Yoshio Miyahara – författare
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2 produkter
2 produkter
Del 3 - Series In Quantitative Finance
Option Pricing In Incomplete Markets: Modeling Based On Geometric L'evy Processes And Minimal Entropy Martingale Measures
Inbunden, Engelska, 2011
1 289 kr
Skickas inom 5-8 vardagar
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric Lévy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure.This volume also presents the calibration procedure of the [GLP & MEMM] model that has been widely used in the application of practical problems.
Del 3 - Advances In Statistics, Probability And Actuarial Science
Risk Sensitive Value Measure Method: A New Method Of Project Evaluation
Inbunden, Engelska, 2025
1 238 kr
Skickas inom 3-6 vardagar
What is the most effective method for project evaluation? While the standard Net Present Value (NPV) method is widely used for its simplicity, it has notable limitations: it insufficiently accounts for the random complexity of cash flows and fails to capture the flexibility inherent in project execution.This book introduces an innovative evaluation method designed to address these shortcomings. It begins by analyzing the evaluation of random variables, representing the Random Present Values (RPVs) of cash flows, and identifies the optimal evaluation functional for RPVs. Through this analysis, the concave monetary value measure — or concave monetary utility function — emerges as the most suitable tool.The study is then extended to dynamic value measures, leading to the conclusion that the risk-sensitive value measure is the most robust approach for project evaluation. Practical applications of this method are thoroughly explored, offering valuable insights for tackling real-world project evaluation challenges.