This paper proposes a simulation-lattice procedure to estimate financial risk measures for option positions. The framework proposed can be applied to many different kinds of options, including exotic and vanilla options; it can take account of early exercise features; heavy tails in underlying...

Recent empirical studies have demonstrated that behaviour of interest rate processes can be better explained if standard diffusion processes are augmented with jumps in the interest rate process. In this paper we examine the performance of both linear and non-linear one factor CKLS model in the...

In this paper the extended Box Method recently introduced to finance is used to value bond and option prices based on the two-factor CKLS interest rate model. The two-factor CKLS model is estimated using the one-year Eurodollar rate for the UK as the long rate and either the one-week, or...

In takeovers bidders offer a premium to target firm shareholders but the determinants of such premium are not clearly identified. Among the factors previously examined in the literature are prior target undervaluation, expected synergy and overpayment due to behavioural biases like hubris. In...

Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper addresses this issue by examining alternative approaches based on exponential and power utility...

Purpose – The aim of this paper is to discuss intellectual capital (IC) from a valuation perspective and examine the nature of such capital and why traditional valuation methods fail to reflect the unique characteristics of IC and propose an alternative approach that captures them....

In this note we extend the Gaussian estimation of two factor CKLS and CIR models recently considered in Nowman, K. B. (2001, Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom, Asia Pacif. Financ. Markets 8, 23–34) to...

We present a subclass of Langetieg's (1980) linear Gaussian models of the term structure. The bond price is derived in terms of a finite set of state variables with correlated innovations. The subclass contains a reformulation of the double decay model of Beaglehole and Tenney (1991), enabling...