Giuseppe Alesii

University of L'Aquila | Università dell'Aquila · Department of Information Engineering, Computer Science and Mathematics

Some parallel algorithms are proposed to speed up computation of multivariate lattices used to evaluate rainbow options. These novel algorithms have been programmed using multi-threaded syntax in Gauss tm of Aptech honing codes for 32 and 128 cores machines. Actual scaling is linear or superlinear in excess of Amdahl theoretical thresholds. Rainbow...

We assess the applicability of (Longstaff and Schwartz, 2001) Least Squares Monte Carlo method to the General Real Options Pricing Model of (Kulatilaka and Trigeorgis, 1994). We study LSMC under different stochastic processes: GBM, up to three dimensions, models 1, 2 and 3 in (Schwartz, 1997), benchmarking every application by lattice methods. We e...

We propose a new method to compute payback period (PBP) and internal rate of return (IRR) in the presence of real options. We extend the Kulatilaka–Trigeorgis general model of real options to derive the expected value of these two decision rules in the presence of the options to wait, to mothball, and to abandon. This new method is applied to a num...

A predictive regression approach is adopted to test fundamental efficiency of the Italian equities market on a new long run (1913 to 1999) time series of returns and fundamentals, namely dividend price, earnings price, and price to book. Univariate and vector autoregression significance is tested with Monte Carlo and bootstrapping simulation method...

Cash flow from operations can be controlled using real options. In this normative paper, we derive numerically in a univariate discrete time model, extension of (Kulatilaka, 1988), the expanded NPV of an industrial investment and, simultaneously, state variable thresholds for the whole life of the project to optimally exercise real options. In this...

Cash Flow from operations can be controlled using real options. In this normative paper, we quantify Trigeorgis's intuition [Trigeorgis, L., 1996. Real options: Managerial flexibility and strategy in resource allocation. Cambridge, MA: MIT Press] (p 123), about the risk management properties of real options with respect to downside risk. This resul...

In this normative paper, we derive payback period (PBP) and internal rate of return (IRR) in the presence of real options. In a Kulatilaka - Trigeorgis General Real Option Pricing Model, we derive the expected value of these two decision rules that corresponds to the expected NPV Bellman dynamic programming maximizing strategy in the presence of th...

Cash Flow at Risk (CFaR) can be controlled using real options. In this normative paper, we derive numerically in a univariate discrete time model, extension of (Kulatilaka, 1988), the expanded NPV of an industrial investment and, simultaneously, state variable thresholds to optimally exercise real options for the whole life of the project. In this...

In this short paper, (Kulatilaka, 1988) model of FMS management is reinterpreted as a real options dynamic programming (DP) version of traditional Cost Volume Profit (CVP) analysis. Numerical ex- amples replicate results reported in chapter 4 example 1.H. and chapter 7 of (Dixit and Pindyck, 1994). Moreover, a different version of (Kulatilaka, 1988...

In this short paper, (Kulatilaka 1988) model of FMS management is reinterpreted as a real options dynamic programming (DP) version of traditional Cost Volume Profit (CVP) analysis. Computational aspects of the Bellman DP algorithm solution are investigated and some simple solutions are suggested for computing both the value function and operational...

In this short paper some computational aspects of dynamic programming (DP) applied to the real option problem of the dual fuel boiler in (Kulatilaka, 1993) are examined. A Gauss code has been written, and it is reported in the text, for both pedagogical and practical purposes. As a matter of fact, understanding how the code works helps to delve bet...

Holding Companies (HCs) Discount/Premium (Q_i) is investigated over the period 1960-1996. In a rational pricing framework, HCs are examined as a closed end fund and a as a corporate governance tool. The main findings are that managerial contribution, extra profitability on NAV minus general overhead expenses are significant in HC evaluation. Even t...

Fundamentals eciency of the Italian Stock Market is tested generalizing the dividend yield re- gression method a la (Fama and French, 1988a) and the VAR approach a la (Hodrick, 1992). These econometric methods have been applied on a long run time series of returns, 1913-1999, and on some time series of fundamentals, namely D/P, E/P, and P/B reconst...

In this normative paper, we derive payback period (PBP) and internal rate of return (IRR) in the presence of real options. In a Kulatilaka - Trigeorgis General Real Option Pricing Model, we derive the expected value of these two decision rules that corresponds to the expected NPV Bellman dynamic programming maximizing strategy in the presence of th...