com/locate/jempfin Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts☆ Guillermo Benavides a‚⁎‚ Carlos Capistrán b a b Banco de México‚ Mexico Bank of America Merrill Lynch‚ Mexico article info Article history: Received 26 February 2010 Accepted 5 July 2012 Available online 16 July 2012 Keywords: Composite forecasts Forecast evaluation GARCH Implied volatility Mexican peso–U.S. dollar exchange rate
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IEOR E4707: Financial Engineering: Continuous-Time Models c 2009 by Martin Haugh Fall 2009 Black-Scholes and the Volatility Surface When we studied discrete-time models we used martingale pricing to derive the Black-Scholes formula for European options. It was clear‚ however‚ that we could also have used a replicating strategy argument to derive the formula. In this part of the course‚ we will use the replicating strategy argument in continuous time to derive the Black-Scholes partial
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SCIENTIA MA NU NTE E T ME Implied Volatility: General Properties and Asymptotics October 14‚ 2009 A thesis presented to The University of New South Wales in fulfilment of the thesis requirement for the degree of Doctor of Philosophy by M ICHAEL PAUL V ERAN R OPER For Gail PLEASE TYPE THE UNIVERSITY OF NEW SOUTH WALES Thesis/Dissertation Sheet Surname or Family name: Roper First name: Michael Other name/s:Paul Veran Abbreviation for degree as given in
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STOCK MARKET VOLATILITY IN INDIA: A CASE OF SELECT SCRIPTS Puja Padhi* Abstract An attempt has been made in this paper to explain the stock market volatility at the individual script level and at the aggregate indices level. The empirical analysis has been done by using Autoregressive conditional heteroscedasticity model (ARCH)‚ Generalised autoregressive conditional heteroscedasticity (GARCH) model and ARCH in Mean model and it is based on daily data for the time period from January
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Assignment: Arundel Partners You should prepare the Arundel Partners case for class discussion. I will ask several members of the class to present their analyses of the case issues‚ and we will discuss the pros and cons of each approach. In particular‚ one might think of analyzing this case using the real options perspective‚ and/or one might think of analyzing this case using the traditional analysis perspective (DPL‚ @Risk‚ etc.). Choose one or both of these ways of thinking about the problem
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Case Write-Up: Arundel Partners 15.415 Finance Theory Section B‚ Oysters Arundel Partners: The Sequel Project With the purchase of sequel rights‚ what Arundel is achieving is to have a call option on the revenue that each movie brings. This helps to remove the uncertainty and risks associated with producing a movie‚ especially with regard to moviegoers’ taste. With the sequel right‚ Arundel will only exercise this option to produce a sequel if the first movie proved to be popular and the
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mainly intrigued by the rare quality of objects. These objects possess a greater value because they are in limited supply‚ and are extremely exclusive. The Wilton House is one of the few institutions that possess some of the Arundel marbles‚ and numerous other sculptures. The Arundel marbles are from classical Rome. These possessions reinforce the idea that some objects are collected based on their rarity‚ rather than their intrinsic value. This provides the owner with a certain amount of social persuasion
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2. How can the Capital Asset Pricing Model (CAPM) be used to estimate the cost of capital for real (not financial) investment decision? The CAPM is a sound mathematical model that emphasizes expected returns in the market. It offers a basis of assessment for financial decisions when compared to real investments. The expected return on any venture must be higher than what a firm can receive by investing an equal sum of money in financial investments. Some notable investors disagree with the use of
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1. INTRODUCTION In 1992‚ Arundel Partners was looking into the idea of purchasing the sequel rights associated with films produced by one or more major movie studios. Movie rights were to be purchased prior to films being made. Arundel wanted to determine if this innovative business strategy is viable by estimating the value of the sequel rights. 2. OBJECTIVE Our report aims to investigate the viability of the implementation of Arundel’s strategy in purchasing sequel rights to produce
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Submitted by‚ Anil Anjum Nisar Ahmed Murtaza Naqvi Omer Akif Arundel Partners: The Sequel Project If the first movie was a success they would exercise their right and make the sequel or sell it to the highest bidder. Otherwise they would just write it off their investment schedule. The chances of making a profitable business would largely depend on a good estimate of the rights present value at the contract date. To less would not tempt the studios (inquiries indicated not less than USD 2 million
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