Financial models using simulation and optimization: 2 Investment valuation, options pricing, real options & product pricing models
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Ithaca, NY
Palisade Corp.
2008
|
| Edition: | 2. ed. |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 382 S. graph. Darst. 1 CD-ROM |
| ISBN: | 9781893281097 1893281094 |
Staff View
MARC
| LEADER | 00000nam a2200000 cc4500 | ||
|---|---|---|---|
| 001 | BV037287164 | ||
| 003 | DE-604 | ||
| 005 | 20110331 | ||
| 007 | t | ||
| 008 | 110317s2008 d||| |||| 00||| eng d | ||
| 020 | |a 9781893281097 |9 978-1-893281-09-7 | ||
| 020 | |a 1893281094 |9 1-893281-09-4 | ||
| 035 | |a (OCoLC)711865509 | ||
| 035 | |a (DE-599)BVBBV037287164 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-706 | ||
| 100 | 1 | |a Winston, Wayne L. |d 1950- |e Verfasser |0 (DE-588)134241614 |4 aut | |
| 245 | 1 | 0 | |a Financial models using simulation and optimization |n 2 |p Investment valuation, options pricing, real options & product pricing models |c Wayne L. Winston |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Ithaca, NY |b Palisade Corp. |c 2008 | |
| 300 | |a IX, 382 S. |b graph. Darst. |e 1 CD-ROM | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 773 | 0 | 8 | |w (DE-604)BV037287132 |g 2 |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021199825&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-021199825 | ||
Record in the Search Index
| _version_ | 1804143919647162368 |
|---|---|
| adam_text | Titel: Bd. 2. Financial models using simulation and optimization. Investment valuation, options pricing, re
Autor: Winston, Wayne L
Jahr: 2008
Table of Contents
Chapter 1: The Discrete Random Variable 1
Chapter 2: The Triangular Random Variable 7
Chapter 3: The Normal Random Variable 11
Chapter 4: The Lognormal Random Variable and VAR 13
Estimation of p and o 14
Value At Risk (VAR) 15
Modeling Stock Prices 16
Computing Percentage Return 17
Running and Interpreting the Simulation Output 18
Chapter 5: The RiskGeneral Random Variable 21
Chapter 6: The RiskCumulative Random Variable 25
Chapter 7: Incorporating Analyst Forecasts 29
Incorporating Analysts Biases 32
Incorporating the Strong Buy/Strong Sell Consensus 33
Chapter 8: Generating Correlated Stock Forecasts 35
Chapter 9: Generating Stock Returns by Bootstrapping 39
Combining Bootstrapping With Analyst Forecasts 43
Chapter 10: Portfolio Optimization 45
Bootstrapping to Future Annual Returns 46
Minimize Risk of Portfolio (Standard Deviation) 48
Finding the Efficient Frontier 49
Minimizing the Probability of a Loss 52
An Introduction to Genetic Algorithms 54
Maximizing the Sharpe Ratio 58
Minimizing Downside Risk 60
Chapter 11: Long a Stock; Short Some Puts?: The Nortel Trade 63
Stress Testing 68
Chapter 12: Evaluating Trading Rules: The Moving Average 69
Chapter 13: Evaluating Stop Loss Trades 73
Chapter 14: Modeling a Risk Arbitrage Trade 77
Alternative Methods for Evaluating Trades 80
Chapter 15: Modeling Stock Prices as Mean Reverting 83
Chapter 16: Optimal FX Hedging 87
Chapter 17: How Long a Time Horizon for Beta? 95
Chapter 18: Matching a Given Market Index 99
Chapter 19: The Three Stage Valuation Model 103
Chapter 20: Modeling Key Drivers of Firm Value 107
Modeling Nike Revenue Growth 107
Modeling COGS/Re venue 109
SGA/Revenue 109
NPPE / Revenue HO
Forecasting Growth of Grocery Market 110
Chapter 21: An Eyeball Model of an Internet Company 111
Tornado Graphs 114
Chapter 22: Determining Effective Marginal Tax Rates 117
Chapter 23: Incorporating Simulation into Proforma Models 121
A Deterministic Proforma 123
Computing Free Cash Flow 127
Incorporating a Variable Interest Rate 128
Incorporating a Target Debt/Equity Ratio 130
Using Monte Carlo Simulation with Proformas 131
Monte Carlo Simulation with Scenarios 135
Simulating an Unfavorable Future 137
Chapter 24: Forecasting Income of a Major Corporation 141
What If Net Incomes Are Not Correlated? 144
Checking the Correlations 145
Chapter 25: Forecasting Structural Costs 147
