Real Options Valuation [recurso electrónico] : The Importance of Interest Rate Modelling in Theory and Practice / by Marcus Schulmerich.

Por: Schulmerich, Marcus [author.]Colaborador(es): SpringerLink (Online service)Tipo de material: Texto

TextoEditor: Berlin, Heidelberg : Springer Berlin Heidelberg, 2010Descripción: XVIII, 389 p. online resourceTipo de contenido: text Tipo de medio: computer Tipo de portador: online resourceISBN: 9783642126628Tema(s): Economics | Finance | Distribution (Probability theory) | Banks and banking | Economics/Management Science | Financial Economics | Finance /Banking | Quantitative Finance | Probability Theory and Stochastic ProcessesFormatos físicos adicionales: Printed edition:: Sin títuloClasificación CDD: 332 Clasificación LoC:HG1-9999Recursos en línea: Libro electrónico Texto

Contenidos:

Real Options in Theory and Practice -- Stochastic Models for the Term Structure of Interest Rates -- Real Options Valuation Tools in Corporate Finance -- Analysis of Various Real Options in Simulations and Backtesting -- Summary and Outlook.

En: Springer eBooksResumen: This book analyzes real options valuation for non-constant versus constant interest rates using simulations and historical backtesting. It provides a systematic analysis and compares real options valuation using constant interest rates and the implied forward rates with methods that simulate interest rates stochastically. Real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are simulated by using stochastic term structure models (Vasicek, Cox-Ingersoll-Ross, Ho-Lee, and Hull-White one-factor and two-factor models) and by using implied forward rates. All necessary theory is provided in the book. The analyses were conducted using a proprietary computer simulation program. All results are explained in detail and rules are derived for application in Corporate Finance practice. The major change in this second edition is the expanded number of tested scenarios. The second edition contains an expanded number of tested scenarios covering the time period of the financial crisis 2008, one of the worst stock market crashes in history. The findings confirm the results provided in the first edition.

Existencias ( 1 )
Notas de título ( 3 )

Existencias
Tipo de ítem	Biblioteca actual	Colección	Signatura	Copia número	Estado	Fecha de vencimiento	Código de barras
Libro Electrónico	Biblioteca Electrónica	Colección de Libros Electrónicos	HG1 -9999 (Browse shelf(Abre debajo))	1	No para préstamo		374320-2001

This book analyzes real options valuation for non-constant versus constant interest rates using simulations and historical backtesting. It provides a systematic analysis and compares real options valuation using constant interest rates and the implied forward rates with methods that simulate interest rates stochastically. Real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are simulated by using stochastic term structure models (Vasicek, Cox-Ingersoll-Ross, Ho-Lee, and Hull-White one-factor and two-factor models) and by using implied forward rates. All necessary theory is provided in the book. The analyses were conducted using a proprietary computer simulation program. All results are explained in detail and rules are derived for application in Corporate Finance practice. The major change in this second edition is the expanded number of tested scenarios. The second edition contains an expanded number of tested scenarios covering the time period of the financial crisis 2008, one of the worst stock market crashes in history. The findings confirm the results provided in the first edition.