Stable Laws And The Present Value Of Fixed Cash Flows
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Author | : Marc Goovaerts |
Publisher | : |
Total Pages | : 20 |
Release | : 2006 |
Genre | : |
ISBN | : |
In the current contribution, we consider the present value of a series of fixed cash flows under stochastic interest rates. In order to model these interest rates, we don't use the common lognormal model, but stable laws, which better fit in with reality. For this present value, we want to derive a result about the distribution function. However, due to the dependencies between successive discounted payments, the calculation of an exact analytical distribution for the present value is impossible. Therefore, use is made of the methodology of comonotonic variables and the convex ordering of risks, introduced by the same authors in some previous papers. The present paper starts with a brief overview of properties and qualities of stable laws, and of the possible application of the concept of convex ordering to sums of risks - which is also the situation for a present value of future payments. Afterwards, it is shown how for the present value under investigation an approximation in the form of a convex upper bound can be derived. This upper bound has an easier structure than the original present value, and we derive elegant calculation formulas for the distribution of this bound. Finally, we provide some numerical examples, which illustrate the precision of the approximation. Due to the design of the present value and due to the construction of the upper bound, these illustrations show great promise concerning the accuracy of the approximation.
Author | : Solveig Glomsrød |
Publisher | : Routledge |
Total Pages | : 212 |
Release | : 2017-05-15 |
Genre | : Business & Economics |
ISBN | : 1351911562 |
This book addresses the challenges facing stable democratic states in dealing with oil companies in order to secure general welfare gains. Political stability means that such states should be able to take a longer term perspective. The principal topic considered is petroleum industry regulation but the insights extend to other non-renewable natural resources. A particular issue addressed is the question of tax competition between producing countries. Within the context of company/government relations the book considers such current topics as the challenges of dealing with merged companies and the strategic choices facing tax authorities.
Author | : |
Publisher | : Lulu.com |
Total Pages | : 294 |
Release | : 2004 |
Genre | : Bank capital |
ISBN | : 9291316695 |
Author | : |
Publisher | : |
Total Pages | : 1524 |
Release | : 2004 |
Genre | : Mathematics |
ISBN | : |
Author | : Aswath Damodaran |
Publisher | : Now Publishers Inc |
Total Pages | : 102 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 1601980140 |
Valuation lies at the heart of much of what we do in finance, whether it is the study of market efficiency and questions about corporate governance or the comparison of different investment decision rules in capital budgeting. In this paper, we consider the theory and evidence on valuation approaches. We begin by surveying the literature on discounted cash flow valuation models, ranging from the first mentions of the dividend discount model to value stocks to the use of excess return models in more recent years. In the second part of the paper, we examine relative valuation models and, in particular, the use of multiples and comparables in valuation and evaluate whether relative valuation models yield more or less precise estimates of value than discounted cash flow models. In the final part of the paper, we set the stage for further research in valuation by noting the estimation challenges we face as companies globalize and become exposed to risk in multiple countries.
Author | : Aswath Damodaran |
Publisher | : FT Press |
Total Pages | : 604 |
Release | : 2009-06-19 |
Genre | : Business & Economics |
ISBN | : 0137036558 |
Renowned valuation expert Aswath Damodaran reviews the core tools of valuation, examines today’s most difficult estimation questions and issues, and then systematically addresses the valuation challenges that arise throughout a firm’s lifecycle in The Dark Side of Valuation: Valuing Young, Distressed and Complex Businesses. In this thoroughly revised edition, he broadens his perspective to consider all companies that resist easy valuation, highlighting specific types of hard-to-value firms, including commodity firms, cyclical companies, financial services firms, organizations dependent on intangible assets, and global firms operating diverse businesses. He covers the entire corporate lifecycle, from “idea” and “nascent growth” companies to those in decline and distress, and offers specific guidance for valuing technology, human capital, commodity, and cyclical firms. ·
Author | : United States. Congress. House. Committee on Banking, Finance, and Urban Affairs. Subcommittee on Financial Institutions Supervision, Regulation and Insurance. Examination, Audit, and Review Task Force |
Publisher | : |
Total Pages | : 324 |
Release | : 1989 |
Genre | : Auditors |
ISBN | : |
Author | : Suresh Chandra Misra |
Publisher | : CRC Press |
Total Pages | : 488 |
Release | : 2015-12-01 |
Genre | : Technology & Engineering |
ISBN | : 1482254476 |
The Definitive Reference for Designers and Design StudentsA solid grasp of the fundamentals of materials, along with a thorough understanding of load and design techniques, provides the components needed to complete a marine platform design. Design Principles of Ships and Marine Structures details every facet of ship design and design integr
Author | : Ajay Das |
Publisher | : Routledge |
Total Pages | : 803 |
Release | : 2015-12-22 |
Genre | : Business & Economics |
ISBN | : 1317503295 |
An Introduction to Operations Management: The Joy of Operations covers the core topics of operations management, including product and service design, processes, capacity planning, forecasting, inventory, quality, supply chain management, and project management. Das provides a clear, connected, and current view of operations management and how it relates to a firm’s strategic goals. Students will benefit from the real-world scenarios that foster an understanding of operations management tasks. Without relying heavily on statistics and mathematical derivations, the book offers applied models and a simple, predictable chapter format to make it easy to navigate. Students of introductory operations management courses will love this practical textbook. A companion website features an instructor’s manual with test questions, as well as additional exercises and examples for in-class use.
Author | : George Anastassiou |
Publisher | : CRC Press |
Total Pages | : 682 |
Release | : 2019-06-03 |
Genre | : Mathematics |
ISBN | : 0429525117 |
Working computationally in applied mathematics is the very essence of dealing with real-world problems in science and engineering. Approximation theory-on the borderline between pure and applied mathematics- has always supplied some of the most innovative ideas, computational methods, and original approaches to many types of problems. The f