Thesis (M. Soc. Sc.)--University of Hong Kong, 1993. / Includes bibliographical references (leaves 53-54).

Thesis (M.Soc.Sc.)--University of Hong Kong, 1993. / Includes bibliographical references (leaves 53-54) Also available in print.

by Chung Shek-wah Eric, Mok Tze-shan Teresa. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1990. / Bibliography: leaves 50-52. / ACKNOWLEDGEMENT --- p.ii / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- WARRANT PRELIMINARIES --- p.3 / Warrants 一一 Rights to Buy --- p.3 / History of Warrants in Hong Kong --- p.4 / Chapter III. --- LITERATURE REVIEW --- p.7 / Various Tests of OFF --- p.7 / Test of Robustness --- p.8 / Test of Unbiasedness --- p.8 / Test of Hedge Return Behavior --- p.9 / Test of Predictabi1ity --- p.9 / The Development of the Black-Scholes OPF --- p.11 / Chapter IV. --- METHODOLOGY --- p.14 / The Black-Scholes OPF and Its Underlying Assumptions --- p.16 / The Treatment of Dividend Payments and Ear1y Exercise --- p.17 / Data Collection- --- p.20 / Chapter V. --- FINDINGS --- p.29 / Results from the Original Data Group with 40 Warrants --- p.33 / Results from the Second Data Group with 34 Warrants --- p.35 / Chapter VI. --- CONCLUDING COMMENTS --- p.38 / APPENDIX --- p.40 / BIBLIOGRAPHY --- p.50

Thesis (doctoral)--Universität Breslau.

published_or_final_version / Applied Statistics / Master / Master of Social Sciences

Thesis (Ph. D.)--Drexel University, 2007. / Includes abstract and vita. Includes bibliographical references (leaves 78-83).

En este trabajo se interrelacionan analizan las alternativas existentes en el mercado comercial, spot, con el mercado financiero de futuros y opciones y la posibilidad del endeudamiento con garantías reales, Warrants. Todo ello bajo el régimen de interés continuo y la comparación de valores. en dos momentos diferentes del tiempo, según el modo desarrollado por Irwing Fisher conocido como "Efecto Fisher". Se inicia con el marco teórico: características del sector, del mercado de productos agrícolas spot y futuros y opciones. Luego conceptos de análisis del valor del dinero en el tiempo, del efecto Fisher y de la operatoria de Warrants para finalizar con el planteo y desarrollo de un caso particular. Todo dentro del marco operacional que el actual ordenamiento comercial y financiero, en general, y del sector agrícola en particular, ofrece al productor agropecuario - utilizando las herramientas de resguardo de precios y reducción de costos financieros - para que pueda tratar de realizar de su producción en el momento de mejores precios. Como premisa de desarrollo se ha considerado que el productor necesita - para financiar sus gastos y demás erogaciones - el dinero que obtendría al vender su producción al momento de su cosecha pero, teniendo una visión alcista del mercado, decide retener la producción y por lo tanto , endeudarse. Todo sucede en un marco de riesgo pues el productor no tiene incidencia alguna en la determinación de la cuantia de las variables financieras y comerciales - costos operativos, tasa de interés y precios - ni en sus variaciones relativas sino que, en todos los casos, debe tomarlas del mercado. Pero al existir un mercado de futuros y opciones si conoce el precio, que al momento de su decisión, tiene su producción en el futuro. De esta manera, y hasta aquí, es posible que pueda tomar una conducta tendiente a neutralizar el riesgo precios. Hasta aquí incurre en dos tipos de costos: I) erogables: el interés que paga por su endeudamiento más los gastos propios de operar enel mercado financiero agrario de futuros y opciones y II) por otra un costo de oportunidad; el cual está dado por la pérdida de ganancia que hubiere realizado su producción. Pero, por otra parte, el mercado fiananciero ofrece la posibilidad de operar con su propia producción en el marco de la ley de Warrants. Obviamente que incurrirá en un nuevo costo erogable: la operatoria del Warrant. Al ser posible constituir un Warrant sobre bienes de su propia producción puede ofrecer la misma en garantía y así, al correlacionarse en forma directa "riesgo y "costo", al reducir el riesgo podrá reducir la cuantía de la tasa de interés. Cabe destacar que en la República Argentina la operatoria bajo la forma de Warrants data del año 1878, la Ley que lo ordena lleva el lnúmero 928; luego fue modificada por la Ley 9.643, sancionada el 30 de setiembre, promulgada el 15 de octubre y publicada en el Boletín Oficial el 20 de noviembre de 1914. / In this paper the existent alternatives in the commercial spot market with the financial market of futures and options, and the possibility of leverage with current collateral and warrants are analysed and related. All of this under the rules of continuing interest and the comparison of values in two different instants of time, according to the way developed by Irving Fisher, known as "Fisher effect". It starting with the theoretical frame: characteristics of the section, of the spot, future and option market of agrucultural products. Then concepts of: analysis of time money value; Fisher's effect and the operatory of warrants in order to finish wit the development of a particular case. Within the operational framework with the actual commercial an financial arranging, in general, and the agricultural sector in particular ; offers to the agricultural productor, - using the tools as a way of hedge the risk price and reduction financial cost- in order to try to realize his production on time at the best price. As an indication of development the agricultural productor needs are considered - to solve his expenditures and costs- the money that the productor obtain for selling his production at the miment of the harvest but having a bull vision of the market, he decides to retain the production, and as result, he gets debt. All this happens in a frame of risk, the agriculture productor do not have any incidence in the financial and commercial issues-nor operatives cost, interest and prices- or in his relative avariations but the market should take. But exists a future and options marketm if the price is known at the decision moment, he will have his production in the future. So for all the things mentioned above having a good decision to neutralize the risk prize. Until here it showx two types of cost 1) financial: the interest that he payys for take debt plus the cost in order to operate in the future market of commodities and 2) economic: on the other hand the opportunity cost for the lost benefit that he would have obtained for the holding, But on the other hand, the financial market offers the possibility of operating with its ow production under the law of warrants. Obviously that it will become in a new financial cost: the warrant operatory. By using a warrant over possession of his owns production it can offer the same warranty, and there will be a direct correlation between risk and cost; by reducing the risk it can reduce the quantity of interest rate. To point out, it can be said tht in Argentine the warrant operatory is used insce 1878, the law is number928, and its modification is by law 9643, on September 30 and promulgated on October 15, and published at the official bulletin on November 20, 1914.

