Magister Scientiae - MSc / 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. / South Africa

Farms are highly heterogeneous and never identical. No two farms are ever alike in terms of (1) the basic resources, land, labour, or capital that are available, (2) the way these resources or factors of production are combined, or (3) in terms of the amounts of various crops and livestock produced. There are numerous factors that influence the price of a farm and some of these factors are not monetary related. This makes the task of the valuer complex, and it increases the possibility of large differences in the estimated market value determined and the actual selling price. The development and use of AVM (Automated Valuation Method) models in the valuation of especially residential property, is a worldwide phenomenon. The majority of AVM models use MRA (Multiple Regression Analysis) as a basis. The accuracy of a MRA relies heavily on the quality and accuracy of the data that are used. Thus, the availability of quality and accurate data has a significant impact on the potential accuracy of a MRA. Accurate MRA valuation estimates will be fair to individual farm owners regarding their municipal tax assessments and it will lead to a wider use of MRAs for the valuation of farms, with the associated benefits of lower valuation costs and speedier valuations, especially by financial institutions. This study analyses the unique and distinctive attributes of farms, which must be taken into account when a MRA model is developed. By following a stepwise regression approach, a regression model is developed which is fairly accurate, but it does not achieve a high level of accuracy. Furthermore, the results of the study show that it is difficult to have enough appropriate and accurate data available to develop a regression analysis for agricultural property to satisfy accuracy requirements. Although it is difficult, it is possible to develop MRA models that are fairly accurate. Therefore, if MRA models are currently used for the municipal valuation of farms, which are not fairly accurate, it should be possible to improve the accuracy. However, maximum accuracy cannot be achieved with MRA models. Thus, it cannot replace a valuation done by a skilled and knowledgeable professional valuer, when maximum accuracy is required. / Dissertation (MSc)--University of Pretoria, 2017. / Construction Economics / MSc / Unrestricted

One of the greatest challenges facing developing countries is the provision of basic services and infrastructure. Provision of these services and infrastructure in these countries is often characterised by ineffectiveness, low quality, inaccessibility and unreliability. One basic service that has proven to be particularly problematic is the provision of water and sanitation, Poor delivery of this service affecting and is affected by the level of economic development of any nation. The main objectives of this study are to determine how much Swazi households are willing to pay (WTP) for an improvement in their water quality and quantity as well as establishing the possible factors affecting this WTP. This will help to put in monetary terms the value of good quality and quantity of domestic water in Swaziland as well as factors that affect this monetary value. The study used the Contingent Valuation Method (CVM) to evaluate improvements in domestic water quality and quantity, based on households’ perception of domestic water in Swaziland. The method involved an analysis of the factors determining households’ WTP for improved domestic water quality, quantity and the health risk concern from using it. The project covered the eleven main towns of Swaziland with a sample taken from both the rural and urban areas of the towns. The results obtained indicated that the WTP for the domestic water quality and quantity improvements is small but significant. There were more households in the rural areas willing to pay for improvements in the quality (67%) of water than in the urban areas (20%). The same trend was observed for the willingness to pay for water quantity. Approximately 58% of households in the rural areas and 6% of households in the urban areas were willing to pay for increased water quantity. However, the rural households were willing to pay on average an amount of E6.44 for improved water quality per month, which was much lower than the average amount urban households were willing to pay (E16.40). In contrast households in the rural area were more willing to pay for increased quantities (E7.13) than households in the urban areas (E6.82), albeit the small difference between the figures. On average the rural households were consuming less water (0.92m3) per month than their urban counterparts (6.92m3). Rural household heads earned an average income of E1269.49 made up a per capita mean income of E200 . Urban households heads’ average income was E4830 and the per capita mean income was E1092.00. Moreover, the survey results show that people aware of health hazards brought about by using unhealthy water are inclined to conserve the water quality by paying a fee for it. Not all the households were willing to pay for improvements in water services. In the urban areas, these were households that were satisfied with the status of the water condition (94%). And in the rural areas these were households that could not afford to pay for improvements (42%). In the latter case, the households mainly use non-monetary transactions for the exchange of services and goods and have never paid for water services before. They believed that access to adequate water quality and quantity was a basic right that should be provided by the government. In addition they did not trust their local authorities and believed that if they were to pay for improve water services their money would not be used accordingly. / Dissertation (MSc (Agricultural Economics))--University of Pretoria, 2007. / Agricultural Economics, Extension and Rural Development / unrestricted

