1,720,966 research outputs found
Valutazione finanziario-attuariale di polizze "With Profit": un caso di studio
No full textMolte polizze di assicurazione trattate sui mercati ramo vita, quali ad es. i contratti di assicurazione “With Profit”
con assegnazione di reversionary bonus, si rivelano essere alternativamente dei portafogli di derivati finanziari i cui
pagamenti sono subordinati ad eventi relativi alla sopravvivenza di una testa assicurata, ovvero polizze assicurative
con prestazioni rappresentate da derivati finanziari.
Nel presente lavoro si analizzano le principali caratteristiche di alcune forme standard di polizze “With Profit” al
fine di separare ove possibile le componenti più tipicamente attuariali da quelle più tipicamente finanziarie, per
arrivare ad analizzare anche le scomposizioni put e call della riserva stocastica a scadenza dopo aver caratterizzato
in particolare le polizze con assegnazione di reversionary bonus a minimo garantito come portafogli di opzioni
Exchange ratios in a Merger with Stochastic Capital Reserves: Fair Valuation and Embedded Options
No full textAssets or liabilities with stochastic cash-flows possibly embedding minimum guarantees, in the Economic/Real
Capital of the merging companies, represent additional values with respect to the traditional balance sheet, which
could induce important differences in exchange ratios.
This paper concerns a quantitative model for exchange ratios accounting, firstly introducing a stochastic pricing
model in the presence of stochastic cash-flows and secondly representing contractual embedded real option such as minimum guarantees, in order to evaluate the differences in exchange ratios induced by Stochastic Capital Reserves in the merging companies
Exchange Ratios in Merger with Stochastic Capital Reserves and Cross Shareholding: Fair Valuation and Embedded Options
No full textPurpose – The purpose of this paper is to analyze how exchange ratios in mergers can be assessed when the companies economic capital valuation is carried out in a stochastic framework with financial assets and minimum guarantees.
Design/methodology/approach – The paper is a theoretical one. Its main objective is to present a quantitative model for exchange ratios accounting, introducing a stochastic pricing model in the presence of stochastic cash-flows and representing contractual embedded real option such as minimum guarantees.
Findings – The paper presents a financial model to evaluate the differences in exchange ratios induced by stochastic capital reserves in the merging companies.
Research limitations/implications – Stochastic cash-flows in the economic capital of the merging companies set up a stochastic capital reserve which represents an additional value and could induce important differences in exchange ratios.
Practical implications – The model is fully applicable, also in the presence of embedded real options such as minimum guarantees, but requires the volatility of the underlying.
Originality/value – The paper should be useful under both a managerial and a theoretical use in order to evaluate stochastic exchange ratios
Some aspects of the relation between the linear quadratic discrete optimal control problem and the quadratic programming problem
No full text
Valutazione della funzione di utilità quadratica dall'analisi delle scelte E-V efficienti
No full textValutazione di operazioni finanziarie e condizioni di non arbitraggio sui mercati internazionali
No full textBudgeting models and system simulation: a dynamic approach
No full textThe main aim of this research is to introduce a new series of quantitative instruments to integrate
the set of information at the disposal of companies, obtained, to begin with, from its accounting
records.
Starting from the balance sheet, known to be the most important source of information for a
company, both at the internal and external level, we will show an initial quantitative model which
uses accounting data to represent the dynamics of the company and to create a simulation associated
with those dynamics.
Specifically, this application is based on the idea of representing the dynamics of a balance sheet
via a series of difference equations, with the a priori assumption that accounting procedures can be
mathematically axiomatized.
This new application is the result of lengthy research begun in 2008 at Verona University, and can
be considered as a synthesis and continuation of numerous results published in company literature
over the past forty years
Budgeting Models and System Simulation: A Dynamic Approach
No full textAbstract: The goal of the present paper is to create a mathematical cash budgeting model capable of providing information on the liquidity state of a company, as well as its assets and liabilities, in a dynamical perspective. The aim of this innovative tool is to originate a new class of models able to adapt to the ever-changing planning and control requirements that come from the most different economic subjects, with special regard both to the firm liquidity dynamics issues and to the IT developments. In order to create such a model, the authors have decided to move from the logical structure inherent in double entry bookkeeping practices, as well as in the financial statement and the balance sheet accounts relationships, trying to provide a mathematical formalization for them. In greater detail, this work wants to show how, upon choosing a set of accounting items suitable for the researcher purposes, bookkeeping procedures and the relationships between the aforementioned items can be described through the use of difference equations. This mathematical description will allow us to model the dynamics of the cash flow budget and at the same time the dynamics of the entire balance sheet. After choosing a set of accounting items convenient for the scope of our presentation, an example of cash flow budget is displayed together with another important feature of the present model: its closed form mathematical solution after n-periods. This solution gives us information about the financial statement as well as the whole balance sheet of an enterprise after n-periods, proving this mathematical formalization to be a possible useful tool not only to simulate the firm budget but for the most different economic and financial purposes. Moreover, this model allows the researcher and the firm management to conduct easily tests on company policies in order to obtain a deeper knowledge of the firm economic processes
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