Download Book Title : Real Options Valuation
(Format : djvu , Language : English)
This book analyzes real options valuation for non-constant versus constant interest rates using simulation and historical backtesting. Several real options are investigated and combined with various pricing tools and stochastic term structure models. Interest rates for real options valuation are simulated by using stochastic term structure models (Vasicek, Cox-Ingersoll-Ross, Ho-Lee, and Hull-White one-factor and two-factor models) and by using implied forward rates. The book shows that the assumption of a constant interest rate in real options valuation is not justifiable. All necessary theory is provided in the book. The analyses were conducted using a proprietary computer simulation program. All results are explained in detail and rules are derived for application in Corporate Finance practice. For the first time, a systematic analysis based on simulations and historical backtesting compares real options valuation using constant interest rates and the implied forward rates with methods that simulate interest rates stochastically.
About the Author
Marcus Schulmerich received his doctoral degree with Prof. Ulrich Hommel, Ph.D., Endowed Chair of Corporate Finance and Capital Markets at the ebs Business School in Wiesbaden, Germany. He is a Mathematician by training, focusing on Financial Engineering, and earned his MBA from the M.I.T. Sloan School of Management in Cambridge, MA / USA.Dr. Schulmerich works as a Product Specialist for quantitative equity and hedge fund strategies with State Street Global Advisors (SSgA) in Munich, Germany, covering the complete EMEA region (Europe, Middle East and Africa). He is a frequent guest lecturer at the ebs and other universities for courses in "Financial Engineering", "Risk Management" and "Derivatives" and publishes regularly on Finance and Asset Management in newspapers, magazines and books.
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Author(s) Book :Marcus Schulmerich
Publish Year :2005 Publisher : Springer
You can check by ISBN10/ISBN13 : 3540261915/9783540261919
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