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Will the amendments to the IAS 16 and IAS 41 influence the value of biological assets?
agriculture bearer assets IAS 41 measurement of agricultural assets plants
2017/2/21
The aim of the paper is the evaluation of the impact of the new amendments to the IAS 16 and IAS 41 – Agriculture: Bearer Plants on the financial reporting in agriculture. The paper is based on the co...
Common-Value Auctions with Liquidity Needs: An Experimental Test of a Troubled Assets Reverse Auctions
financial crisis uniform-price auction clock auction
2015/9/23
We report the results of an experimental test of alternative auction designs suitable for pricing
and removing troubled assets from banks’ balance sheets as part of the financial rescue
planned by t...
Common-Value Auctions with Liquidity Needs: An Experimental Test of a Troubled Assets Reverse Auction
Liquidity Needs reverse auction
2015/9/18
We report the results of an experimental test of alternative auction designs suitable for pricing
and removing troubled assets from banks’ balance sheets as part of the financial rescue
planned by...
An exploratory analysis of payoffs for the lifetime mortgage of farming assets and its policy implications
Farming-Asset Pension (FAP) reverse mortgage,
2014/10/11
This study discusses and calibrates a pioneered model of estimating the payoffs for the farming-asset pension (FAP), which is to comprehensively integrate the components of farming assets into the rec...
Speculation and Risk Sharing with New Financial Assets
Speculation and Risk New Financial Assets
2014/9/10
I investigate the effect of financial innovation on portfolio risks when traders have belief disagreements. I decompose traders’ average portfolio risks into two components: the uninsurable variance, ...
Large tick assets: implicit spread and optimal tick size
Microstructure of nancial markets high frequency data large tick assets implicit spread market making limit orders market orders optimal tick size.
2012/9/14
In this work, we bring to light a quantity, referred to as implicit spread, playing the role of spread for large tick assets, for which the e ective spread is almost always equal to one tick. The rele...
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
Biological assets reporting: Is the increase in value caused by the biological transformation revenue?
agricultural produce biological assets biological transformation IFRS revenue
2014/2/24
Agricultural activity differs from other activities carried out by business units to achieve the profit. Agricultural activity is in comparison with other activities of business subjects dependent on ...
Minimizing shortfall risk for multiple assets derivatives
shortfall risk multiple assets options correlated assets quantile hedging
2011/3/23
The risk minimizing problem $\mathbf{E}[l((H-X_T^{x,\pi})^{+})]\overset{\pi}{\longrightarrow}\min$ in the Black-Scholes framework with correlation is studied. General formulas for the minimal risk fun...
On stochastic calculus related to financial assets without semimartingales
A-martingale weak k-order Brownian motion no-semimartingale utility maximization insider no-arbitrage viability hedging
2011/3/23
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to ...
Time-lagged covariance estimator for i.i.d. Gaussian assets
Time-lagged covariance estimator i.i.d. Gaussian assets
2010/10/22
I apply the method of planar diagrammatic expansion to solve the problem of finding the mean spectral density of the non-Hermitian time-lagged covariance estimator for a system of i.i.d. Gaussian ran...
Revised capital assets pricing model: an improved model for forecasting risk and return
Revised Capital Assets Pricing Model Risk Return
2010/10/18
This study's aim is to examine a new version of capital assets pricing model which is
called Revised Capital Assets Pricing Model (R-CAPM) in Tehran Stock Exchange (TSE).
According to Markowitz theo...
Recovery Rates in investment-grade pools of credit assets: A large deviations analysis
Recovery Rates investment-grade pools credit assets
2010/10/20
We consider the effect of recovery rates on a pool of credit assets. We allow the recovery rate to depend on the defaults in a general way. Using the theory of large deviations, we study the structure...
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
Exercise Boundary Assets Discrete Dividends
2010/11/3
We analyze the regularity of the optimal exercise boundary for the American Put option
when the underlying asset pays a discrete dividend at a known time td during the lifetime of
the option. The ex...
We propose the development of a prediction market for forecasting prices for “toxic assets” to be transferred from Irish banks to the National Asset Management Agency (NAMA). Such a market allows mark...