the aim of this paper is to generalize the‎‎notion of pseudo-almost valuation domains to arbitrary‎ ‎commutative rings‎. ‎it is shown that the classes of chained rings‎ ‎and pseudo-valuation rings are properly contained in the class of‎ ‎pseudo-almost valuation rings; also the class of pseudo-almost‎ ‎valuation rings is properly contained in the class of quasi-local‎ ‎rings with linearly ordere...

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature on GARCH models favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns. This paper compares a range of GARCH models along a different dimension, using option p...

In recent years there has been a rapid move towards the adoption of Automated Valuation Models (AVMs) for basic residential valuations for mortgage security purposes. In Australia several commercial organisations now offer such residential valuations, but very little is known about the accuracy of these. While the accuracy of commercial models is almost impossible to measure, one problem is tha...

This paper studies warrant valuation using a reduced-form model. Analogous to the credit risk literature, structural models require complete information about the asset value process and the firm’s liabilities. In contrast, reduced-form models require only information about the firm’s stock price process. We introduce a reduced-form model where the warrant holder is a price taker, and we relate...

This paper estimates some of the parameters of the Schwartz and Moon (2001)) model using cross-sectional data. Stochastic costs, future financing, capital expenditures and depreciation are taken into account. Some special conditions are also set: the speed of adjustment parameters are equal; the implied half-life of the sales growth process is linked to analyst forecasts; and the risk-adjustmen...

Hedonic valuation of quality attributes can be misleading when the assumption that these attributes are exogenous to sample selection is violated. This paper considers the simultaneity between hedonic valuation and sample selection in the context of a model of producer behavior and investigates empirically the case where land is demanded for use as an input either in agricultural production or ...

The valuation monoids and pseudo-valuation monoids have been established through valuation domains and pseudo-valuation domains respectively. In this study we continue these lines to describe the almost valuation monoids, almost pseudo-valuation monoids and pseudoalmost valuation monoids. Further we also characterized the newly described monoids as the spirit of valuation monoids pseudo-valuati...

We present a model of price discrimination where a monopolist faces a consumer who is privately informed about the distribution of his valuation for an indivisible unit of good but has yet to learn privately the actual valuation. The monopolist sequentially screens the consumer with a menu of contracts: the consumer self-selects once by choosing a contract and then self-selects again when he le...

This study explores a credit derivative pricing model with counterparty risk and the contagion effect. To compare with the standard credit derivative pricing model, we analyze the counterparty risk and the contagion effect to a kthto-default Basket Credit Linked Note (BCLN) valuation by Monte Carlo simulation. Counterparty risk and the contagion effect show significant influence for kth-to-defa...