Structural Costs Problem 147
Modeling the Uncertainty 150
Timing of Costs 151
Bookkeeping Each Quarter s Costs 152
Running and Interpreting the Simulation 153
Chapter 26: Modeling the Profitability of a New Product: Batmobile Sales 155
Scenarios 166
Chapter 27: The XNPV and XIRR Functions 167
Chapter 28: Option Definitions 169
Chapter 29: Types of Real Options 171
Option to Purchase an Airplane 171
Abandonment Option 171
Other Real Option Opportunities 172
Chapter 30: Valuing Options by Arbitrage Methods 173
Chapter 31: Modeling Stock Price or Project Value with Lognormal 177
Simulating the Lognormal Random Variable 179
Chapter 32: The Black-Scholes Option Pricing Model 181
Comparative Statics Results 183
Valuing Warrants 185
Chapter 33: Estimating Volatility 187
Historical Approach to Volatility Estimation 187
The Implied Volatility Approach 189
Chapter 34: The Risk Neutral Approach to Option Pricing 191
Logic Behind the Risk Neutral Approach 191
Example of Risk Neutral Pricing 192
Proof that American Call is Never Exercised Early 193
Chapter 35: The State Price Approach to Asset Valuation 195
Chapter 36: Valuing an Internet Start-up with Black-Scholes Formula 197
Valuing an Internet Start-up 197
Valuing a Pioneer Option : Web TV 200
Chapter 37: Valuing an R and D Project 203
Chapter 38: Relationship Between Binomial and Lognormal Models 209
Using Simulation to Show the Binomial Approximation Works 210
An Approximation to the Approximation! 212
Chapter 39: Pricing an American Option with Binomial Trees 213
The Stock Price Tree 214
The Optimal Decision Strategy 215
Using Conditional Formatting to Describe the Optimal Exercise Policy 216
Relationship to an Abandonment Option 219
Computing the Early Exercise Boundary 219
Chapter 40: Using Real Options to Value a Lease on a Gold Mine 223
Generating Gold Prices 224
Finding Value of Lease 225
Chapter 41: Valuing an Option to Purchase a Company 227
Chapter 42: Valuing an Option to Abandon the Internet Startup 233
When Should We Abandon? 235
Chapter 43: Valuing an Option to Purchase with an Abandonment Option 237
Chapter 44: Using Simulation to Value European Real Options 241
Valuing the Option to Expand 246
Valuing the Option to Contract 248
A Pioneer Option 250
Chapter 45: Using Simulation to Value an Option to Develop Vacant Land 255
Chapter 46: Using Simulation to Value a Compound Option 259
Chapter 47: Using Simulation to Value a Licensing Agreement 263
Chapter 48: Using the Jump Diffusion Model to Value Real Options 265
Applying the Jump Diffusion Model to our Web TV Example 266
Chapter 49: Pricing Options When Stock Price is Not Lognormal 269
Calibrating Risk Neutralization to Market Prices 275
Chapter 50: An Option to Start Up and Shut Down a Gold Mine 281
Chapter 51: Using Trend Curve to Estimate Product Demand 285
Chapter 52: Pricing for a Subscription-Based Service 289
Chapter 53: Optimal Product Bundling 295
How to Find Revenue Maximizing Prices? 299
Using Evolver to Find Optimal Bundle Prices 300
Chapter 54: Optimal Quantity Discounts with Evolver 303
Chapter 55: Price Response to Currency Fluctuation 309
Constant Elasticity Case 312
Chapter 56: Pricing in the Presence of Gray Imports and Piracy 313
Chapter 57: Conjoint Analysis 319
Determination of Product Market Share 329
Chapter 58: Discrete Choice Analysis 334
Chapter 59: Discrete Choice II 337
Optimizing Profitability 340
Chapter 60: Estimating Customer Preferences by Pair wise Comparisons 343
Chapter 61: Optimizing Channel Conflicts 347
Chapter 62: To Free PC or Not to Free PC? 353
Per Customer NPV with No Free PC 356
Chapter 63: Working With Text Functions 359
Concatenation 362
Chapter 64: More on Text Functions 363
Chapter 65: Playing Craps with ©RISK 367
Chapter 66: Simulating the NBA Finals 371
Chapter 67: Database Statistical Functions 373
Chapter 68: Analyzing Data by Resampling 377
|
| any_adam_object | 1 |
| author | Winston, Wayne L. 1950- |
| author_GND | (DE-588)134241614 |
| author_facet | Winston, Wayne L. 1950- |
| author_role | aut |
| author_sort | Winston, Wayne L. 1950- |
