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    • Plusieurs versions

    Information stages in efficient markets

    Aitsahlia, Farid, Yoon, Joon-Hui
    Journal of Banking and Finance, August 2016, Vol.69, pp.84-94 [Revue évaluée par les pairs]

    • Livre
    Sélectionner

    Elementary probability theory : with stochastic processes and an introduction to mathematical finance

    Chung, Kai Lai
    AitSahlia, Farid
    New York ; Heidelberg [etc.] : Springer-Verlag
    [2003]
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    Titre: Elementary probability theory : with stochastic processes and an introduction to mathematical finance / Kai Lai Chung, Farid Aitsahlia
    Auteur: Chung, Kai Lai
    Contributeur: AitSahlia, Farid
    Edition: 4th ed..
    Editeur: New York ; Heidelberg [etc.] : Springer-Verlag
    Date: [2003]
    Collation: XIII, 402 p. : ill. ; 25 cm
    Collection: Undergraduate texts in mathematics
    Documents dans cette collection: Undergraduate texts in mathematics
    Sujet RERO: Probabilités - Processus stochastiques
    Classification: LC QA273
    Identifiant: 038795578X (ISBN); http://catalogue.bnf.fr/ark:/12148/cb391181931 (URN)
    No RERO: R003366975
    Permalien:
    http://data.rero.ch/01-R003366975/html?view=FR_V1

    • Plusieurs versions

    American option pricing under stochastic volatility: an empirical evaluation

    AitSahlia, Farid, Goswami, Manisha, Guha, Suchandan
    Computational Management Science, 2010, Vol.7(2), pp.189-206 [Revue évaluée par les pairs]

    • Plusieurs versions

    American option pricing under stochastic volatility: an efficient numerical approach

    AitSahlia, Farid, Goswami, Manisha, Guha, Suchandan
    Computational Management Science, 2010, Vol.7(2), pp.171-187 [Revue évaluée par les pairs]

    • Article
    Sélectionner

    PII: S0378-4266(07)00124-0

    Journal of Banking and Finance, 2007, Vol.31(11), pp.v-vi [Revue évaluée par les pairs]
    ScienceDirect Journals (Elsevier)
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    Titre: PII: S0378-4266(07)00124-0
    Contributeur: Aitsahlia, Farid (Editor)
    Sujet: Business
    Fait partie de: Journal of Banking and Finance, 2007, Vol.31(11), pp.v-vi
    Identifiant: 0378-4266 (ISSN); 1872-6372 (E-ISSN); 10.1016/j.jbankfin.2007.04.001 (DOI)

    • Article
    Sélectionner

    Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts

    Aitsahlia, Farid, Wang, Chung-Jui, Cabrera, Victor E., Uryasev, Stan, Fraisse, Clyde W.
    Annals of Operations Research, 10/2011, Vol.190(1), pp.201-220 [Revue évaluée par les pairs]
    Springer (via CrossRef)
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    Titre: Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts
    Auteur: Aitsahlia, Farid; Wang, Chung-Jui; Cabrera, Victor E.; Uryasev, Stan; Fraisse, Clyde W.
    Sujet: Economics / Management Science ; Operations Research/Decision Theory ; Theory of Computation ; Combinatorics ; Engineering ; Business ; Computer Science;
    Description: This paper investigates the impact of ENSO-based climate forecasts on optimal planting schedules and financial yield-hedging strategies in a framework focused on downside risk. In our context, insurance and futures contracts are available to hedge against yield and price risks, respectively. Furthermore, we adopt the Conditional-Value-at-Risk (CVaR) measure to assess downside risk, and Gaussian copula to simulate scenarios of correlated non-normal random yields and prices. The resulting optimization problem is a mixed 0–1 integer programming formulation that is solved efficiently through a two-step procedure, first through an equivalent linear form by disjunctive constraints, followed by decomposition into sub-problems identified by hedging strategies. With data for a representative cotton producer in the Southeastern United States, we conduct a study that considers a wide variety of optimal planting schedules and hedging strategies under alternative risk profiles for each of the three ENSO phases (Niña, Niño, and Neutral.) We find that the Neutral phase generates the highest expected profit with the lowest downside risk. In contrast, the Niña phase is associated with the lowest expected profit and the highest downside risk. Additionally, yield-hedging insurance strategies are found to vary significantly, depending critically on the ENSO phase and on the price bias of futures contracts.
    Fait partie de: Annals of Operations Research, 10/2011, Vol.190(1), pp.201-220
    Identifiant: 0254-5330 (ISSN); 1572-9338 (E-ISSN); http (DOI)

