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Anwendungsorientierte Grundlagenforschung und produktorientierte Anwendungsforschung als Spekulationsgeschäft - ein Anwendungsfall für die Optionspreistheorie
Schultheiß, Rainer - 2000
Die Arbeit hat das Ziel, die ursprünglich rein kapitalmarkttheoretisch ausgelegte Optionspreistheorie für das … den Leitlinien der Optionspreistheorie folgen.Mit einer auf die 16 führenden Pharmaunternehmen bezogenen empirischen … Basic Research and Applied Research increasingly enter the spotlight of R&D Management theory. Although this branch of …
Persistent link: https://www.econbiz.de/10009467496
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Portfolio optimization with risk constraints
Gandy, Ralf - 2005
In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...
Persistent link: https://www.econbiz.de/10009462193
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Estimation of the parameters of stochastic differential equations
Jeisman, Joseph Ian - 2006
Stochastic di®erential equations (SDEs) are　central to much of modern finance theory and have been widely used to model …
Persistent link: https://www.econbiz.de/10009437988
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Specification Analysis of Continuous Time Models in Finance
Gallant, A. Ronald; Tauchen, George - 1995
describes the use of the Gallant-Tauchen efficient method of moments (EMM) technique for diagnostic checking of stochastic differential equations (SDEs) estimated from financial market data. The EMM technique is a simulation-based method that uses the score function of an auxiliary model as the...
Persistent link: https://www.econbiz.de/10009475564
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Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations
Hurn, Aubrey; Jeisman, Joseph; Lindsay, Kenneth - 2007
Maximum-likelihood estimates of the parameters of stochastic differential equations are consistent and asymptotically efficient, but unfortunately difficult to obtain if a closed-form expression for the transitional probability density function of the process is not available. As a result, a...
Persistent link: https://www.econbiz.de/10009483276
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Graphical models for associations between variables, some of which are quantitative and some qualitative
Lauritzen, Steffen L.; Wermuth, N. - 1989
statistical theory is especially simple. All models can be represented by a graph with one vertex for each variable. The vertices …
Persistent link: https://www.econbiz.de/10009441395
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Hedging Effectiveness Around U.S. Department of Agriculture Crop Reports
McKenzie, Andrew M.; Singh, Navinderpal - 2011
, Tennessee). Various risk measures, including ‘‘Value at Risk,’’ are used to determine hedging effectiveness, and ‘‘Analysis of … Variance’’ is used to uncover the underlying factors that contribute to hedging effectiveness. …
Persistent link: https://www.econbiz.de/10009443784
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The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange
Cotter, John; McKillop, Donal G. - 2000
This study examines the distributional properties of futures prices for contracts traded on LIFFE. A filtering process is employed to remove day of the week and holiday effects, a maturity effect, moving average effects and the influence of an asset's conditional variance from the raw returns...
Persistent link: https://www.econbiz.de/10009475643
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Absolute return volatility
Cotter, John - 2006
Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a univariate or multivariate framework. To illustrate,...
Persistent link: https://www.econbiz.de/10009475685
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Uncovering volatility dynamics in daily REIT returns
Cotter, John; Stevenson, Simon - 2007
Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT) sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeling of daily REIT volatility.The paper examines the factors that...
Persistent link: https://www.econbiz.de/10009475702