Book Description
RISK MANAGEMENT APPROACHES FOR FIXED INCOME MARKETS
"Golub-Tilman will, I believe, become an absolutely essential reference text for fixed income portfolio managers, traders, issuers, and scholars. It is comprehensive and clearly written. While rigorous, it is easy to understand because of its many practical examples."- Richard Roll, The Allstate Chair in Finance and Insurance, The Anderson School at UCLA, Past President, American Finance Association
"Outstanding and unique! A thorough discussion of the theoretical underpinning of risk management combined with keen insights from a practitioner's perspective. This text will rank among the most essential readings for both market professionals and academics." -Gregory J. Parseghian, Senior Vice President and Chief Investment Officer, Freddie Mac
"The most systematic and comprehensive overview of fixed income risk management."-Philippe Jorion, Professor of Finance, University of California-Irvine, Author, Value at Risk: The New Benchmark for Controlling Derivatives Risk
"An inside look at approaches to fixed income risk management developed at a leading investment firm. The rigorous presentation covers both theoretical and practical considerations as well as their applications to portfolio management. Very interesting and highly recommended."-Charles W. Grant, Managing Director of Fixed Income, Virginia Retirement System
"Few, if any, financial studies have managed to reconcile practical market experience and scientific discipline within such an original approach and with such elegance! An absolute must for anyone in the world of fixed income."-Michele Donegani, Head of Asset Allocation and Manager Selection, European Investment Managers (EIM).
Customer Reviews:
Excellent Book.......2001-03-23
A truly excellent and useful book, although I can see why uninitiated (like Ms. Jane in the review below) won't understand it. The authors possess a wealth of practical knowledge of the fixed income markets and analytics. They rely on both theoretical models and subjective judgement, without which no investment activity can be successful. Their ideas are innovative and rigorous. I especially liked discussions on Value-at-Risk and existing parametric measures of risk. Highly recommend!
Disappointing.......2001-03-17
This book could be excellent. The table of contents offers an appealing mix of important topics. The writing is clear. Unfortunately, the authors don't know their subject. They are a couple of buy-side professionals who know the lingo but not the mathematics that goes behind it. They think that assets are priced based upon expectations, which is precisely the notion Black and Scholes dispensed with in 1973. In their discussion of OAS, they claim that option spreads reflect risk premiums. No, they reflect the cost of maintaining a replicating portfolio. What is really startling is their misperceptions regarding principal components. Applying PCA to yield curve modeling, they have invented a concept of "Most Representative Shock." This will make your eyes roll back into your head.
I wish I could give a better review. I really had great expectations when I ordered this book, and it is clear the authors have put a lot of effort into their writing. They simply lack the expertise to make a substantive contribution.
Review.......2000-07-21
A book written with an amazing transparency of thoughts and intelligence.A "must read" book for anyone who is involved in institutional risk management. ... must own before it becomes a "industry's best kept secret".
review.......2000-07-19
A very interesting book covering most modern issues in Fixed Income risk management. This book represents a rich experience that the authors got in finance and especially in mamanging risk of bond (and similar instruments) portfolio.
I especiallly like the expalnations of partial duration and key rate versus principal components analisys.
The book is technical and oriented towards people implementing modern risk management based on the P&L probability distribution.
I have also learned a few interesting ways of how to communicate quantative results of risk analysis to portfolio managers.
Monte Carlo methods are explained in brief and probably will not satisfy an experience user.
Various option adjusted spread methods are explained very nicely. Benchmark approach is another topic that is well expalined in this book.
I am going to use this book for teaching a Risk Management course (MBA).
Average customer rating:
- Advanced theoretical real options applications
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Real Options in Capital Investment: Models, Strategies, and Applications
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Real Options and Investment under Uncertainty: Classical Readings and Recent Contributions
ASIN: 0275946169 |
Book Description
This compilation integrates various new contributions to the growing "real options" literature. Recent developments in the valuation of capital investment opportunities seen as real options (e.g. to defer, expand, abandon, or switch use) have provided the tools and unlocked the possibilities to revolutionize the field of capital budgeting. The resulting insights, strategies, and techniques enable quantifying the thus far elusive elements of managerial flexibility and various strategic interactions. In an uncertain and constantly changing world marketplace, managerial operating flexibility and strategic adaptability are vital to successfully capitalize on favorable future investment opportunities or limit losses from adverse market developments. This book presents various models and operating strategies, and a variety of applications ranging from acquisitions and divestitures, to natural resource development and pollution compliance. The book's contributions are divided into five parts, covering sections on real options and alternative valuation paradigms for capital investment analysis; on the analysis of general exchange or switching options, and interdependencies among multiple such options; on strategic acquisitions, infrastructure, and foreign investment options; on mean reversion/ alternative formulations in natural resource investments, shipping, and start-up ventures; and on other applications in pollution compliance, land development, flexible manufacturing, and financial default options. Both academic and practitioner interest in these developments is unusually high. The book can serve as supplementary material for the academic market, e.g., in advanced finance courses in option pricing or capital budgeting, in doctoral seminars, and as a library resource. It may also be of interest to the professional market (e.g. corporate planners and finance executives in the oil, pharmaceutical, auto and a variety of other industries), academics from related areas (e.g. decision analysts or economists), as well as to international readers (academics, doctoral students, and professionals).
