As Taiwan became a member of the WTO, the positive of the regulatory agencies toward the financial markets is more proactive. Through efficient management, the government is open to creating new market. This sets in motion the acceleration of internationalization. More financial derivatives which provide the necessary riskmanagement tools are expected in the future. In the environment with dive...

At the heart of any asset pricing theory is the view that a few pervasive factors are the dominant source of covariation among asset returns. While the existence of such systematic state variables is implied by comovements of asset prices, the theoretical asset pricing models do not (and perhaps cannot) provide an identity of these exogeneous economic forces. In light of this, empirical studies...

In this paper insurance claims are priced using an indifference pricing principle. We first revisit the traditional economic framework and then extend it to include the presence of a complete financial market. In this context we derive lower bounds for claims’ prices, and these bounds correspond to the market prices of some explicitly known financial payoffs. In particular we show that the disc...

According to the nature of their activities, banks are exposed to various types of risks. Hence, risk management is at the heart of financial institutions management. In this study, we intend to summarize the information content of bank financial statements on diverse risks faced by banks and then determine how stock markets react to bank's risk management behavior. The methodology used in this...

introduction: nowadays, efficient use of scarce water resources is one of the government’s importantgoals for dealing sustainable development in the agricultural sector. in addition to optimal exploitation and using of surface and groundwater resources, choosing of efficient types of irrigation technologies is a very important factor in sustainable water resource management. this study tries to...

The Quanto option is a cash-settled, cross-currency derivative in which the underlying asset has a payoff in one country, but the payoff is converted to another currency in which the option is settled. Thus, the correlation between the underlying asset and currency exchange rate plays an important role on pricing such options. Market observations give clear evidence that financial quantities ar...

We develop a new method for pricing American options. The main practical contribution of this paper is a general algorithm for constructing upper and lower bounds on the true price of the option using any approximation to the option price. We show that our bounds are tight, so that if the initial approximation is close to the true price of the option, the bounds are also guaranteed to be close....

Recent studies have emphasized the role of irreversibility, flexibility, and uncertainty in assessing the financial implications of regulated access pricing in the telecommunications market (Pindyck 2004, 2005). In particular it has been argued that mandatory unbundling of the local loop creates optionalities (real options), leading to a transfer of wealth from incumbents to entrants unaccounte...