Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice by Marcus Schulmerich

Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice

Marcus Schulmerich
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Details

  • ISBN
    9783642126611 / 3642126618
  • Title Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice
  • Author Marcus Schulmerich
  • Category Monetary Economics
    Banking
    Probability & Statistics
    Applied Mathematics
  • Format
    Hardcover
  • Year 2010
  • Pages 389
  • Publisher
    Springer-verlag Berlin And Heidelberg Gmbh & Co. Kg
  • Imprint Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • Edition
    2nd
  • Language English
  • Dimensions 156mm x 24mm x 234mm

Annotation

This book analyzes real options valuation for non-constant versus constant interest rates using simulations and historical backtesting. It provides a systematic analysis and compares real options valuation using constant interest rates and the implied forward rates with methods that simulate interest rates stochastically. Real options are combined with various pricing tools and stochastic term structure models like the Vasicek, Cox-Ingersoll-Ross, Ho-Lee, and Hull-White one-factor and two-factor models. All necessary theory is provided in the book. All results are explained in detail and rules are derived for application in Corporate Finance practice. The major change in this second edition is the expanded number of tested scenarios. The second edition contains an expanded number of tested scenarios covering the time period of the financial crisis 2008, one of the worst stock market crashes in history. The findings confirm the results provided in the first edition.

Publisher Description

The Importance of Interest Rate Modelling in Theory and Practice. .

Author Biography

Marcus Schulmerich received his doctoral degree with Prof. Ulrich Hommel, Ph.D., Endowed Chair of Corporate Finance and Capital Markets at the ebs Business School in Wiesbaden, Germany. He is a Mathematician by training, focusing on Financial Engineering, and earned his MBA from the M.I.T. Sloan School of Management in Cambridge, MA / USA. Dr. Schulmerich works as a Product Specialist for quantitative equity and hedge fund strategies with State Street Global Advisors (SSgA) in Munich, Germany, covering the complete EMEA region (Europe, Middle East and Africa). He is a frequent guest lecturer at the ebs and other universities for courses in “Financial Engineering”, “Risk Management” and “Derivatives” and publishes regularly on Finance and Asset Management in newspapers, magazines and books.

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Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice

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