Customer Reviews:
Advanced theoretical real options applications.......1997-01-05
The editor of this book, Lenos Trigeorgis, earned his Ph.D.
from Harvard University, and has since that published several
articles in distinguished journals on one of his favourite
research subjects - real options.
By using basic option pricing principles in capital investments,
a practicing manager as well as an academic can develop financial
models that handle stochastic information, for instance oil prices.
The capital investment theories explained in this book is the
greatest breakthrough in capital investments since the 60's.
The widely accepted DCF-method should partly be replaced by
Option Pricing Models, OPM, as this is the first method that
can handle volatility and uncertainty in a theoretically
consistent way. Several academics are finding this difficult
to accept - the old "truth" doesn't hold is a volatile environment!
If you believe in Discounted Cash Flow analysis - you MUST read this book!
If you want to stay ahead of your competitors, you SHOULD read
THIS comprehensive book on capital investments! It may require a lot more
maths that any other books on the subject, as the book is rather
theoretical with several real life examples. Most of the 20 authors
have a background in maths as well as economics, something
preferrable but not necessary for the reader of this excellent
book. The book could be recommended for MBA and PhD students.
Niklas Uddstrom (niklas.uddstrom@mandatum.fi)
Book Description
Project Flexibility, Agency, and Competition exemplifies how the development and application of the real options paradigm has revolutionized project evaluation and corporate strategy. The first part of the book focuses on the valuation and the exercise of corporate real options, examining situations in which future project cash flows are (at least partially) controllable by management. Part II deals with agency issues, contracts, and incentives, concentrating on agency problems that arise in a dynamic setting when cash flows are controllable and decision makers have private information. Part III deals with the determination of optimal policies and the valuation of flexibility in natural resource investments. The final part of the book looks at strategic options and product market competition, particularly at reactions of outside parties where strategic interactions between agents are important. These reactions naturally lead to game-theoretic or industry equilibrium valuation models. Project Flexibility, Agency, and Competition is well-suited for corporate executives and students of finance, economics, and engineering management that focus on issues in budgeting or financial theory, and for courses in finance, strategy, and management that deal with options and strategy.
Customer Reviews:
Good book, learnt a lot........2001-07-09
Actually, I'd give it 3.5 stars. Excellent exposition and developement of material. However, there are quite a few typo's that would throw the reader with less math off the trail (and possibly some with good math). Good coverage of different types of cases, underlying math, real world appications and properties of solutions. Personally, I would have preferred all the rigorous material (including math proofs) in the one book rather than making statements and referring to seminal real options papers very often. Some credit is due here, however, as there are some proofs in appendices at the end of each chapter - I think these could have gone into a little more detail and depth - (I say this only because there isn't the vast library of books on this subject that exists for more mature disciplines - guess I was looking for a more comprehensive reference.) I have read Trigeorgis' other books so this was not an introduction. Liked the book, learnt a lot and am applying it to real life projects, however had to learn a fair bit on my own too.
Cutting edge but very challenging mathematically.......2000-07-02
This book gives you the latest update on what's going on in real options theory. Brilliant throughout, but its really too hard mathematically to be of much value for someone who's not a math-person. I found the chapter on the Antamina mine to be immensely interesting. It was originally used as a case study on options theory at Harvard and shows you how these academics went about valuing a peruvian mine. It's a very valuable chapter because it is focused on the practical side of real options theory. The chapter on "Rules of thumb for capital budgeting" didn't make much sense at all to me. The rest of the chapters are no easy read, but if you feel up to it mathematically, you're going to find this a very interesting book. If your not that much into mathematics, I think it's going to leave you rather frustrated. This book cannot have been meant as a guide for practitioners, it's more of a field day for academics, that's my impression at least.
The book of the year 2000 on real options !.......2000-04-22
OK, I admit the year has not ended yet, but that doesn't mean you mus not read this: now! This book is co-edited by Trigeorgis, one of the most proeminent author in the area. It deals with all the new developements on real options. It's objective is to give the researcher or student a key to enter the world of real options. Contributions are worldwide, mainly by people with a strong mathematical background. This makes it sometime difficult to understand for more management focused readers. However the book by the quality of the writting and the new ideas it brings, keeps you awake like a thriller. To be own by any person who want's to know about the future (nearly present) of corporate finance.