by Chau Wing Hang, Amy, Tsang Tsz Hung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaf 83). / ABSTRACT --- p.i / TABLE OF CONTENTS --- p.v / ACKNOWLEDGMENTS --- p.viii / Chapter / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 1.1 --- Objective of Study --- p.1 / Chapter 1.2 --- Scope of Study --- p.1 / Chapter 1.3 --- Background on Warrant and Covered Warrant --- p.2 / Chapter 1.3.1 --- What is Warrant and Covered Warrant? --- p.2 / Chapter 1.3.2 --- Convertible Concept --- p.3 / Chapter 1.3.3 --- Purposes of Issue --- p.4 / Chapter 1.3.4 --- Dilution Effect --- p.6 / Chapter 1.3.5 --- Valuation of Warrant/Covered Warrant --- p.7 / Chapter 1.4 --- Warrant/Covered Warrant Market in Hong Kong --- p.8 / Chapter 1.4.1 --- Expiry --- p.9 / Chapter 1.4.2 --- Forms of Issue --- p.10 / Chapter 1.4.3 --- Trading Forums --- p.11 / Chapter 1.4.4 --- Underlying Securities --- p.12 / Chapter 2. --- LITERATURE REVIEW --- p.13 / Chapter 2.1 --- Binomial Tree Model --- p.13 / Chapter 2.2 --- Black-Scholes Model --- p.16 / Chapter 3. --- METHODOLOGY --- p.18 / Chapter 3.1 --- Working Procedures --- p.19 / Chapter 3.2 --- Samples --- p.20 / Chapter 3.3 --- Data Collection --- p.22 / Chapter 3.4 --- Computation of Theoretical Prices --- p.24 / Chapter 3.5 --- Black's Approximation --- p.25 / Chapter 3.6 --- Fair Value --- p.27 / Chapter 3.6.1 --- Option Pricing Models --- p.27 / Chapter 3.6.2 --- Comparison between P tw bt and P tw ba --- p.28 / Chapter 3.6.3 --- Result of Comparison --- p.29 / Chapter 3.6.3.1 --- Results on Hypothesis Testing --- p.29 / Chapter 3.6.3.2 --- Results on Regressional Analysis --- p.30 / Chapter 3.6.4 --- Justification --- p.32 / Chapter 3.7 --- Hypothesis Testing --- p.34 / Chapter 3.8 --- Assumptions In Our Study --- p.34 / Chapter 4. --- FINDINGS --- p.36 / Chapter 4.1 --- Calculation with 250-day Historical Volatility --- p.36 / Chapter 4.1.1 --- First Sub-period (Sep 1，94 - Feb 28，95) --- p.36 / Chapter 4.1.2 --- "Second Sub-period (Mar 1,95-Aug 31,95)" --- p.37 / Chapter 4.1.3 --- "Whole Study Period (Sep 1, 94-Aug 31,95)" --- p.37 / Chapter 4.2 --- Calculation with 63-day Historical Volatility --- p.39 / Chapter 4.2.1 --- "First Sub-period (Sep 1, 94 - Feb 28，95)" --- p.39 / Chapter 4.2.2 --- "Second Sub-period (Mar 1, 95 - Aug 31,95)" --- p.39 / Chapter 4.2.3 --- "Whole Study Period (Sep 1,94-Aug 31，95)" --- p.40 / Chapter 5. --- CONCLUSION AND COMMENTS --- p.41 / Chapter 5.1 --- General Comments --- p.41 / Chapter 5.2 --- Volatility --- p.42 / Chapter 5.3 --- Expectations --- p.44 / Chapter 5.4 --- Transaction Costs --- p.45 / Chapter 6. --- LIMITATIONS OF STUDY --- p.46 / APPENDIX --- p.47 / Chapter 1 --- List of Covered Warrants / Chapter 2 --- Historical Volatility Calculation of Ordinary Stock Example : New World Development Co. Ltd “017´ح / Chapter 3 --- "Black's Approximation Calculation and Hypothesis Testing Example : Morgan S - NWD War 96 ""1036""" / Chapter 4 --- "Comparison between P tw bt and P twBA Example : SG War - HKTEL War 95 ""1098"" Morgan S- NWD War 96 ""1036"" Swiss B - HLAMD War 95 “344""" / Chapter 5 --- Results on 250-Day Historical Volatility / Chapter 6 --- Results on 63-Day Historical Volatility / Chapter 7 --- "Chart - Pw vs Ptw BA Example : Morgan S - NWD War 96 “1036´ح Swiss B - HLAND War 95 ""344""" / Chapter 8 --- "Chart - Historical Volatility Example : New World Development Co. Ltd. “017´ح HSBC Holdings plc. ""005""" / BIBLIOGRAPHY --- p.83

