Thesis (Ph.D.)--Hong Kong University of Science and Technology, 2007. / Includes bibliographical references. Also available in electronic version.

[by] Franco Modigliani, Gerald A. Pogue and Bruno H. Solnik. / Bibliography: leaf 19-20.

The standard Black-Scholes model is under the assumption of geometric Brownian motion, and the log-returns for Black-Scholes model are independent and Gaussian. However, most of the recent literature on the statistical properties of the log-returns makes this hypothesis not always consistent. One of the ongoing research topics is to nd a better nancial pricing model instead of the Black-Scholes model. In the present work, we concentrate on two typical 1-D option pricing models under the general exponential L evy processes, namely the nite moment log-stable (FMLS) model and the the Carr-Geman-Madan-Yor-eta (CGMYe) model, and we also propose a multivariate CGMYe model. Both the frameworks, and the numerical estimations and simulations are studied in this thesis. In the future work, we shall continue to study the fractional partial di erential equations (FPDEs) of the nancial models, and seek for the e cient numerical algorithms of the American pricing problems. Keywords: fractional partial di erential equation; option pricing models; exponential L evy process; approximate solution.

M.Com. (Finance and Investment Management) / The latest financial crisis that began in 2007 in the USA and spread to Europe, Africa and other continents has highlighted the importance of liquidity and its role in financial markets. One of the most commonly accepted mathematical models used in financial markets is the Black and Scholes option pricing model (BSM model). The assumptions in the BSM model have again been questioned during the current crisis and, in particular, the assumption of an unending risk-free supply of liquidity. This report reviews this assumption in the South African financial markets with local market participants. These views are polled through the use of a questionnaire to gauge these participants' views on liquidity using proxies or factors that impact overall liquidity. The results showed significantly different perspectives depending on the role of the participant as either market maker or price taker. The overall liquidity proxies used showed that local market participants believe these proxies impact liquidity. The view that liquidity is an unending commodity and thus priced as riskless was disputed by local market participants. The practical significance of the research problem in the local context should provide local participants with some insight into local perceptions on liquidity that may provide some practical tools when pricing or trading instruments in the local market.

Submitted in accordance with the requirements for the degree of Master of Management in the subject Finance and investments at the University of Witwatersrand 2017 / Although many studies have been done to determine the relationship between financial development and cost of equity capital in various markets, few have focused on the African emerging and frontier markets. This research therefore investigates the relationship between financial development and cost of equity capital in the African Emerging and Frontier Markets. Stock market development and banking sector development are both used as proxies for financial development in this study whilst cost of equity is determined using CAPM. The study is based on five emerging and frontier markets (Egypt, Kenya, Morocco, Nigeria and South Africa). The research finds that both measures of stock market development (stock market capitalisation to GDP ratio and stock market liquidity/turnover to GDP ratio) tend to reduce cost of equity in the African emerging and frontier markets. In a similar fashion, the banking sector development was also found to be negatively related to cost of equity / MT 2018

Materiality is a pervasive accounting concept that has defied a precise quantitative definition. The Capital Asset Pricing Model (CAPM) approach to materiality provides a means for determining the limits that bound materiality. Also, the approach makes it possible to locate the point estimate within these limits based on certain assumptions. / Master of Science

No description available.

The purpose of this research is to examine the significance of a market factor, an industry factor, a company factor and a growth factor in explaining security returns. A secondary objective is to determine if interim financial statements--the balance sheet and the income statement--provide useful information in developing the return model. Market-related and industry-related systematic risks are constructed as surrogate measurements for the market and industry factors. The company factor is composed of one accounting return measure (profitability) and five accounting risk measures (accounting beta, operating leverage, financial leverage, dividend covariability, and cash flow beta). These variables are included as individual regressors in the return model. Also, a company index (the first principal component) is constructed and tested for its significance in the four-factor return model. The compound growth rate in total assets measures the growth of individual companies. Quarterly accounting information is used to measure these company and growth variables, and their significance provides evidence supporting the usefulness of interim financial statements. A multiple regression analysis is employed to develop the return model. In addition to the market factor, an industry factor, components of the company factor (dividend covariability and profitability), and a growth factor are found to contribute significantly to estimation of the return model. The use of a company index in lieu of individual company variables, however, is not recommended for· developing the return model. Additionally, results indicate that the market model provides the best surrogate measure of the market factor, and Line of Business information is recommended for classifying companies into industry groups. Major limitations of the study are (i) a self-selection bias of companies for the sample; (ii) measurement errors in interim financial statement data due to accounting allocations; (iii) seasonality of quarterly accounting information; (iv) use of average regression statistics in determining the best return model; (v) a limited number of regression models examined; and (vi) multicollinearity. These may limit the generalizability of the findings beyond the sample data and the interpretation of relationship between security return and its potential determinants. / Ph. D.

Alternative food networks (AFNs) are the focus of an ‘explosive growth’ of research in Europe (Goodman 2004), and the term covers a wide range of activities, from food banks, community gardens, and farmers’ markets, to community supported or organic agriculture. However, there is an impasse in differing positions over whether AFNs represent an exclusionary place-based ‘quality turn’ (Ilbery and Kneafsey 2000), or whether they contribute to inclusive local communities, sustainability and food security (Tregear 2011, Kirwan and Maye 2013). This research aimed to clarify these debates, through exploration of UK allotments as a benchmark for AFNs, using the case of Plymouth, SW England. A political ecology perspective of social-ecological systems (Ostrom 2008) was used to investigate the activities, relations and governance involved in allotments and AFNs, organised through the concepts of multidimensional capital assets (Bebbington 1999). This research demonstrates how activities on allotments involve human, social, cultural, natural and political capital assets, encompassing both basic food security and a quality turn towards ‘good food’ (Sage 2003). Taking the long view, it is seen that the relative importance of the different asset dimensions are contingent on wider socio-political settings. Relations on allotments illustrate the building of social capital, which extends to wider communities of interest, practice and place (Harrington et al. 2008), and which involves values of social justice that can be explained as diverse or care economies (Gibson-Graham 2008, Dowler et al. 2010). However, the politics and governance of allotments are largely influenced by neoliberal policies that favour oligopolistic and transnational food systems and restrict urban land allocations for place-based food initiatives. Present-day urban population densities are at levels far higher than envisaged for the original garden cities. Nevertheless, alliances at neighbourhood, city, regional, national and transnational scales are coalescing around the values represented in the original setting up of the UK allotment system: of self-reliance, human-scale settlements and the restorative value of the natural environment. Any realization of the potential contribution of allotments and AFNs to the sustainability and resilience of food supplies for urban populations (Armitage et al. 2008, Folke et al. 2010) ultimately depends on multilevel responses to a large range of challenges. Finally, the thesis contends that, in the present day, evidence is building up around the potential of allotments and many other AFN activities, or place-based food systems, to meet multiple policy objectives through aligned values.

published_or_final_version / Business Administration / Master / Master of Business Administration