Doctor of Philosophy / Department of Agricultural Economics / Jason S. Bergtold / Jessica L. Heier Stamm / Applied research in agricultural economics often involves a discrete process. Most commonly, these applications entail a conceptual framework, such as random utility, that describes a discrete-variable data-generating process. Assumptions in the conceptual framework then imply a particular empirical model. Common approaches include the binary logit and probit models and the multinomial logit when more than two outcomes are possible. Conceptual frameworks based on a discrete choice process have also been used even when the dependent variable of interest is continuous. In any case, the standard models may not be well suited to the problem at hand, as a result of either the assumptions they require or the assumptions they impose. The general theme of this dissertation is to adopt seldom-used empirical models to standard research areas in the field through applied studies. A common motivation in each paper is to lessen the exposure to specification concerns associated with more traditional models. The first paper is an attempt to provide insights into what --- if any --- weather patterns farmers respond to with respect to cropping decisions. The study region is a subset of 11 north-central Kansas counties. Empirically, this study adopts a dynamic multinomial logit with random effects approach, which may be the first use of this model with respect to farmer land-use decisions. Results suggest that field-level land-use decisions are significantly influenced by past weather, at least up to ten years. Results also suggest, however, that that short-term deviations from the longer trend can also influence land-use decisions. The second paper proposes multiple-output artificial neural networks (ANNs) as an alternative to more traditional approaches to estimating a system of acreage-share equations. To assess their viability as an alternative to traditional estimation, ANN results are compared to a linear-in-explanatory variables and parameters heteroskedastic and time-wise autoregressive seemingly unrelated regression model. Specifically, the two approaches are compared with respect to model fit and acre elasticities. Results suggest that the ANN is a viable alternative to a simple traditional model that is misspecified, as it produced plausible acre-response elasticities and outperformed the traditional model in terms of model fit. The third paper proposes ANNs as an alternative to the traditional logit model for contingent valuation analysis. With the correct network specifications, ANNs can be viewed as a traditional logistic regression where the index function has been replaced by a flexible functional form. The paper presents methods for obtaining marginal effect and willingness-to-pay (WTP) measures from ANNs, which has not been provided by the existing literature. To assess the viability of this approach, it is compared with the traditional logit and probit models as well an additional semi-nonparametric estimator with respect to model fit, marginal effects, and WTP estimates. Results suggest ANNs are viable alternative and may be preferable if misspecification of the index function is a concern.

No description available.

A descriptive and critical account of the theory of valuation presented by C.I. Lewis in An Analysis of Knowledge and Valuation. Both the a priori and empirical basis for the theory are examined. The essential weakness of the theory lies in an inability to overcome some of the criticisms of the emotivists, especially in the concept of the ultimately valuable. Hence Lewis in unable, even, to present a view as plausible as the emotivists in that his theory of evaluation is, for all practical purposes, a tautology. In order to overcome this difficulty Lewis must hypostatize some non-empirical property or some imperative. However, Lewis has presented the most comprehensive and analytic defense of a naturalistic system since the appearance of Perry's Interest Theory. Many of the value concepts are analyzed showing the development and structure of Lewis' theory. / Arts, Faculty of / Philosophy, Department of / Graduate

The Real Property Tax requires a major outlay of funds by most property and non-property owners. Property owners are directly affected by the tax, in that they pay the taxes to the taxing authorities, while the non-property owners are indirectly affected as the property tax paid by the owners is reflected in the rents which the non-property owners pay. Because of the magnitude of the property tax as a proportion of the property owners net income or disposable income, the individuals right or obligation of an equal portion of the tax burden should be upheld. The portion of the total tax burden for which a property taxpayer is responsible, is determined by the "actual value" of his real property, subject to legislative exemptions and reliefs. To ascertain the degree of the equality of the tax burden a sample of 1632 properties was obtained consisting of seven different land uses from eight-municipalities located within the Greater Vancouver area. For each property in the sample the adjusted selling price, assessed value of land and improvements for municipal and school purposes, and the net taxes payable were obtained. To furnish the reader with some insight as to the causes of possible tax inequalities between municipalities, land uses, or price categories within municipalities, calculations measuring the degree of assessment uniformity and equality were executed. The findings of this thesis give evidence that the tax burden between municipalities, land uses and price categories within municipalities are not equally distributed as the concept of equality was defined. Further, it was discovered that these inequalities were, in part, due to the occurrance of unacceptable levels of assessment inequality and ununiformity. / Business, Sauder School of / Graduate

The aim of this thesis is to estimate the investment value of the company Klatovské rybářství a. s. for the needs of its owner to the date 1.1.2015. The thesis is divided into four parts. Introductory chapter describes basic information about the company. Following strategic analysis specifics relevant market, occupies with microenvironment, makroenvironment and SWOT analysis. The strategic and financial analysis of the company answer the question of whether the company meets the going concern. Based on the analysis of the company is selected liquidation value. Accounting value was selected as a control method of valuation.

The aim of the diploma thesis is to evaluate a portfolio of Krušovice trademarks which is part of a wider trademark portfolio of the Czech beer producer Heineken Česká republika, Ltd. At first, a portfolio of Krušovice trademarks needs to be identified and selected. Secondly, it is essential to carefully choose method for valuation based on the importance and significance of trademark portfolio for the company. Two income methods will be used for valuation of Krušovice trademarks. Consequently, value of all intangible assets of Heineken is determined and the share of Krušovice trademarks on the total intangible assets of Heineken is discussed.

The aim of the graduate work is to identify the specifics of valuation of television companies. The research was conducted on the example of a company FTV Prima, spol. s.r.o. Firstly a detailed financial and strategic analysis has been made with an emphasis not only on the selected company, but also for the entire industry. Then was prepared a package of conclusions and recommendations regarding the valuation of television companies. The last chapter is a brief overview of the identified specifics that should introduce an evaluator to the substance of this issue, prior to the start of valuation work. The work contains a scheme of work with specific television value drivers.