by Ho Ka-Hon, Lai Chun-Yin Antony. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 48-50). / ABSTRACT --- p.II / TABLE OF CONTENT --- p.IV / LIST OF TABLES --- p.VI / ACKNOWLEGEMENT --- p.VII / Chapter 1. --- INTRODUCTION --- p.1 / Chapter 2. --- WARRANT MARKET IN HONG KONG --- p.2 / Chapter 2.1 --- Features of Options --- p.2 / Chapter 2.2 --- Derivative Securities Listed on the Hong Kong Stock Exchange --- p.3 / Chapter 2.3 --- Discussion on Covered Warrants in SEHK --- p.4 / Chapter 2.4 --- Hedging Strategies of Covered Warrants Issuers --- p.6 / Chapter 2.5 --- Regulatory Environment of Derivative Warrants --- p.6 / Chapter 3. --- WARRANT VALUATION --- p.9 / Chapter 3.1 --- Factors Affecting Warrant Price --- p.9 / Chapter 3.2 --- Put-Call Parity --- p.10 / Chapter 3.3 --- Black-Scholes Model --- p.11 / Chapter 3.4 --- Absolute Diffusion Model --- p.12 / Chapter 1.5 --- Square-Root CEV Model --- p.13 / Chapter 4. --- LITERATURE REVIEW --- p.15 / Chapter 5. --- DATA AND METHODOLOGY --- p.19 / Chapter 5.1 --- Sample Data --- p.19 / Chapter 5.2 --- Measure the Performance of Warrant Pricing Models --- p.21 / Chapter 5.3 --- Data Enhancement --- p.23 / Chapter 5.4 --- Explanatory Factors of the Pricing Errors --- p.25 / Chapter 6. --- DATA ANALYSIS --- p.27 / Chapter 6.1 --- Performance of Black-Scholes Model --- p.27 / Chapter 6.1.1 --- Data Enhancement --- p.28 / Chapter 6.1.2 --- Other Observations --- p.30 / Chapter 6.2 --- Performance of Absolute Diffusion Model --- p.31 / Chapter 6.2.1 --- Data Enhancement --- p.32 / Chapter 6.2.2 --- Other Observations --- p.34 / Chapter 6.3 --- Performance of Square Root CEV Model --- p.35 / Chapter 6.3.1 --- Data Enhancement --- p.35 / Chapter 6.3.2 --- Other Observations --- p.37 / Chapter 6.4 --- Comparison between the Warrant Pricing Models --- p.38 / Chapter 6.5 --- The Performance in Blue Chip Warrants and Red Chip Warrants --- p.40 / Chapter 6.6 --- Factors Affecting the Pricing Errors --- p.41 / Chapter 6.7 --- Comparison with Other Studies --- p.43 / Chapter 7. --- CONCLUSION --- p.46 / REFERENCE --- p.48

Thesis (M.B.A.)--University of Hong Kong, 1998. / Includes bibliographical references (leaf 40-41).