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Abc-Modell eines Ponzi-Systems
Parodi, Bernhard R. - Volkswirtschaftliche Fakultät, … - 2013
Ein analytisches Modell mit acht Parametern zur Beschreibung idealisierter Ponzi-Systeme mit asymmetrisch und progressiv wachsenden Kapitalzu- und -abflüssen wird präsentiert. Investoren bleiben optional zeitlich begrenzt oder dauerhaft investiert. Diverse Systemvarianten inklusive deren...
Persistent link: https://www.econbiz.de/10011110795
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Optimal option pricing and trading: a new theory
Moawia, Alghalith - Volkswirtschaftliche Fakultät, … - 2009
We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.
Persistent link: https://www.econbiz.de/10008633352
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Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management
Jackwerth, Jens Carsten; Hodder, James E. - Volkswirtschaftliche Fakultät, … - 2008
We model a firm’s value process controlled by a manager maximizing expected utility from restricted shares and employee stock options. The manager also dynamically controls allocation of his outside wealth. We explore interactions between those controls as he partially hedges his exposure to...
Persistent link: https://www.econbiz.de/10005837504
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Revisting the Rate of Change
Khumalo, Bhekuzulu - Volkswirtschaftliche Fakultät, … - 2009
The Mean Value Theorem is a great theory and guide for any body who deals with the rate of change. This paper aims to add something to the theory. Even a small addition is better than none, only time will tell the significance of the addition.
Persistent link: https://www.econbiz.de/10005035012
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Revisiting the Derivative: Implications on the Rate of Change Analysis
Khumalo, Bhekuzulu - Volkswirtschaftliche Fakultät, … - 2009
The aim of this paper is to raise concerns with the mathematical concept of the derivative as we know it. It raises … easily understood. The paper looks at linear and polynomial functions to illustrate that the derivative is not as precise as … simple derivative. It is the nature of polynomial functions that lead to the derivative not to be accurate and this paper …
Persistent link: https://www.econbiz.de/10005621634
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Optimal option pricing and trading: a new theory
Moawia, Alghalith - Volkswirtschaftliche Fakultät, … - 2009
We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.
Persistent link: https://www.econbiz.de/10008685171
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The variance-minimizing hedge with put options
Bell, Peter N - Volkswirtschaftliche Fakultät, … - 2014
Certain commodity producers face uncertain output and price, but can trade financial derivatives on price. I consider how best to use a put option on price. I introduce the variance surface, which is a data visualization technique that shows the level of variance across a grid of values for the...
Persistent link: https://www.econbiz.de/10011274382
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Returns to tail hedging
Bell, Peter N - Volkswirtschaftliche Fakultät, … - 2015
Tail hedging is a portfolio management strategy meant to reduce the risk of large losses. For an investor who holds a stock market index fund, the strategy entails buying out of the money put options on the index. Research suggests the strategy works well in practice and I explore the returns to...
Persistent link: https://www.econbiz.de/10011274394
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Mineral exploration as a game of chance
Bell, Peter N - Volkswirtschaftliche Fakultät, … - 2015
simulation experiment. …
Persistent link: https://www.econbiz.de/10011274395
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On the optimal use of put options under trade restrictions
Bell, Peter N - Volkswirtschaftliche Fakultät, … - 2014
simulation to compare the optimal quantity when the agent maximizes mean-variance utility or Value at Risk over wealth at option …
Persistent link: https://www.econbiz.de/10011274398