Sharif Digital Repository

The Real Option Theory (ROT) offers a modern methodology for the valuation of an investment project because it considers the value of managerial flexibility facing project uncertainties. The present work seeks to study the Expand and Swich options value for a polymer plant investment project. Perhaps the most critical step of ROT is the estimation of the project volatility. This work also makes an effort to estimate the project volatility in different cases considering different possibilities of modeling the uncertain variables. The main uncertain variables that can positively affect the project value are the price of the raw material, the price of the product and the demand growth of the... 

Toxic flow occurs when a trader with confidential information trades with a market maker without that information. The trade price is such that the market maker is obliged to provide the desired liquidity by taking the risk of loss for the order. The PIN (Probability of Informed Trading) is widely used to calculate the amount of toxic flow in a market and evaluate the market condition in terms of informed trading. However, Easley et al. (2012a) propose a new alternative method based on high-frequency data and daily orders called VPIN (Volume-Synchronized Probability of Informed Trading), and we apply it in the Iran stock market. This method can give the market makers the ability to predict... 

This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds, options are susceptible to broader risks. A distinctive trait characterizing this category of instruments is their non-linear price behavior relative to their pricing parameters. Consequently, evaluating the risk of these securities is notably more intricate when juxtaposed with analogous scenarios involving fixed-income instruments, such as debt securities. A paramount facet in options risk assessment is the inherent uncertainty stemming from first-order fluctuations in the underlying asset’s volatility. The... 

Credit risk is the possibility of a loss resulting from a borrower's failure to repay a loan or meet contractual obligations. All banks and financial institutions need to manage credit risk of their lending portfolios to maximize risk-adjusted rate of return and obey regulatory rules. The most commonly used method for determining credit risk is to calculate the maximum loss within the “Value at Risk” framework.Previous studies proposed different models for Credit VaR calculation like Vasicek Model and Credit Risk Plus Model. Furthermore, due to the high growth of computing power and easy access to information, the application of data-driven models such as Machine Learning has been increasing... 

This thesis is concentrated on some subjects on population genetics. In the rst part we give formulae including the expectation and variance of the height and the length of the ancestral recombination graph (ARG) and the expectation and variance of the number of recombination events and we show that the expectation of the length of the ARG is a linear combination of the expectation of the length of Kingman's coalescent and the expectation of the height of the ARG. Also we show give a relation between the expectation of the ARG and the expectation of the number of recombination events. At the end of this part we show that the ARG comes down from innity in the sense that we can dene it with X0... 

This thesis deals with credit derivatives modeling and consists of two parts:The first part concerns the density model, recently proposed by El Karoui et al. [46], where the standing assumption is that the conditional law of default time given the reference filtration is equivalent to its (non-conditional) law. Under this assumption, we provide alternative (and simpler) proofs for some existing results in the theory of initial and progressive enlargement of filtrations. Also, we present some new results such as the predictable representation theorem for progressively enlarged filtration in the multidimensional case. We then propose several methods to construct density models, in both...