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INFLATION IN A SHORT RUN MACROECONOMIC MODEL
Title
INFLATION IN A SHORT RUN MACROECONOMIC MODEL.
Creator
BLANKSTEEN, MERRILL BERNARD, Florida Atlantic University
Abstract/Description
This paper uses quarterly national accounts data, 1948 - 1971, to estimate a short run macroeconomic model incorporating inflationary expectations. An inflationary expectations series is generated using the Box-Jenkins method. The impact and cumulative multipliers of the model are computed and interpreted in terms of their application to theories on adjustment to expected inflation. The policy implications of the multipliers are also discussed.
Date Issued
1975
PURL
http://purl.flvc.org/fcla/dt/13705
Subject Headings
Inflation (Finance)--Mathematical models
Format
Document (PDF)
Revisiting the methodology and application of Value-at-Risk
Title
Revisiting the methodology and application of Value-at-Risk.
Creator
Chung, Kyong., Charles E. Schmidt College of Science, Department of Mathematical Sciences
Abstract/Description
The main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical...
Show moreThe main objective of this thesis is to simulate, evaluate and discuss three standard methodologies of calculating Value-at-Risk (VaR) : Historical simulation, the Variance-covariance method and Monte Carlo simulations. Historical simulation is the most common nonparametric method. The Variance-covariance and Monte Carlo simulations are widely used parametric methods. This thesis defines the three aforementioned VaR methodologies, and uses each to calculate 1-day VaR for a hypothetical portfolio through MATLAB simulations. The evaluation of the results shows that historical simulation yields the most reliable 1-day VaR for the hypothetical portfolio under extreme market conditions. Finally, this paper concludes with a suggestion for further studies : a heavy-tail distribution should be used in order to imporve the accuracy of the results for the two parametric methods used in this study.
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Date Issued
2012
PURL
http://purl.flvc.org/FAU/3358328
Subject Headings
Valuation, Econometric models, Prices, Econometric models, Financial risk management, Mathematical optimization, Finance, Mathematical models
Format
Document (PDF)
Asymmetric information in fads models in Lâevy markets
Title
Asymmetric information in fads models in Lâevy markets.
Creator
Buckley, Winston S., Florida Atlantic University, Charles E. Schmidt College of Science, Department of Mathematical Sciences
Abstract/Description
Fads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of...
Show moreFads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of stochastic calculus and optimization to obtain analogous results to those obtained in the purely continuous market. We approximate optimal portfolios and utilities using the instantaneous centralized and quasi-centralized moments of the stocks percentage returns. We also link the random portfolios of the investors, under asymmetric information to the purely deterministic optimal portfolio, under symmetric information.
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Date Issued
2009
PURL
http://purl.flvc.org/FAU/3337187
Subject Headings
Investments, Mathematical models, Capital market, Mathematical models, Finance, Mathematical models, Information theory in economics, Capital asset pricing model, Lâevy processes
Format
Document (PDF)
Simulation study on option pricing under jump diffusion models
Title
Simulation study on option pricing under jump diffusion models.
Creator
Rodrigues, Justin, Long, Hongwei, Charles E. Schmidt College of Science, Department of Mathematical Sciences
Abstract/Description
The main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We...
Show moreThe main objective of this thesis is to simulate, evaluate and discuss several methods for pricing European-style options. The Black-Scholes model has long been considered the standard method for pricing options. One of the downfalls of the Black-Scholes model is that it is strictly continuous and does not incorporate discrete jumps. This thesis will consider two alternate Levy models that include discretized jumps; The Merton Jump Diffusion and Kou's Double Exponential Jump Diffusion. We will use each of the three models to price real world stock data through software simulations and explore the results.Keywords: Levy Processes, Brownian motion, Option pricing, Simulation, Black-Scholes, Merton Jump Diffusion, Kou, Kou's Double Exponential Jump Diffusion.
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Date Issued
2013
PURL
http://purl.flvc.org/fau/fd/FA0004051
Subject Headings
Finance -- Mathematical models, Levy processes, Prices -- Econometric models, Statistical physics, Stochastic processes, Valuation -- Econometric models
Format
Document (PDF)
Risk dynamics, growth options, and financial leverage
Title
Risk dynamics, growth options, and financial leverage: evidence from mergers and acquisitions.
Creator
Coy, Jeffrey M., College of Business, Department of Finance
Abstract/Description
In essay I, I empirically examine theoretical inferences of real options models regarding the effects of business risk on the pricing of firms engaged in corporate control transactions. This study shows that the risk differential between the merging firms has a significant effect on the risk dynamic of bidding firms around control transactions and that the at-announcement risk dynamic is negatively related to that in the preannouncement period. In addition, the relative size of the target,...
Show moreIn essay I, I empirically examine theoretical inferences of real options models regarding the effects of business risk on the pricing of firms engaged in corporate control transactions. This study shows that the risk differential between the merging firms has a significant effect on the risk dynamic of bidding firms around control transactions and that the at-announcement risk dynamic is negatively related to that in the preannouncement period. In addition, the relative size of the target, the volatility of bidder cash flows, and the relative growth rate of the bidder have significant explanatory power in the cross-section of announcement returns to bidding firm shareholders as does the change in the cost of capital resulting from the transaction. Essay II provides an empirical analysis of a second set of real options models that theoretically examine the dynamics of financial risk around control transactions as well as the link between financial leverage and the probability of acquisition. In addition, I present a comparison of the financial risk dynamics of firms that choose an external growth strategy, through acquisition, and those that pursue an internal growth strategy through capital expenditures that are unrelated to acquisition.
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Date Issued
2013
PURL
http://purl.flvc.org/fcla/dt/3362323
Subject Headings
Consolidation and merger of corporations, Financial services industry, Mathematical models, Corporations, Finance, Financial risk management
Format
Document (PDF)