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作者：Alexander, GJ; Baptista, AM
作者单位：University of Minnesota System; University of Minnesota Twin Cities; George Washington University
摘要：In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk (VaR) constraint on the mean-variance model, and compare them with those arising from the imposition of a conditional value-at-risk (CVaR) constraint. We show that for a given confidence level, a CVaR constraint is tighter than a VaR constraint if the CVaR and VaR bounds coincide. Consequently, a CVaR constraint is more effective than a VaR constraint as a tool to control slightly risk-averse a...
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作者：Buzacott, JA; Zhang, RQ
作者单位：York University - Canada; Hong Kong University of Science & Technology
摘要：Most of the traditional models in production and inventory control ignore the financial states of an organization and can lead to infeasible practices in real systems. This paper is the first attempt to incorporate asset-based financing into production decisions. Instead of setting a known, exogenously determined budgetary constraint as most existing models suggest, we model the available cash in each period as a function of assets and liabilities that may be updated periodically according to ...
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作者：Broadie, M; Detemple, JB
作者单位：Columbia University; Boston University
摘要：This paper surveys the literature on option pricing from its origins to the present. An extensive review of valuation methods for European- and American-style claims is provided. Applications to complex securities and numerical methods are surveyed. Emphasis is placed on recent trends and developments in methodology and modeling.
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作者：Kanatas, G; Qi, JP
作者单位：Rice University; State University System of Florida; University of South Florida
摘要：A well-known view in the literature is that if management is more concerned with the firm's survival than with profitability, it is efficient to use a levered capital structure and thereby transfer the liquidation decision to lenders. Our paper extends this idea to a setting where lenders behave opportunistically when they control the liquidation decision. We show that in this situation, an optimal mix of debt and dividends, can mitigate the twin moral hazard problems of the manager and the le...
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作者：Andersen, L; Broadie, M
作者单位：Columbia University
摘要：This paper describes a practical algorithm based on Monte Carlo simulation for the pricing of multidimensional American (i.e., continuously exercisable) and Bermudan (i.e., discretely exercisable) options. The method generates both lower and upper bounds for the Bermudan option price and hence gives valid confidence intervals for the true value. Lower bounds can be generated using any number of primal algorithms. Upper bounds are generated using a new Monte Carlo a ialgorithm based on the dual...
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作者：Kou, SG; Wang, H
作者单位：Columbia University; Brown University
摘要：Analytical tractability is one of the challenges faced by many alternative models that try to generalize the Black-Scholes option pricing model to incorporate more empirical features. The aim of this paper is to extend the analytical tractability of the Black-Scholes model to alternative models with jumps. We demonstrate that a double exponential jump diffusion model can lead to an analytic approximation for finite-horizon American options (by extending the Barone-Adesi and Whaley method) and ...
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作者：Bernstein, F; DeCroix, GA
作者单位：Duke University
摘要：We model a modular assembly system in which a final assembler outsources some of the assembly task to first-tier suppliers (subassemblers), who produce modules made up of multiple components. The assembler sets module prices it will pay to the subassemblers, the subassemblers set component prices they will pay to suppliers, and then all players choose how much capacity to install, with the minimum capacity choice determining system capacity. Finally, stochastic end-product demand is observed a...
