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Singh, J. P.
- A Single Period Stochastic Model for Maximising Firm’s Value
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1 Department of Management Studies, IIT Roorkee, Uttarakhand, IN
1 Department of Management Studies, IIT Roorkee, Uttarakhand, IN
Source
International Journal of Financial Management, Vol 6, No 1 (2016), Pagination: 39-45Abstract
This article sets up a single period value maximisation model for the firm based on stochastic end-of-period cash inflows, stochastic bankruptcy costs and taxes based on income rather than wealth. The risk- return tradeoff is captured in the Capital Asset Pricing Model.Thus, the model also assumes a perfect capital market and market equilibrium. The model establishes the existence of a unique optimal financial leverage at which the firm value is maximised, this leverage being less than the maximum debt capacity of the firm.Keywords
Firm Value, Debt Capacity, Capital Structure, Financial Leverage, Capital Markets, G34, M41.
- On Volatility Trading & Option Greeks
Abstract Views :210 |
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Authors
Affiliations
1 Department of Management Studies, Indian Institute of Technology, Roorkee, Utarakhand, IN
1 Department of Management Studies, Indian Institute of Technology, Roorkee, Utarakhand, IN
Source
International Journal of Financial Management, Vol 7, No 1 (2017), Pagination: 20-31Abstract
Commensurate with this exponential growth in the depth and breadth of derivative markets and the range of financial products traded therein, there needs to be developed a comprehensive mathematical framework to support the, hitherto, empirically established features of trading strategies involving these instruments. It is the objective of this article, to provide a mathematical backup for the various properties of 'volatility trading' strategy using call options. Additionally, an attempt is made to elucidate the implications of behavior of various 'option Greeks' on volatility trading.Keywords
Financial Derivatives, Trading Strategies, Option Greeks, Black Scholes Model, Volatility Trading.References
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- Stock Market Modeling in the Langevin Formalism
Abstract Views :198 |
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Authors
Affiliations
1 Department of Management Studies, Indian Institute of Technology, Roorkee, Utarakhand, IN
1 Department of Management Studies, Indian Institute of Technology, Roorkee, Utarakhand, IN
Source
International Journal of Financial Management, Vol 8, No 4 (2018), Pagination: 1-6Abstract
A Langevin formalism is proposed for stock market dynamics with modeling of various economic market features from first principles. Various processes and effects that occur in the stock market are mathematically incorporated in the said formulation. The Fokker Planck equation corresponding to the Langevin equation so obtained is solved and shows deviation from Gaussian behavior of the rate of change of stock price PDF. The deviation relates to factors such as market efficiency, market depth, liquidity of the relevant stock and informational asymmetries.Keywords
Stock Market, Langevin Equation, Fokker Planck Equation, Black Scholes Model, Market Microstructure.References
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