Abstracts - faqs.org

Abstracts

Business

Search abstracts:
Abstracts » Business

Duration and interest rate risk for uncertain cash flow streams

Article Abstract:

An extension of the Hicks-Macaulay-Samuelson duration analysis is made to allow for uncertainty in asset cash flows. The duration measure may have a density function that does not have central moments when the cash flows are functions of a Brownian moment. However, the revised version of the duration measure is shown to be normally distributed. It is applicable to probability assessments of the sensitivity of the current value of the cash flow stream of an asset to interest rate movements.

Author: Tippett, Mark, Rhys, Huw
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1996
Research, Models, Interest rates, Assets (Accounting)

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA


A modified 'square root' process for determining the value of the option to (dis)invest

Article Abstract:

A study involving capital project and determining optimal investment criteria, whose cash flows are calculated in the form of 'modified square root' process, is presented.

Author: Tippett, Mark, Klumpes, Paul
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2004
United States, Analysis, Usage, Investments, Square root, Square roots

User Contributions:

Comment about this article or add new information about this topic:

CAPTCHA



Subjects list: Cash flow
Similar abstracts:
  • Abstracts: Taylor-made interest rate relief. The true interest rate question. Wages threaten interest rates
  • Abstracts: And then there were four. Virtual finance: a key to the sites. Slow revolution in online bond issuance
  • Abstracts: Unreasonable compensation and the independent investor test. Compensation expense: intent is critical
  • Abstracts: Promotion and advertising agency utilization: a nation-wide study of hospital providers. Patient perceptions of service quality: combining the dimensions
  • Abstracts: Further notes on estimating economic returns from published accounting statements. Discussion of estimating the equity risk premium using accounting fundamentals
This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.
Some parts © 2023 Advameg, Inc.