    • Article
    Sélectionner

    Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts

    AitSahlia, Farid, Wang, Chung-Jui, Cabrera, Victor, Uryasev, Stan, Fraisse, Clyde
    Annals of Operations Research, 2011, Vol.190(1), pp.201-220 [Revue évaluée par les pairs]
    Springer Science & Business Media B.V.
    Disponible
    Plus…
    Titre: Optimal crop planting schedules and financial hedging strategies under ENSO-based climate forecasts
    Auteur: AitSahlia, Farid; Wang, Chung-Jui; Cabrera, Victor; Uryasev, Stan; Fraisse, Clyde
    Description: This paper investigates the impact of ENSO-based climate forecasts on optimal planting schedules and financial yield-hedging strategies in a framework focused on downside risk. In our context, insurance and futures contracts are available to hedge against yield and price risks, respectively. Furthermore, we adopt the Conditional-Value-at-Risk (CVaR) measure to assess downside risk, and Gaussian copula to simulate scenarios of correlated non-normal random yields and prices. The resulting optimization problem is a mixed 0–1 integer programming formulation that is solved efficiently through a two-step procedure, first through an equivalent linear form by disjunctive constraints, followed by decomposition into sub-problems identified by hedging strategies. With data for a representative cotton producer in the Southeastern United States, we conduct a study that considers a wide variety of optimal planting schedules and hedging strategies under alternative risk profiles for each of the three ENSO phases (Niña, Niño, and Neutral.) We find that the Neutral phase generates the highest expected profit with the lowest downside risk. In contrast, the Niña phase is associated with the lowest expected profit and the highest downside risk. Additionally, yield-hedging insurance strategies are found to vary significantly, depending critically on the ENSO phase and on the price bias of futures contracts.
    Fait partie de: Annals of Operations Research, 2011, Vol.190(1), pp.201-220
    Identifiant: 0254-5330 (ISSN); 1572-9338 (E-ISSN); 10.1007/s10479-009-0551-2 (DOI)

    • Plusieurs versions

    Random walk duality and the valuation of discrete lookback options

    Aitsahlia, Farid, Le Lai, Tzeung
    Applied Mathematical Finance, 01 September 1998, Vol.5(3-4), pp.227-240 [Revue évaluée par les pairs]
    Taylor & Francis (Taylor & Francis Group)
    • Article
    Sélectionner

    Corrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping

    Lai, Tze Leung, Yao, Yi-Ching, Aitsahlia, Farid
    Advances in Applied Probability, 1 September 2007, Vol.39(3), pp.753-775 [Revue évaluée par les pairs]
    Archival Journals (JSTOR)
    Disponible
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    Titre: Corrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping
    Auteur: Lai, Tze Leung; Yao, Yi-Ching; Aitsahlia, Farid
    Sujet: Studies ; Random Walk Theory ; Approximations ; Brownian Movements ; Securities Prices ; Experiment/Theoretical Treatment ; Economic Theory ; Investment Analysis & Personal Finance;
    Description: Corrected random walk approximations to continuous-time optimal stopping boundaries for Brownian motion, first introduced by Chernoff and Petkau, have provided powerful computational tools in option pricing and sequential analysis. This paper develops the theory of these second-order approximations and describes some new applications.
    Fait partie de: Advances in Applied Probability, 1 September 2007, Vol.39(3), pp.753-775
    Identifiant: 00018678 (ISSN)

    • Dissertation
    Sélectionner

    Information asymmetry in direction and volatility: Price process and transactional level analysis

    Yoon, Joon-Hui
    ProQuest Dissertations and Theses
    © ProQuest LLC All rights reserved, ABI/INFORM Global, ProQuest Dissertations & Theses Global: The Humanities and Social Sciences Collection, ProQuest Dissertations & Theses Global: The Sciences and Engineering Collection, ABI/INFORM Global (Alumni edition), ProQuest Dissertations and Theses Global A&I: The Humanities and Social Sciences Collection, ProQuest Dissertations and Theses Global A&I: The Sciences and Engineering Collection, ABI/INFORM Complete, ProQuest Dissertations & Theses Full Text, ProQuest Central, ABI/INFORM Collection (Alumni edition), ProQuest Dissertations & Theses A&I, ProQuest Business Collection, ProQuest Dissertations & Theses: Global, Business Premium Collection, Business Premium Collection (Alumni edition), ProQuest Central (new), ProQuest Central Korea, ProQuest One Academic
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    Titre: Information asymmetry in direction and volatility: Price process and transactional level analysis
    Auteur: Yoon, Joon-Hui
    Contributeur: Aitsahlia, Farid (advisor)
    Editeur: ProQuest Dissertations Publishing
    Date: 2009
    Sujet: Finance ; Industrial Engineering ; Studies ; Transactional Analysis ; Finance ; Industrial Engineering ; Social Sciences ; Applied Sciences ; Econometrics ; Information Asymmetry ; Market Microstructure ; Stochastics
    Description: This dissertation develops a structural methodology for equity pricing in a semi-strong efficient market and performs an empirical study supporting the need for such a methodology. Conventional price dynamics of equities and their related options assume markets to be strongly efficient. This hypothesis however is a severe simplification ignoring liquidity risk, adverse selection effect, and the difficulty of achieving informational efficiency. The methodology proposed in this thesis categorizes equity price dynamics into 3 sub-processes: fundamental value, duration, and National Best Bid and Offer (NBBO) revisions. This approach reveals how an informed trader's knowledge is eventually incorporated into equity and option prices. Market-makers are assumed to apply Bayesian Nash-equilibrium strategies to construct rational NBBO quotes to hedge against adverse selection risk as well as to provide quotes attractive to uninformed traders. The objective of the empirical study is to find evidence...
    Fait partie de: ProQuest Dissertations and Theses
    Identifiant: 978-1-109-51379-0 (ISBN)