Average customer rating:
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Real Options and Investment Incentives
Gunther Friedl
Manufacturer: Springer
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ASIN: 3540482660 |
Book Description
Many large corporations delegate investment decision-making authority to their divisions. Because they are better informed, divisional managers should be able to make better decisions than corporate headquarters. However, they can use this informational advantage to pursue their own interests. The objective of this work is to analyze the problem of delegated decision-making within firms when investment projects are characterized by the possibility to make subsequent decisions after the initial investment decision has been made. By analyzing this question, the monograph combines and unifies two important lines of literature: on the one hand the literature on controlling investment decisions, on the other hand the investment valuation literature.
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The New Investment Theory of Real Options and its Implication for Telecommunications Economics (Topics in Regulatory Economics and Policy)
Manufacturer: Springer
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ASIN: 0792377346 |
Book Description
The issue of costing and pricing in the telecommunications industry has been hotly debated for the last twenty years and we are still wrestling over the cost of the local exchange for access by interexchange and competitive local exchange carriers, as well as for universal service funding. With the advent of competition, the historical costing schemes had to change. Federal regulators wanted to ensure that monopoly rates did not subsidize competitive offerings.
As a result, various costing methodologies were devised to allocate costs among the dominant carriers' services. The issue of costs can be summarized as two-fold: the quantitative determination of the level of costs and the proper attribution of those costs. Both are fraught with questions. The amount of costs, for instance, can vary from book costs to marginal costs. The attribution of costs can vary from those that are directly attributable to those that are joint and common. Hence, the need for costing theories and models.
The industry is constantly in search of theories and models that more accurately reflect the underlying costs of service. It is in this light that the papers have been compiled for
The New Investment Theory
of Real Options in Telecommunications. Real options theory attempts to consider management's flexibility in valuation analysis and corrects the deficiencies of the traditional discounted present-value and decision tree analyses. This book sets forth an introduction and overview of the subject, and then provides the reader with a primer on real options. The volume highlights the controversies that surround the application of real options in the telecommunications industry; however, the editors have effectively separated the issues of application from those of interpretation.
Book Description
The study of investment under uncertainty was stagnant for several decades, until recent developments in real options provided the tools to revitalize the field. The techniques and insights derived from option pricing can now be used to quantify the elusive elements of managerial operating flexibility and strategic interactions ignored or underestimated by conventional Net Present Value and other quantitative approaches.
Topics covered include the reasons for the under-investment problem and conceptual frameworks for viewing productive investment opportunities as real options; useful valuation building blocks; the quantifying of various types of real options separately and in combination; strategic aspects of investment under uncertainty; numerical analysis techniques; a variety of applications, including the valuing of natural resources, R&D and pioneer ventures, land development, strategic acquisitions, government subsidies, power plants and pollution options, flexible manufacturing, and multinational operations; and empirical evidence from oil leasing, land prices, and discontinued operations.
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Technology Investment: A Game Theoretic Real Options Approach (Theory and Decision Library C:)
Kuno J.M. Huisman
Manufacturer: Springer
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ASIN: 0792374878 |
Book Description
The technology investment decision of an individual firm has become a very complex matter in recent years. One reason is the incredibly rapid progress of technological developments in the last decades. Another reason is the existence of and movement towards oligopolistic markets. In this book, several theoretical and technology investment models of the firm are developed and analyzed. To solve these models real options theory and game theory is used. The real options theory makes it possible to explicitly take into account (and value) the option value of waiting. Game theory is used to incorporate strategic interactions. Technology Investment extends the already existing real options models by the introduction of game theory. The game theory, or more specifically, the theory of timing games, is extended by the inclusion of stochastics.
Book Description
This digital document is a journal article from Journal of Financial Economics, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
We examine interactions between flexible financing and investment decisions in a model with stockholder-bondholder conflicts over investment policy. We find that financial flexibility encourages the choice of short-term debt thereby dramatically reducing the agency costs of under- and overinvestment. However, the reduction in agency costs may not encourage the firm to increase leverage, since the firm's initial debt level choice depends on the type of growth options in its investment opportunity set. The model has a number of testable predictions for the joint choice of leverage and maturity, and how these choices interact with a firm's growth opportunities.
Book Description
This digital document is a journal article from Energy Economics, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
Irreversible investments made with incomplete information are the mainstay of the petroleum industry. Sequential, non-repetitive investment decisions with alternative pathways associated with exploration through full-field development are common. We demonstrate a policy development approach that combines the Bellman equation for dynamic programming with a real options valuation algorithm. This represents the first demonstration of the mathematical union of the two techniques for branching decision pathways, producing a generalized policy development framework that provides risk management of investments. Production expansion investment decisions for a Central Asian gas condensate field are analyzed using the framework.
Book Description
This digital document is a journal article from Economics Letters, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
We further elucidate the smooth pasting condition behind optimal early exercise of options. It is easy to show that smooth pasting implies rate of return equalization between the option and the levered position that results from exercise. This yields new economic insights into the optimal early exercise condition that the option holder faces.
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