26 research outputs found
Timing of Convertible Debt Financing and Investment
In this paper, we examine the optimal investment policy of the firm which is financed by issuing equity, straight debt and convertible debt. We extend the model in Mauer and Sarkar (2005) over financing with convertible debt. We examine two different investment policies that maximize the equity value and the firm value and show the agency cost as the difference between each policy value. Furthermore, we investigate how the issuance of convertible debt affects investment.
The Valuation of Discrete-Time Contingent Claims with Upper and Lower Bounds; Revisited with Refinements (Financial Modeling and Analysis)
On a Stochastic Cash Management Model with Two Sources of Short-term Funds (Financial Modeling and Analysis)
The Valuation of Callable Financial Options with Regime Switches : A Discrete-time Model (Financial Modeling and Analysis)
The Valuation of Callable Russian Options for Double Exponential Jump Diffusion Processes (Financial Modeling and Analysis)
A Continuous review inventory model with stochastic price procured in the spot market (Mathematical Analysis of Uncertainty and Decision Making)
Piecewise linear Markov decision processes with an application to partially observable Markov models
This dissertation applies policy improvement and successive
approximation or value iteration to a general class of Markov decision processes with discounted costs. In particular, a class of Markov decision processes, called piecewise-linear, is studied. Piecewise-linear processes are characterized by the property that the value function of a process observed for one period and then terminated is piecewise-linear if the terminal reward function is piecewise-linear. Partially observable Markov decision processes have this property.
It is shown that there are e-optimal piecewise-linear value functions and piecewise-constant policies which are simple. Simple means that there are only finitely many pieces, each of which is defined on a convex polyhedral set. Algorithms based on policy improvement and successive approximation are developed to compute simple approximations to an optimal policy and the optimal value function.Business, Sauder School ofGraduat
Callable Russian Options and Their Optimal Boundaries
We deal with the pricing of callable Russian options. A callable Russian option
is a contract in which both of the seller and the buyer have the rights to cancel and to exercise at any time,
respectively. The pricing of such an option can be formulated as an optimal stopping problem between the
seller and the buyer, and is analyzed as Dynkin game. We derive the value function of callable Russian
options and their optimal boundaries