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

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.
Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice
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The Importance of Interest Rate Modelling in Theory and Practice. .
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.
Real Options in Theory and Practice.- Stochastic Models for the Term Structure of Interest Rates.- Real Options Valuation Tools in Corporate Finance.- Analysis of Various Real Options in Simulations and Backtesting.- Summary and Outlook.
Author
Marcus Schulmerich
Language
English
Edition
2nd
ISBN-10
3642126618
ISBN-13
9783642126611
Media
Book
Format
Hardcover
Series
The Importance Of Interest Rat
Year
2010
Imprint
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Place of Publication
Berlin
Country of Publication
Germany
DEWEY
332.63
Publisher
Springer-verlag Berlin And Heidelberg Gmbh & Co. Kg
Short Title
REAL OPTIONS VALUATION 2010/E
Edition Description
2010
Subtitle
The Importance of Interest Rate Modelling in Theory and Practice
Replaces
9783540261919
Publication Date
2010-08-12
Pages
389
Illustrations
122 black & white tables, biography
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