Real Options, Ambiguity, Risk and Insurance : World Class University Program in Financial Engineering, Ajou University, Volume Two

Format:

Book

Author/Creator:

Bensoussan, A.

Contributor:

Peng, S.

Sung, J.

Series:

Studies in Probability, Optimization and Statistics

Language:

English

Subjects (All):

Financial engineering.

Financial risk management.

Risk assessment.

Physical Description:

1 online resource (296 p.)

Edition:

1st ed.

Place of Publication:

Amsterdam : IOS Press, 2013.

Language Note:

English

Summary:

Financial engineering has become the focus of widespread media attention as a result of the worldwide financial crisis of recent years. This book is the second in a series dealing with financial engineering from Ajou University in Korea. The main objective of the series is to disseminate recent developments and important issues in financial engineering to graduate students and researchers, and to provide surveys or pedagogical exposition of important published papers in a broad perspective, as well as analyses of important financial news concerning financial engineering research, practices

Contents:

Title Page; Preface; Contents; Part 1. Real Options; Optimal Investment Under Liquidity Constraints; Introduction; Optimal Investment in Perfect Capital Markets; The Benchmark Model; Discussion; Optimal Stopping for a Cash-Constrained Firm; The Model; Value of the Firm with No Growth Option; Value of the Firm with a Growth Option; A Verification Theorem; Solution to Optimal Stopping Problem Fi; Fi as a Super Solution to HJB Equation (3.13); Future Works; Investment in High-Tech Industries: An Example from the LCD Industry; Introduction; The Investment Model with Geometric Brownian Motion

Investment in LCD Industry Industry; Production Process; Data and Estimations; Industry Analysis; Conclusion; Appendix; Proof of Proposition 1; Proof of Proposition 2; Game Theoretic Real Options and Competition Risk; Introduction; General Set-Up of a Real Option Duopoly; Preemption Games; Markov Perfect Equilibrium; Firm Value and Welfare Implications; Conclusion; Real Options and Risk Aversion; Introduction; Model and Assumptions; Real Options and Investment Timing; The Benchmark Case: Risk Neutrality; Investment Timing and Risk Aversion; Model Implications

Risk Aversion and the Option Value to Wait Risk Aversion and Project Value; Probability of Investment; Conclusion; Appendix; A General Result; Proofs; Real Options with Time and Scale Flexibility; Introduction; Flexibility in Time and Scale; Optimal Investment Strategy; Capital Accumulation Rule; Optimal Investment Timing; Specific Examples in Real Options Analysis; Example 1: Linear Revenue; Example 2: Cobb-Douglas Production Function; Example 3: Bounded Production; Conclusion; Appendices; Appendix A; Appendix B; Appendix C; Part 2. Ambiguity; Optimal Stopping Rule Meets Ambiguity

Introduction Optimal Stopping Under Ambiguity; Discrete Time Framework; Finite Time Horizon; Infinite Time Horizon; Continuous Time Framework; Aggregator and Examples; Value Process Under Ambiguity; Infinite Time Horizon; Comparative Analysis; Ambiguity and Optimal Rule; Risk Aversion; Markov Setting; Value function in Ambiguity; Comments and Extensions; Ambiguity and Ambiguity Aversion; Optimal Stopping Under Risk Measures; Conclusion; Appendix A: Optimal Stopping Related to Reflected BSDEs; Finite Time Horizon; Infinite Time Horizon

Appendix B: Proofs of Results on the Problem of Optimal Stopping Appendix C: Proof of Results in Extensions; An Overview on the Principal-Agent Problems in Continuous Time; Introduction; Principal-Agent Problems Under Full Information; Principal-Agent Problems with Hidden Actions and Lump-Sum Payment; Principal-Agent Problems with Hidden Actions and Continuous Payment; Optimal Insurance Design Problem Under Knightian Uncertainty; Ambiguity Setting; Pareto-Efficient Insurance Design; Optimal Insurance Design from the Insured's Perspective; Pareto-Optimal Insurance Contract; Conclusion

Nonlinear Expectation Theory and Stochastic Calculus Under Knightian Uncertainty

Notes:

Description based upon print version of record.