Market risk management of financial derivatives requires the efficient calculation of their price sensitivities with respect to changes in market factors. This paper shows how a deep feed-forward neural network which has been trained for pricing derivative instruments can be efficiently used to...

SimDec is a revolution in decision-making support. SimDec "teases out" inherent cause-and-effect relationships and reveals the intricacy of relationships between sets of input and output variables. At its core, SimDec is an amalgamation of uncertainty and global sensitivity analysis with an...

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

This study outlines the findings from a survey of 208 micro-enterprises (MEs) in Portugal, focusing on their corporate finance practices, including working capital management (WCM), financing and investment decisions, the adoption of accounting information systems (AIS) and the use of financial...

Investments in technology create a large amount of capital investments by major companies. Assessing such investment projects is identified as critical to the efficient assignment of resources. Viewing investment projects as real options, this paper expands a method for assessing technology...

This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm to approximate the firm's value function and optimal exercise boundary....

Recent economic crises like the 2008 financial tsunami has demonstrated a critical need for better understanding of the topologies and various economic, social, and technical mechanisms of the increasingly interconnected global financial system. Such a system largely relies on the...

In the present contribution, the innovative nonlinear state marginal price vector model introduced in Toll and Kintzel (CEJOR 27(4):1079–1105, 2019) (plus Errata herein) is enriched to include budgeting problems under agency conflicts. Under asymmetric information, a company owner as principal...

This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was...