scholarly journals An Intrinsic Value Approach to Valuation with Forward–Backward Loops in Dividend Paying Stocks

Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1520
Author(s):  
Anna Kamille Nyegaard ◽  
Johan Raunkjær Ott ◽  
Mogens Steffensen
Keyword(s):  
Stochastic System ◽  
Intrinsic Value ◽  
Numerical Approach ◽  
Deterministic System ◽  
Underlying Asset ◽  
Numerical Example ◽  
Dividend Payments ◽  
Intrinsic Values ◽  
Equity Value ◽  
Asset Value

We formulate a claim valuation problem where the dynamics of the underlying asset process contain the claim value itself. The problem is motivated here by an equity valuation of a firm, with intermediary dividend payments that depend on both the underlying, that is, the assets of the company, and the equity value itself. Since the assets are reduced by the dividend payments, the entanglement of claim, claim value, and underlying is complete and numerically challenging because it forms a forward–backward stochastic system. We propose a numerical approach based on disentanglement of the forward–backward deterministic system for the intrinsic values, a parametric assumption of the claim value in its intrinsic value, and a simulation of the stochastic elements. We illustrate the method in a numerical example where the equity value is approximated efficiently, at least for the relevant ranges of the asset value.

Kant against the Animals, Part 2

2018 ◽  
Author(s):  
Christine M. Korsgaard
Keyword(s):  
Intrinsic Value ◽  
Special Kind ◽  
Intrinsic Values ◽  
Limits Of Knowledge

Opponents of Kant suppose he thinks that autonomy gives rational beings a special kind of intrinsic value. Since knowledge of intrinsic values would have to be a kind of metaphysical knowledge, this interpretation is contrary to Kant’s strictures on the limits of knowledge. Rather, Kant thinks that only rational beings can engage in reciprocal lawmaking, which is the source of moral laws. Animals cannot obligate us in the sense of participating in making laws for us. This, however, ignores a second sense in which we can have duties to animals: the laws we make for the treatment of people might also cover the treatment of animals. The chapter ends by explaining why it is hard to get this kind of conclusion using the universalization test.

Estimation of Steady-State Optimal Filter Gain From Nonoptimal Kalman Filter Residuals

1994 ◽  
Vol 116 (3) ◽  
pp. 550-553 ◽  
Author(s):  
Chung-Wen Chen ◽  
Jen-Kuang Huang
Keyword(s):  
Kalman Filter ◽  
Steady State ◽  
Finite Number ◽  
Discrete Time ◽  
Stochastic System ◽  
Moving Average ◽  
Ar Model ◽  
Numerical Example ◽  
Measurement Noises ◽  
Time Invariant

This paper proposes a new algorithm to estimate the optimal steady-state Kalman filter gain of a linear, discrete-time, time-invariant stochastic system from nonoptimal Kalman filter residuals. The system matrices are known, but the covariances of the white process and measurement noises are unknown. The algorithm first derives a moving average (MA) model which relates the optimal and nonoptimal residuals. The MA model is then approximated by inverting a long autoregressive (AR) model. From the MA parameters the Kalman filter gain is calculated. The estimated gain in general is suboptimal due to the approximations involved in the method and a finite number of data. However, the numerical example shows that the estimated gain could be near optimal.

A Naturalistic Intrinsic Value Theodicy

2019 ◽  
pp. 236-258
Author(s):  
Scott A. Davison
Keyword(s):  
Intrinsic Value ◽  
Natural Sciences ◽  
Human Freedom ◽  
Human Survival ◽  
Divine Intervention ◽  
Intrinsic Values ◽  
The World ◽  
The Universe

The theodicy explored in Chapter 13 is naturalistic in the sense that it does not appeal to the existence of good things or events or processes that cannot be studied using the natural sciences. More specifically, unlike most of the theodicies that are typically discussed in the literature, this one does not involve any claims about human survival of death, the existence of a soul, libertarian human freedom, or divine intervention, miraculous or otherwise. The theodicy explored here involves the following claims: Everything that exists is intrinsically valuable to some degree; the universe as a whole is a thing of immense intrinsic value; the immense intrinsic value of the universe as a whole provides God with a justifying reason for creating it; the evil in the world is offset by the intrinsic values of the creatures affected together with the intrinsic value of the world that comes from its regularity.

