Author: Alexandra E. MacKayPublisher:
ISBN:
Category :
Languages : en
Pages : 22
Book Description
Estimating Valuation Operators in Incomplete Markets with Noises
Author: Alexandra E. MacKayValuation Operators in Incomplete Markets
Author: Alexandra E. MackayPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper addresses the issue of term structure estimation when theory indicates there is a multiplicity of discount vectors, and, due to noisy price data, empirically not even one of the multiplicities can be found. We examine the question of how to find pricing bounds in such a situation and develop a general pricing methodology which can be used. This general pricing framework specifically addresses the issue of the theoretical existence of a multiplicity of discount vectors. The new methodology is linked to the more traditional pricing methodology, regression techniques. This work is closely related to that of Hansen and Jagannathan (1991, 1994), and to the literature which has developed from their work. The question of how to estimate stochastic discount factors in complete markets where observed prices allow arbitrage has been overlooked. We consider this in the context of the market for fixed income securities, and show how it can be used to price bonds. Recent empirical studies in the US market have concluded that there is a puzzle in the pricing of options implicit in callable bonds. These studies find that the implicit option has a negative value. Preliminary evidence from Canadian market studies concludes that the option implicit in extendible bonds also has a negative price. This paper will attempt to put the puzzle in a broader perspective. The pricing puzzle of options implicit in callable and extendible bonds may well prove to be a case in point where the new methodology can lead the way to a puzzle solution. Brief consideration is given to possible extensions of this research.
Valuation Problems in Incomplete Markets
Author: Simon MacNairPricing Derivative Securities
Author: Eliezer Z. PrismanPublisher: Academic Press
ISBN: 9780125649155
Category : Business & Economics
Languages : en
Pages : 788
Book Description
CD-ROM contains: MAPLE student version 5.0; online version of text; MATLAB GUI; IDEAL software (embedded in online text).
From Utility Maximization to Arbitrage Pricing, and Back
Author: Alexandra E. MacKayBusiness Valuation
Author: Manfred Jürgen MatschkePublisher: UTB
ISBN: 3825255204
Category : Business & Economics
Languages : en
Pages : 400
Book Description
And assigns them to the relevant function of business valuation. Breaking down business valuation into three stages is a major step toward improving the transparency of the process. The steps introduced in this book are 1. Determination of relevant data acquisition, 2. Transformation of relevant data in a value, 3. Use of the determined value. A key aspect of this textbook is its analysis of the valuation process from the perspective of both buyer and seller. Ultimately, the book will present readers with the key principles of functional business valuation, which if it had been applied more widely, the authors argue, could have mitigated the severity of at least some recent financial crises. The book offers students, researchers, and practitioners interested in or involved in valuation clearly formulated learning goals and selected control questions. The systematic concept outlined also makes the book very well suited for self-study.
Asset Valuation and Optimal Portfolio Choice in Incomplete Markets
Author: Hans Marius HoltanThe Economics of Business Valuation
Author: Patrick AndersonPublisher: Stanford University Press
ISBN: 0804783225
Category : Business & Economics
Languages : en
Pages : 441
Book Description
For decades, the market, asset, and income approaches to business valuation have taken center stage in the assessment of the firm. This book brings to light an expanded valuation toolkit, consisting of nine well-defined valuation principles hailing from the fields of economics, finance, accounting, taxation, and management. It ultimately argues that the "value functional" approach to business valuation avoids most of the shortcomings of its competitors, and more correctly matches the actual motivations and information set held by stakeholders. Much of what we know about corporate finance and mathematical finance derives from a narrow subset of firms: publicly traded corporations. The value functional approach can be readily applied to both large firms and companies that do not issue publicly traded stocks and bonds, cannot borrow without constraints, and often rely upon entrepreneurs to both finance and manage their operations. With historical side notes from an international set of sources and real-world exemplars that run throughout the text, this book is a future-facing resource for scholars in economics and finance, as well as the academically minded valuation practitioner.
Market Consistent and Sub-Consistent Valuations in Incomplete Markets
Author: Hirbod AssaPublisher:
ISBN:
Category :
Languages : en
Pages : 41
Book Description
From January 2016, all insurance companies that are regulated within Solvency II framework will have to value their asset and liabilities using a market-consistent method. This paper studies market-consistent and sub-consistent valuations in incomplete financial markets with two types (type I and II) of market consistency. While market consistency of type I holds under fairly weak assumptions, the type II consistency, which is the usual definition of market consistency in the literature, holds only if the market prices are linear for fully hedged assets. We also characterize the market consistent and sub-consistent evaluators in several different ways. We discuss how market-consistent and sub-consistent valuations can be regarded as a robust approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions.
Peter Carr Gedenkschrift: Research Advances In Mathematical Finance
Author: Robert A JarrowPublisher: World Scientific
ISBN: 9811280312
Category : Business & Economics
Languages : en
Pages : 866
Book Description
This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.