4,246 research outputs found
The Effects of Dilutions and Payout Policy on Equity- and Stock-linked Call Options on a Firm with Leverage
No full textCapital-structure models are useful tools for pricing claims on equity. They provide insight into the effects of changing capital-debt structures on the value of options. Backwell et al. (2022) developed a capital structure framework which, in addition to a typical structural model, specifically considers the number of outstanding shares. This allows for the differentiation between options on total firm equity and options on share price. The extension by Backwell et al. (2022) also allows for the effects of dilutions and buyback policy on stock-linked options to be explored. Using the framework developed by Backwell et al. (2022) with asset value dynamics presented by Leland (1994), the capital-debt structure of a firm is modelled. Finitedifference methods utilising a generalised version of the Black-Scholes equation are then used to value and compare call options on total equity and call options on share price. Under the presented model, dilutions have little to no effect on stocklinked call option value in firms with low levels of leverage. However, dilutions clearly decrease the value of call options in firms with higher levels of leverage. Share buybacks significantly improve the value of stock-linked call options, particularly in lower leveraged firms where there is more available cash flow. This indicates that while shareholders are indifferent between cash dividends and share buybacks in a perfect market, holders of options on share price are not indifferent. In fact, option holders prefer payout policies that favour buybacks over dividends. Finally, the leverage effect is demonstrated by calculating implied volatilities under various levels of firm leverage
Implementation of Bivariate Unspanned Stochastic Volatility Models
No full textUnspanned stochastic volatility term structure models have gained popularity in the literature. This dissertation focuses on the challenges of implementing the simplest case – bivariate unspanned stochastic volatility models, where there is one state variable controlling the term structure, and one scaling the volatility. Specifically, we consider the Log-Affine Double Quadratic (1,1) model of Backwell (2017). In the class of affine term structure models, state variables are virtually always spanned and can therefore be inferred from bond yields. When fitting unspanned models, it is necessary to include option data, which adds further challenges. Because there are no analytical solutions in the LADQ (1,1) model, we show how options can be priced using an Alternating Direction Implicit finite difference scheme. We then implement an Unscented Kalman filter — a non-linear extension of the Kalman filter, which is a popular method for inferring state variable values — to recover the latent state variables from market observable dat
Adrian Caesar speaking at Alex Miller author: A Celebration, held at the National Library, Canberra, 30 October 2011 /
No full textTitle from information supplied by photographer.; Part of the collection: Alex Miller author: A Celebration, held at the National Library of Australia theatre, 30 October 2011.; Mode of access: Online.; Photographed by a staff member of the National Library of Australia
[Letter from Alex Bradford to Lieutenant and Mrs. Ray Starner - November 4, 1940]
No full textLetter from Alex Bradford to Lieutenant and Mrs. Ray Starner describing the the current state of affairs that the author was experiencing, including: the London blitz, the moral of the troops on the ground, and the collective company of men opposing the Nazi regime
Pricing with Bivariate Unspanned Stochastic Volatility Models
No full textUnspanned stochastic volatility (USV) models have gained popularity in the literature. USV models contain at least one source of volatility-related risk that cannot be hedged with bonds, referred to as the unspanned volatility factor(s). Bivariate USV models are the simplest case, comprising of one state variable controlling the term structure and the other controlling unspanned volatility. This dissertation focuses on pricing with two particular bivariate USV models: the Log-Affine Double Quadratic (1,1) – or LADQ(1,1) – model of Backwell (2017) and the LinearRational Square Root (1,1) – or LRSQ(1,1) – model of Filipovic´ et al. (2017). For the LADQ(1,1) model, we fully outline how an Alternating Directional Implicit finite difference scheme can be used to price options and implement the scheme to price caplets. For the LRSQ(1,1) model, we illustrate a semi-analytical Fourierbased method originally designed by Filipovic´ et al. (2017) for pricing swaptions, but adjust it to price caplets. Using the above numerical methods, we calibrate each (1,1) model to both the British-pound yield curve and caps market. Although we cannot achieve a close fit to the implied volatility surface, we find that the parameters in the LADQ(1,1) model have direct control over the qualitative features of the volatility skew, unlike the parameters within the LRSQ(1,1) model
Alex Haley, author
No full textExamines the life and achievements of Alex Haley, celebrated author of "Roots" and other writings, discussing his life and literary career, as well as his obsession with researching his family's history
Description by author Alex Irvine of his recent participation in the San Diego C
No full textDescription by author Alex Irvine of his recent participation in the San Diego Comic-Con, one of the largest conferences of comic/media/book producers and consumers. Irvine was there to promote his new fiction book, One King, One Soldier, published by Del Rey
Recovery through contradiction?
No full textWith this new drug strategy, the circle has turned. It was a Conservative government
that introduced the first drug strategy, Tackling Drugs Together, in 1995. This aimed
to reduce drug related crime, protect young people and reduce health harms by
discouraging drug use. It was criticised at the time for having unrealistic, intangible
aims and for not providing the necessary funding. New Labour’s strategies introduced
increasingly specific targets and massively expanded the funding of treatment. This
new Coalition strategy has no targets and provides no new funding
Alex Miller signing books at the National Library of Australia, Canberra, 30 October 2011 /
No full textTitle from information supplied by photographer.; Part of the collection: Alex Miller author: A Celebration, held at the National Library of Australia theatre, 30 October 2011.; Mode of access: Online.; Photographed by a staff member of the National Library of Australia
Alex Miller taking questions at the National Library of Australia, Canberra, 30 October 2011 /
No full textTitle from information supplied by photographer.; Part of the collection: Alex Miller author: A Celebration, held at the National Library of Australia theatre, 30 October 2011.; Mode of access: Online.; Photographed by a staff member of the National Library of Australia
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