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Stochastic Simulation and Applications in Finance with MATLAB Programs
Stochastic Simulation and Applications in Finance with MATLAB Programs explains the fundamentals of Monte Carlo simulation techniques, their use in the numerical resolution of stochastic differential equations and their current applications in finance. Building on an integrated approach, it provides a pedagogical treatment of the need-to-know materials in risk management and financial engineering. The book takes readers through the basic concepts, covering the most recent research and problems in the area, including: the quadratic re-sampling technique, the Least Squared Method, the dynamic programming and Stratified State Aggregation technique to price American options, the extreme value si...
Project Financed Investments, Debt Maturity and Credit Insurance
This paper studies the impact of credit insurance on both investment and financing decisions of project financed companies. Although, financial guarantees have been portrayed in the extant literature as tools for credit insurance to foster investments, there are other implications for the use of these guarantees, especially for project finance requiring huge amounts of investment. We find that under the value maximizing paradigm, the presence of credit insurance can exacerbate the under-investment problem. We also discuss the effects of guarantee subsidy, agency costs and risk on project investment incentives. Finally, our framework establishes a relationship between the project debt maturity and its investment incentives.
Research in Finance
Contains contributions on important topics in finance research. This volume includes topics such as the impact of reform in corporate governance, the stock price reactions to the joint venture announcements, the temperature, and the financial signals, the incentive effects in project finance with government financial guarantees, and more.
Optimal Control of Credit Risk
Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization. The monograph is organized as follows: Chapter 1 reviews the main a...
Advances in Pacific Basin Business, Economics and Finance
Advances in Pacific Basin Business, Economics, and Finance is an annual publication designed to focus on interdisciplinary research in finance, economics, and management among Pacific Rim countries.
The Land of Too Much
Monica Prasad’s powerful demand-side hypothesis addresses three questions: Why does the United States have more poverty than any other developed country? Why did it experience an attack on state intervention in the 1980s, known today as the neoliberal revolution? And why did it recently suffer the greatest economic meltdown in seventy-five years?
Real Options and Investment Under Uncertainty
The study of investment under uncertainty was stagnant for several decades until developments in real options revitalized the field. The topics covered in this book include the reasons behind the under-investment programme.
