable computers with streaming augmented reality information, and digital wallets for cashless societies.

The net present value (NPV) approach has been widely accepted by corporate practitioners and academics as the principle tool for evaluating the feasibility of corporate financial investment opportunities. It conceptually provides an estimate in present value terms of a proposed investment's incremental contribution to the firm, enabling the company to pursue its goal of value maximization with more assurance. NPV uses a discount rate that in theory captures market risks. In the stable growth or mature industries, NPV works well. However, in high investment/high risk-return (HI/HRR) industries, where the investment environment is often profiled as highly uncertain with high returns, NPV is insufficient to reflect the multidimensional risks, hence unable to capture the extensive investment returns that may consist of non-financial values. This dissertation applies the real option (RO) valuation methodology, supplementing the NPV method to evaluate the return of the sports retail industry (SRI) flagship stores investments. This study further demonstrates that there are strategic values captured by the RO valuation method, complementing the financial values attained by the NPV. To test this assertion, we use case methodology to analyze four flagship investment activities (proprietary business data are concealed). These investments represent various investment options, including growth, expansion, staging, and delay. The cases include projections made prior to the investment, the retrospective application of RO to estimate strategic value, and the actual returns from these investments. Findings demonstrate convincingly RO methodology can and should be usefully applied to supplement the NPV method in HI/HRR industries, and SRI in particular.