Open Access. Powered by Scholars. Published by Universities.®
Numerical Analysis and Computation Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
-
- Condominiums (1)
- Expected utility maximization (1)
- Index Options (1)
- Lagrange dual method (1)
- Land Development (1)
-
- Model Risk (1)
- Options Pricing (1)
- Options on Multiple Assets (1)
- Pareto-optimal (1)
- Portfolio allocation (1)
- Real Estate (1)
- Real Options (1)
- Reinsurance policy (1)
- Risk minimization (1)
- Simulation (1)
- Solar Panels (1)
- Stochastic Calculus (1)
- Track model (1)
- Transaction costs (1)
- Tropical cyclone (1)
- Typhoon (1)
- Wind field model (1)
- Wind hazard (1)
Articles 1 - 5 of 5
Full-Text Articles in Numerical Analysis and Computation
Some Recent Developments On Pareto-Optimal Reinsurance, Wenjun Jiang
Some Recent Developments On Pareto-Optimal Reinsurance, Wenjun Jiang
Electronic Thesis and Dissertation Repository
This thesis focuses on developing Pareto-optimal reinsurance policy which considers the interests of both the insurer and the reinsurer. The optimal insurance/reinsurance design has been extensively studied in actuarial science literature, while in early years most studies were concentrated on optimizing the insurer’s interests. However, as early as 1960s, Borch argued that “an agreement which is quite attractive to one party may not be acceptable to its counterparty” and he pioneered the study on “fair” risk sharing between the insurer and the reinsurer. Quite recently, the question of how to strike a balance in risk sharing between an insurer and …
Tropical Cyclone Wind Hazard Assessment For Southeast Part Of Coastal Region Of China, Sihan Li
Tropical Cyclone Wind Hazard Assessment For Southeast Part Of Coastal Region Of China, Sihan Li
Electronic Thesis and Dissertation Repository
Tropical cyclone (TC) or typhoon wind hazard and risk are significant for China. The return period value of the maximum typhoon wind speed is used to characterize the typhoon wind hazard and assign wind load in building design code. Since the historical surface observations of typhoon wind speed are often scarce and of short period, the typhoon wind hazard assessment is often carried out using the wind field model and TC track model. For a few major cities in the coastal region of mainland China, simple or approximated wind field models and a circular subregion method (CSM) have been used …
Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne
Pricing And Hedging Index Options With A Dominant Constituent Stock, Helen Cheyne
Electronic Thesis and Dissertation Repository
In this paper, we examine the pricing and hedging of an index option where one constituents stock plays an overly dominant role in the index. Under a Geometric Brownian Motion assumption we compare the distribution of the relative value of the index if the dominant stock is modeled separately from the rest of the index, or not. The former is equivalent to the relative index value being distributed as the sum of two lognormal random variables and the latter is distributed as a single lognormal random variable. Since these are not equal in distribution, we compare the two models. The …
Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt
Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt
Electronic Thesis and Dissertation Repository
The thesis provides robust and efficient lattice based algorithms for solving dynamic portfolio allocation problems under transaction costs. The early part of the thesis concentrates upon developing a toolbox based on multinomial trees. The multinomial trees are shown to provide a reasonable approximation for most popular transaction cost models in the academic literature. The tool, once forged, is implemented in the powerful Mathematica based parallel computing environment. In the second part of the thesis we provide applications of our framework to real world problems. We show re-balancing portfolios is more valuable in an investment environment where the growth and volatility …
Real Options Models In Real Estate, Jin Won Choi
Real Options Models In Real Estate, Jin Won Choi
Electronic Thesis and Dissertation Repository
Our aim in this thesis is to investigate the usefulness of real options analysis, taking case studies of problems in real estate. In the realm of real estate, we consider the following three problems. First, we consider the valuation and usefulness of presale contracts of condominiums, which can be viewed as similar to call options on condominiums. Secondly, we consider the valuation of farm land from the perspective of land developers, who may think of farm land as being similar to call options on subdivision lots. Third, we consider the valuation of opportunities to install solar panels on properties, in …