Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Continuous-time finance was developed in the late sixties and early seventies by R. C. Merton. Over the years, due to its elegance and analytical conve­ nience, the continuous-time paradigm has become the standard tool of anal­ ysis in portfolio theory and asset pricing. However, and probably because it was developed hand in hand with option pricing, in which investors' expecta­ tions were thought not to matter, continuous-time finance has for a long time almost entirely neglected investors' beliefs. More recently, the development of martingale pricing techniques, in which expectations playa dominant role, and the blurring boundary between those methods and the original methods of continuous-time finance based on the Ito calculus, have allowed expecta­ tions to regain their central role in finance. The habilitation thesis of Professor Alexandre Ziegler is entirely devoted to the role of expectations in continuous-time finance. After a brief review of the literature, the author analyzes the consequences of incomplete informa­ tion and heterogeneous beliefs for optimal portfolio and consumption choice and equilibrium asset pricing. Relaxing the assumption that investors can ob­ serve expected dividend growth perfectly, the author shows that incomplete information affects stock prices and their dynamics, thus providing a potential explanation for the asset price bubble of the late 1990s. He also demonstrates how the presence of heterogeneous beliefs among investors affects their opti­ mal portfolios and their optimal consumption patterns.

Options (Finance) --- Options (Finances) --- Prices --- Mathematical models. --- Prix --- Modèles mathématiques --- AA / International- internationaal --- 305.91 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Modèles mathématiques --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Prices&delete& --- Mathematical models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Derivative securities --- Investments --- Finance. --- Economics, Mathematical . --- Finance, general. --- Quantitative Finance. --- Economics --- Mathematical economics --- Econometrics --- Mathematics --- Funding --- Funds --- Currency question --- Methodology

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Game theory. --- Options (Finance) --- Prices --- Mathematical models.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Modem option pricing theory was developed in the late sixties and early seventies by F. Black, R. C. Merton and M. Scholes as an analytical tool for pricing and hedging option contracts and over-the-counter warrants. However, already in the seminal paper by Black and Scholes, the applicability of the model was regarded as much broader. In the second part of their paper, the authors demonstrated that a levered firm's equity can be regarded as an option on the value of the firm, and thus can be priced by option valuation techniques. A year later, Merton showed how the default risk structure of corporate bonds can be determined by option pricing techniques. Option pricing models are now used to price virtually the full range of financial instruments and financial guarantees such as deposit insurance and collateral, and to quantify the associated risks. Over the years, option pricing has evolved from a set of specific models to a general analytical framework for analyzing the production process of financial contracts and their function in the financial intermediation process in a continuous time framework. However, virtually no attempt has been made in the literature to integrate game theory aspects, i. e. strategic financial decisions of the agents, into the continuous time framework. This is the unique contribution of the thesis of Dr. Alexandre Ziegler. Benefiting from the analytical tractability of continuous time models and the closed form valuation models for derivatives, Dr.

Finance. --- Finance, general.

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Zonder onderwerpscode: economie

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Agroindustrial sector --- Food production --- Cassava --- Manihot esculenta --- Food processing --- Tapioca --- Plant breeding --- agroforestry --- Filière --- Democratic Republic of the Congo