Abdolsadeh Neisy; Nasrollah Mahmoudpour; Moslem Peymany; Meisam Amiri
Abstract
Pricing catastrophe swap as an instrument for insurance companies risk management, has received trivial attention in the previous studies, but in most of them, damage severities caused by the disaster has been considered to be fixed. In this study, through considering jumps for modeling the occurrence ...
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Pricing catastrophe swap as an instrument for insurance companies risk management, has received trivial attention in the previous studies, but in most of them, damage severities caused by the disaster has been considered to be fixed. In this study, through considering jumps for modeling the occurrence of disasters as in Unger [32] and completing it through considering damages caused by natural disasters as stochastic, an integro-differential model was extracted to value catastrophe swap contracts. In determining the swap price changes, the Ito command was followed and to achieve the catastrophic swap model, the generalization of the Black and Scholes modeling method was used. [3]. With regard to the initial and boundary conditions, extracted model does not have an analytical solution; thus, its answer was approximated using the finite difference numerical method and the effect of considering the damage as stochastic on swap value was analyzed. In addition, the model and the extracted numerical solution were separately implemented on the data about the earthquake damage in the United States and Iran. The results showed that prices will experience a regular upward trend until damage growth, damage severities, and occurrence probability of a catastrophe are not so high that the buyer of the swap is forced to pay compensation to the swap’s seller. Of course, the prices will fall sharply as soon as they reach and cross the threshold.
Mehran Kaviani; Ali Mohammad Ghanbari; Moslem Peymany
Abstract
Business expansions being engaged in variety of industries in purpose of getting bigger market share, role of corporate governance within the financial decision. One of the important issues in corporate governance is block trading with purpose of control or invest in target firms. If the plan is to acquire ...
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Business expansions being engaged in variety of industries in purpose of getting bigger market share, role of corporate governance within the financial decision. One of the important issues in corporate governance is block trading with purpose of control or invest in target firms. If the plan is to acquire majority of shares and decision making, block trade along with paying premium are of great importance. The purpose of this study is to determine factors affecting on premium of block trading of firms listed in Tehran Stock Exchange or Iran Fara Bourse. Due to the significant impact of companies in refining and petrochemical sectors on whole economy and capital market, this kind of firms should have been considered specially. Multivariate regression and ordinary least squares (OLS) method was used to study the model related to the influential factors on the paid premium of the block trading. Finding of the research shows that financial structure, features of block trading, profitability and efficiency are among factors affecting on premium and also the type of company does not effect on premium.
Moslem Peymany
Abstract
This study emphasizes on the mathematical modeling procedure of stock price behavior and option valuation in order to highlight the role and importance of advanced mathematics and subsequently computer software in financial analysis. To this end, following price process modeling and explaining the procedure ...
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This study emphasizes on the mathematical modeling procedure of stock price behavior and option valuation in order to highlight the role and importance of advanced mathematics and subsequently computer software in financial analysis. To this end, following price process modeling and explaining the procedure of option pricing based on it, the resulting model is solved using advanced numerical methods and is executed by MATLAB software. As derivatives pricing models are based on price behavior of underling assets and are subject to change as a result of variation in the behavior of the asset, studying the price behavior of underlying asset is of significant importance. A number of such models (such as Geometric Brownian Motion and jump-diffusion model) are, therefore, analyzed in this article, and results of their execution based on real data from Tehran Stock Exchange total index are presented by parameter estimation and simulation methods and also by using numerical methods.
