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- W3204263785 abstract "We develop models to price long term loans in the securities lending business. These longer horizon deals can be viewed as contracts with optionality embedded in them and can be priced using established methods from derivatives theory. The techniques we advance can lead to greater synergies between the management of derivative and delta-one trading desks, perhaps even being able to combine certain aspects of the day to day operations of these seemingly disparate entities. We run numerical simulations to demonstrate the practical applicability of these models. These models are part of one of the least explored yet profit laden areas of modern investment management. We develop a heuristic that can mitigate any loss of information, that might set in when parameters are estimated first and then the valuation is performed, by directly calculating the valuation using the historical time series. This can lead to reduced models errors, robust estimation systems, greater financial stability and economic strength. We illustrate how the methodologies developed here could be useful for inventory management, emissions trading and insurance risk mitigation. All these techniques could have applications for dealing with other financial instruments, non-financial commodities and many forms of uncertainty." @default.
- W3204263785 created "2021-10-11" @default.
- W3204263785 creator A5091580675 @default.
- W3204263785 date "2016-01-01" @default.
- W3204263785 modified "2023-09-27" @default.
- W3204263785 title "Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory" @default.
- W3204263785 hasPublicationYear "2016" @default.
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