Business Commons^™

Implementing The Heston Option Pricing Model In Object-Oriented Cython, Brandon Hardin

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The 1973 Black-Scholes model, a revolutionary option pricing formula whose price is 'relatively close to observed prices, makes an assumption that the volatility is constant and thus, deterministic. This causes some inefficiencies and patterns in the pricing of options due to the model providing evidence of the volatility smile' of the volatility. Many scholars have suggested that the volatility should be modelled by a stochastic process and the (1993) Heston Model is one of many proposed solutions to remedy this problem. The Heston Model allows for the 'smile' by defining the volatility as a stochastic process. This thesis considers a …

Application: Solving For A Local Companys Optimal Storage Strategy, Dakota Ferrin

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This project used historical spot and futures price data of two fairly closely correlated commodities to simulate many possible spot and futures price paths that could have occurred over a given time frame. These simulated prices were then used to test various commodity storage strategies available through futures contracts. This paper explains how results, including values such as the mean terminal cumulative profit and the standard deviation of the mean terminal cumulative profits for each strategy, can be interpreted to help determine a local company’s optimal storage strategy.

This paper specifically provides a way for a local company to find …

Performance Of Statistical Arbitrage In Future Markets, Shijie Sheng

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This paper is the replication of Alizadeh and Nomikos (2008) Performance of Statistical Arbitrage in Petroleum Futures Markets. Cited methodology from the original paper, this paper investigates the linkages between commodities in the future markets and apply trading strategy based on statistical analysis. The trading strategy is established based on cointegration relationships between commodities and execute trading rules to determine long-short positions. The robustness of trading result will be implemented by using stationary bootstrap approach. From the result, we can see the trading strategy based on cointegration relationship analysis is efficient to set up trading strategies in given datasets.

The Money Mentors Program: Increasing Financial Literacy In Utah Youths, Zurishaddai A. Garcia, Dave Francis, Amanda Christensen, Stacey S. Macarthur, Margie Memmott, Paul A. Hill

All Current Publications

Utah 4-H and Fidelity Investments collaborated on a program for increasing the financial literacy of teens and children. The collaboration resulted in positive impacts for both Extension and Utah youths. Extension benefited through partnership with a corporation that provided content expertise, volunteers, and funding for a financial literacy program. Youths benefited from improved financial literacy. A Teens Reaching Youth (TRY) team approach was used for the training of 81 teens, who then taught 530 youths statewide. The curriculum addressed research-based financial concepts through activities and technologies that were interactive, appealing, and engaging. The program development and implementation processes may serve …

Debt/Equity Ratio And Asset Pricing Analysis, Nicholas Lyle

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

A firm’s value can be manipulated by altering how much debt a firm takes on relative to its equity called the Debt/Equity ratio. The positive aspects of debt are tax shields and the perception that the firm is trying to expand their current operations while the negative effects are increased bankruptcy risk. The optimal ratio is where the negative aspects begin to outweigh the positive. Since bankruptcy risk is hard to value there are many opinions on what the optimal Debt/Equity ratio for a specific firm is.

This study looks to historic data to determine how the market perceives debt …

The Efficiency Of Liquidity Resiliency, Nathan Burton

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Using a VECM to estimate the dynamics of liquidity, in this case bid-ask spread, I run simulations for stocks of varying market capitalizations and find that lower market cap stocks require more orders to return to equilibrium spread following a shock, suggesting less efficiency of price discovery in lower cap stocks. Despite the greater number of order necessary for lower cap stocks, the return to equilibrium spread is still very fast, suggesting a relatively efficient market for NYSE and NASDAQ stocks in the upper three market cap quartiles.

Gambling With Momentum: How Gambling Cultures Shape Financial Markets, Daniel Mosman

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Do people who gamble carry such preferences into their investments? This study looks at various factors which are used to identify countries with a significant gambling population, and seeks to find a relationship with those gambling tendencies and premiums associated with momentum. From historical market data from financial markets in 45 different countries I found stronger evidence of a momentum premium in those countries which have those identifying factors for gambling, than those that do not. Results of the regression analysis suggest weak evidence that it is possible that the momentum premium could be associated with gambling preferences and culture …

Burning Budgets: Does An Institutional Blank-Check Raise The Severity And Cost Of Fighting Wildland Fires?, Devin T. Stein

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

In conducting this research, I wanted to explore whether political incentives have a significant effect on wildfire management in the United States. I attempt to answer this question by proving a theoretical justification for why wildfires may become more expensive to fight and severe to manage because of political institutions. I then attempt to provide some hard evidence to support this theory by using regression analysis. My analysis suggests that political factors do matter for wildfire suppression funding, although I was unable to find strong enough evidence to suggest that these political factors are actually driving more severe wildfires.

This …

Financial Development And The Liquidity Of Cross-Listed Stocks; The Case Of Adr's, Jed Decamp

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

This study examines the relationship between financial development in a particular country and the volatility and illiquidity of ADR’s cross-listed on American exchanges, that correspond to the particular home country. Tests show that financial development and illiquidity are inversely related, thus, financial development improves liquidity and reduces volatility. The results have important implications for individual investors, firms seeking to lower their cost of capital, and the economic well-being of countries in general.

The Impact Of The 2016 Election On The Financial Performance Of Major Healthcare Companies, Joshua T. Blotter

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

Healthcare reform was a significant political issue during the November 2016 US general elections, and played an important role in campaigning and political discourse leading to the election. Donald Trump, the Republican presidential candidate, and Republicans running for congressional office, campaigned on a platform advocating for the repeal and replacement of the Patient Protection and Affordable Care Act of 2010 (ACA), among other changes. Hillary Clinton, the Democratic presidential candidate, and Democrats running for congressional office, campaigned on a platform that included support for the ACA, as well as increased regulations on the pharmaceutical industry and health insurers, among various …

An Examination Of The Short Term Reversal Premium, Timothy Burgess

All Graduate Plan B and other Reports, Spring 1920 to Spring 2023

The intent of this study is to explore short-term reversal effects in public securities markets.

The basis of this study is to take into consideration prior work done by economists, paying particularly attention to periods specifically before and after the decimalization of the stock market in 2001. This study finds that from years 1980-2000, there is a monthly return premium of -0.0552% or 5.5 basis points, which is quite significant with a t-statistic of 11.08. Following decimalization in 2001 through year 2012, this monthly return premium drops 44% to -0.031% or 3.1 basis points, again with a high t-statistic of …

A Different Perspective On The Debate Between Nonprofit And For-Profit Microfinance Organizations, Hane E. De Oliveira Crevelari

Undergraduate Honors Capstone Projects

Microfinance for-profit organizations flooded the market in the early 2000's when microcredit demonstrated profitability. Ever since, an intense debate arose contesting the morality of profiting from the poor. Many for-profit microfinance institutions were accused of predatory lending through high interest rates and aggressive marketing and payment collection. In this paper, I examine the validity of the arguments for and against for-profits by extensively comparing the different target audiences of the charity sector and the private sector and the main arguments of each side. I conclude that, although the ability to serve the poor is compromised by profit motives, for-profit microfinance …