| author_variant | w l w wl wlw |
| building | Verbundindex |
| bvnumber | BV037287164 |
| ctrlnum | (OCoLC)711865509 (DE-599)BVBBV037287164 |
| edition | 2. ed. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01200nam a2200301 cc4500</leader><controlfield tag="001">BV037287164</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20110331 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">110317s2008 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781893281097</subfield><subfield code="9">978-1-893281-09-7</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1893281094</subfield><subfield code="9">1-893281-09-4</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)711865509</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV037287164</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-706</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Winston, Wayne L.</subfield><subfield code="d">1950-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)134241614</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Financial models using simulation and optimization</subfield><subfield code="n">2</subfield><subfield code="p">Investment valuation, options pricing, real options & product pricing models</subfield><subfield code="c">Wayne L. Winston</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">2. ed.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Ithaca, NY</subfield><subfield code="b">Palisade Corp.</subfield><subfield code="c">2008</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">IX, 382 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="e">1 CD-ROM</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="w">(DE-604)BV037287132</subfield><subfield code="g">2</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021199825&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-021199825</subfield></datafield></record></collection> |
| id | DE-604.BV037287164 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:55:19Z |
| institution | BVB |
| isbn | 9781893281097 1893281094 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-021199825 |
| oclc_num | 711865509 |
| open_access_boolean | |
| owner | DE-706 |
| owner_facet | DE-706 |
| physical | IX, 382 S. graph. Darst. 1 CD-ROM |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Palisade Corp. |
| record_format | marc |
| spelling | Winston, Wayne L. 1950- Verfasser (DE-588)134241614 aut Financial models using simulation and optimization 2 Investment valuation, options pricing, real options & product pricing models Wayne L. Winston 2. ed. Ithaca, NY Palisade Corp. 2008 IX, 382 S. graph. Darst. 1 CD-ROM txt rdacontent n rdamedia nc rdacarrier (DE-604)BV037287132 2 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021199825&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Winston, Wayne L. 1950- Financial models using simulation and optimization |
| title | Financial models using simulation and optimization |
| title_auth | Financial models using simulation and optimization |
| title_exact_search | Financial models using simulation and optimization |
| title_full | Financial models using simulation and optimization 2 Investment valuation, options pricing, real options & product pricing models Wayne L. Winston |
| title_fullStr | Financial models using simulation and optimization 2 Investment valuation, options pricing, real options & product pricing models Wayne L. Winston |
| title_full_unstemmed | Financial models using simulation and optimization 2 Investment valuation, options pricing, real options & product pricing models Wayne L. Winston |
| title_short | Financial models using simulation and optimization |
| title_sort | financial models using simulation and optimization investment valuation options pricing real options product pricing models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=021199825&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV037287132 |
| work_keys_str_mv | AT winstonwaynel financialmodelsusingsimulationandoptimization2 |