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Título Financial models using simulation and optimization v.2: Investment valuation, options pricing, real options & product pricing modelsLibros / Impreso - Libros
Autor(es) Winston, Wayne L. (Autor)
Publicación Newfield, NY. : Palisade Corporation, 2001
Descripción Física 382 páginas + 1 disco compacto
Idioma Inglés;
ISBN 1893281043
Clasificación(es) 658.15
Materia(s) Finanzas; Inversiones; Precios; Opciones financieras; Opciones reales (Finanzas); Modelos matemáticos; Modelos financieros;
Nota(s) CONTENIDO: The Discrete Random Variable -- The Triangular Random Variable -- The Normal Random Variable -- The Lognormal Random Variable and VAR -- Estimation of µ and s -- Value At Risk (VAR) -- Modeling Stock Prices -- Computing Percentage Return -- Running and Interpreting the Simulation Output -- The RiskGeneral Random Variable -- The RiskCumulative Random Variable -- Incorporating Analyst Forecasts. Incorporating Analysts' Biases -- Incorporating the Strong Buy/Strong Sell Consensus -- Generating Correlated Stock Forecasts -- Generating Stock Returns by Bootstrapping -- Combining Bootstrapping With Analyst Forecasts -- Portfolio Optimization. Bootstrapping to Future Annual Returns -- Minimize Risk of Portfolio (Standard Deviation) -- Finding the Efficient Frontier -- Minimizing the Probability of a Loss -- An Introduction to Genetic Algorithms -- Maximizing the Sharpe Ratio -- Minimizing Downside Risk -- Long a Stock; Short Some Puts?: The Nortel Trade. Stress Testing -- Evaluating Trading Rules: The Moving Average -- Evaluating Stop Loss Trades -- Modeling a Risk Arbitrage Trade -- Alternative Methods for Evaluating Trades -- Modeling Stock Prices as Mean Reverting -- Optimal FX Hedging -- How Long a Time Horizon for Beta? -- Matching a Given Market Index -- The Three Stage Valuation Model -- Modeling Key Drivers of Firm Value -- Modeling Nike Revenue Growth -- Modeling COGS/Revenue -- SGA/Revenue -- NPPE/Revenue -- Forecasting Growth of Grocery Market -- An Eyeball Model of an Internet Company -- Tornado Graphs -- Determining Effective Marginal Tax Rates -- Incorporating Simulation into Proforma Models -- A Deterministic Proforma
Computing Free Cash Flow -- Incorporating a Variable Interest Rate -- Incorporating a Target Debt/Equity Ratio -- Using Monte Carlo Simulation with Proformas.
Monte Carlo Simulation with Scenarios -- Simulating an Unfavorable Future -- Forecasting Income of a Major Corporation. What If Net Incomes Are Not Correlated? -- Checking the Correlations -- Forecasting Structural Costs. Structural Costs Problem -- Modeling the Uncertainty -- Timing of Costs -- Bookkeeping Each Quarter's Costs -- Running and Interpreting the Simulation -- Modeling the Profitability of a New Product: Batmobile Sales. Scenarios -- The XNPV and XIRR Functions -- Option Definitions -- Types of Real Options. Option to Purchase an Airplane -- Abandonment Option -- Other Real Option Opportunities -- Valuing Options by Arbitrage Methods -- Modeling Stock Price or Project Value with Lognormal -- Simulating the Lognormal Random Variable -- The Black-Scholes Option Pricing Model. Comparative Statics Results -- Valuing Warrants -- Estimating Volatility. Historical Approach to Volatility Estimation -- The Implied Volatility Approach -- The Risk Neutral -- Approach to Option Pricing -- Logic Behind the Risk Neutral Approach -- Example of Risk Neutral Pricing -- Proof that American Call is Never Exercised Early -- The State Price Approach to Asset Valuation -- Valuing an Internet Start-up with Black-Scholes Formula -- Valuing an Internet Start-up -- Valuing a "Pioneer Option": Web TV -- Valuing an R and D Project -- Relationship Between Binomial and Lognormal Models -- Using Simulation to Show the Binomial Approximation Works -- An Approximation to the Approximation! -- Pricing an American Option with Binomial Trees -- The Stock Price Tree -- The Optimal Decision Strategy -- Using Conditional Formatting to Describe the Optimal Exercise Policy -- Relationship to an Abandonment Option -- Computing the Early Exercise Boundary -- Using Real Options to Value a Lease on a Gold Mine. Generating Gold Prices -- Finding Value of Lease -- Valuing an Option to Purchase a Company.
Valuing an Option to Abandon the Internet Startup -- When Should We Abandon? -- Valuing an Option to Purchase with an Abandonment Option -- Using Simulation to Value European Real Options -- Valuing the Option to Expand -- Valuing the Option to Contract -- A "Pioneer" Option -- Using Simulation to Value an Option to Develop Vacant Land -- Using Simulation to Value a Compound Option -- Using Simulation to Value a Licensing Agreement -- Using the Jump Diffusion Model to Value Real Options. Applying the Jump Diffusion Model to our Web TV Example -- Pricing Options with Non Lognormal Stock Prices. Calibrating Risk Neutralization to Market Prices -- An Option to Start Up and Shut Down a Gold Mine -- Using Trend Curve to Estimate Product Demand -- Pricing for a Subscription-Based Service -- Optimal Product Bundling -- How to Find Revenue Maximizing Prices? -- Using Evolver to Find Optimal Bundle Prices -- Optimal Quantity Discounts with Evolver -- Price Response to Currency Fluctuation -- Constant Elasticity Case -- Pricing in the Presence of Gray Imports and Piracy -- Conjoint Analysis. Determination of Product Market Share -- Discrete Choice Analysis -- Discrete Choice II -- Optimizing Profitability -- Estimating Customer Preferences by Pair wise Comparisons -- Optimizing Channel Conflicts -- To Free PC or Not to Free PC?. Per Customer NPV with No Free PC -- Working With Text Functions. Concatenation -- More on Text Functions -- Playing Craps with @RISK -- Simulating the NBA Finals -- Database Statistical Functions -- Analyzing Data by Resampling.
Títulos Relacionados Financial models using simulation and optimization v.2 [recurso electrónico]: Investment valuation, options pricing, real options & product pricing models
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CodBarras Localización Piso Signatura Estado Categoría
062861Biblioteca Universidad Icesi2658.15/W783/v.2/ej.1DisponibleCol. General
068989Biblioteca Universidad Icesi2658.15/W783/v.2/ej.2En Préstamo (16-Dec-2022)Col. General