Dynamic Behavior of String Subjected to Travelling Mass

2019 ◽  
Author(s):  
Shakti P. Jena ◽  
S. Naresh Kumar ◽  
Hemanth Cheedella
Keyword(s):  
Finite Element ◽  
Finite Element Model ◽  
Green’S Function ◽  
Dynamic Behavior ◽  
Green's Function ◽  
Transverse Vibration ◽  
Element Model ◽  
Numerical Approach ◽  
Complete Analysis ◽  
Numerical Example

Abstract The present study is based on the transverse vibration analogy of a string subjected to a travelling mass. The string is considered to be fixed at their both ends. The responses of the string due to the dynamic behavior of the travelling mass are determined using a numerical approach i.e. Green’s function. A Finite Element Model (FEM) has been developed to authenticate the numerical approach. For the responses analysis of the string, numerical example has been illustrated to study the behavior of the string due to the travelling mass and to check the convergence of the two proposed analogies (Green’s function and FEM). The complete analysis has been performed at constant travelling speed and different masses. The two approaches converge well and the Green’s function methodology found to be suitable one.

scholarly journals The effects of dust on the derived photometric parameters of disks and bulges in spiral galaxies

2012 ◽  
Vol 8 (S292) ◽  
pp. 290-290
Author(s):  
B. A. Pastrav ◽  
C. C. Popescu ◽  
R. J. Tuffs ◽  
A. E. Sansom
Keyword(s):  
Surface Brightness ◽  
Spiral Galaxies ◽  
Intrinsic Value ◽  
Central Surface ◽  
Intrinsic Values ◽  
Balmer Lines ◽  
The One ◽  
The Individual ◽  
Dust Effects ◽  
Simulated Images

AbstractHere we present results on the effects of dust on the derived Sérsic index of disks and bulges. This is part of a larger study (see Pastrav et al. 2012a, Pastrav et al. 2012b) that quantifies the dust effects on all photometric parameters, including scale-lengths, axis-ratios, central surface brightness and effective radii of individual and decomposed (from B/D decomposition) disks and bulges. The effects of dust are derived for both broadband and narrow line (Balmer lines) images. The changes in the derived photometric parameters from their intrinsic values (as seen in the absence of dust) were obtained by fitting simulated images of disks and bulges produced using radiative transfer calculations and the model of Popescu et al. (2011). This study follows on the analysis of Möllenhoff et al. (2006), who quantified the effects of dust on the photometry of old stellar disks seen at low and intermediate inclination. We extend the study to disks at all inclinations and we investigate the changes in the photometry of young stellar disks and bulges. For the individual components, in the majority of cases: 1) the dust lowers the Sérsic index from its intrinsic value; 2) the Sérsic index decreases as the inclination and the B band central face-on dust opacity, τBf, increase. For the decomposed disks and bulges, dust slightly increases the Sérsic index as compared with the one derived on individual components (e.g. Fig. 1); this effect is stronger for higher values of the inclination, τBf and B/D.

Dynamic Stability and Failure Probability Analysis of Dome Structures Under Stochastic Seismic Excitation

2014 ◽  
Vol 14 (05) ◽  
pp. 1440001 ◽  
Author(s):  
Jie Li ◽  
Jun Xu
Keyword(s):  
Dynamic Stability ◽  
Failure Probability ◽  
Stochastic System ◽  
Dynamic Instability ◽  
Seismic Excitation ◽  
Stochastic Dynamic ◽  
Deterministic System ◽  
Density Evolution ◽  
Stochastic Response ◽  
Strength Failure

The intrinsic relationship between deterministic system and stochastic system is profoundly revealed by the probability density evolution method (PDEM) with introduction of physical law into the stochastic system. On this basis, stochastic dynamic stability analysis of single-layer dome structures under stochastic seismic excitation is firstly studied via incorporating an energetic physical criterion for identification of dynamic instability of dome structures into PDEM, which yields to sample stability (stable reliability). However, dynamic instability is not identical to structural failure definitely, where strength failure can be experienced not only in the stable structure but also when the structure is out of dynamic stability. It is practically feasible to decouple the stochastic dynamic response of dome structures to be a stable one and an unstable one according to the generalized density evolution equation (GDEE). Consequently, the global failure probability can be investigated separately based on the corresponding independent stochastic response. For unstable failure probability assessment, the failure probability is the unstable probability if the dome's failure is attributed to instability, whereas inverse absorbing is firstly implemented to get rid of the stochastic response before instability and a complementary process is filled in the safe domain immediately to finally assess the probability of strength failure after dynamic instability.

ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL

2012 ◽  
Vol 15 (05) ◽  
pp. 1250033 ◽  
Author(s):  
M. COSTABILE ◽  
I. MASSABÒ ◽  
E. RUSSO
Keyword(s):  
Stochastic Volatility ◽  
Numerical Experiments ◽  
Contingent Claims ◽  
Stochastic Volatility Model ◽  
Heston Model ◽  
Underlying Asset ◽  
State Variable ◽  
Proposed Model ◽  
Volatility Model ◽  
Asset Value

This article presents a lattice based approach for pricing contingent claims when the underlying asset evolves according to the double Heston (dH) stochastic volatility model introduced by Christoffersen et al. (2009). We discretize the continuous evolution of both squared volatilities by a "binomial pyramid", and consider the asset value as an auxiliary state variable for which a subset of possible realizations is attached to each node of the pyramid. The elements of the subset cover the range of asset prices at each time slice, and claim price is computed solving backward through the "binomial pyramid". Numerical experiments confirm the accuracy and efficiency of the proposed model.

scholarly journals The Importance Of Customer Equity And Branding: A Research Note

2015 ◽  
Vol 13 (3) ◽  
pp. 153
Author(s):  
Gillian Coote Martin
Keyword(s):  
Brand Equity ◽  
Investment Decisions ◽  
Objective Evaluation ◽  
Business Owners ◽  
Market Analysis ◽  
Customer Equity ◽  
Dynamic Markets ◽  
Equity Value ◽  
Asset Value ◽  
Relationship Equity

Customer equity is based on the assumption that a customer is a financial asset that needs proper management. The drivers of customer equity are relationship equity, value equity, and brand equity, which focus on the link between the customer and the firm, customers objective evaluation of the serviceableness of a brand, and a customers opinion about a brand, respectively. Customer equity mainly acts as a marketing system for organizations and companies. Customer equity allows calculation of a customers asset value, which helps companies make sound investment decisions and adjustments in marketing investment levels, among other benefits. Branding, on the other hand, focuses on the image of a business. The process of branding comprises market analysis, brand architecture, a big idea, marketing communications, employee involvement, and measurement. Through branding, companies are able to survive and remain competitive in dynamic markets and build a professional image. Strong branding also equalizes the value between small and big firms in the eyes of a customer, builds confidence in business owners and customers, and promotes consistency in business.

scholarly journals The hedonic valuation of South African wine brands

2012 ◽  
Vol 43 (1) ◽  
pp. 11-31 ◽  
Author(s):  
D. Priilaid ◽  
P. Van Rensburg
Keyword(s):  
South African ◽  
Brand Equity ◽  
Net Present Value ◽  
Intrinsic Value ◽  
Perceived Quality ◽  
Price Premium ◽  
Wine Quality ◽  
Hedonic Valuation ◽  
Equity Value ◽  
The Difference

Working with a set of 35 South African wine brands identified in Priilaid and Van Rensburg (2010a), this study presents two brand valuation techniques that combine non-ordinal wine valuation models with conventional methods of valuation. The first price-premium approach defines brand equity value as the difference between a wine’s price and a valuation of its intrinsic worth. The second quality premium approach defines brand equity value as the difference between a wine’s intrinsic value and, instead of price, the value of its perceived quality when sampled sighted. With a set of assumptions regarding consistency in future wine quality, hectorage, price premiums, and sales volumes, brand valuations for each method are calculated as the net present value of the brand premiums paid per unit over the total cases sold. The consequent computations reveal how the price-premium method realises a mean valuation three times greater than the average derived from the alternate quality premium method. This difference is attributed to extreme valuations noted at either end of the price-premium sample, and suggests that this method is perhaps less conservative than perceived quality premium-based valuations. Additionally, the specification of perpetuity is observed to be too extreme. Alternate time scenarios are considered, with a period of ten years posited as perhaps more appropriate to such computations.

scholarly journals Asymptotic Behavior and Stationary Distribution of a Nonlinear Stochastic Epidemic Model with Relapse and Cure

2020 ◽  
Vol 2020 ◽  
pp. 1-12
Author(s):  
Jiying Ma ◽  
Qing Yi
Keyword(s):  
Stationary Distribution ◽  
Stochastic System ◽  
Epidemic Model ◽  
Basic Reproductive Number ◽  
Reproductive Number ◽  
Deterministic System ◽  
Stochastic Epidemic ◽  
Lyapunov Function Method ◽  
Deterministic Framework ◽  
Theoretical Results

In this paper, by introducing environmental perturbation, we extend an epidemic model with graded cure, relapse, and nonlinear incidence rate from a deterministic framework to a stochastic differential one. The existence and uniqueness of positive solution for the stochastic system is verified. Using the Lyapunov function method, we estimate the distance between stochastic solutions and the corresponding deterministic system in the time mean sense. Under some acceptable conditions, the solution of the stochastic system oscillates in the vicinity of the disease-free equilibrium if the basic reproductive number R0≤1, while the random solution oscillates near the endemic equilibrium, and the system has a unique stationary distribution if R0>1. Moreover, numerical simulation is conducted to support our theoretical results.

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