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Dissertations / Theses on the topic 'Financial engineering'
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1
Haugh, Martin B. (Martin Brendan) 1971. "Essays in financial engineering." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/8304.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2001.Includes bibliographical references (p. 109-115).
This thesis consists of three essays that apply techniques of operations research to problems in financial engineering. In particular, we study problems in portfolio optimization and options pricing. The first essay is motivated by the fact that derivative securities are equivalent to specific dynamic trading strategies in complete markets. This suggests the possibility of constructing buy-and-hold portfolios of options that mimic certain dynamic investment policies, e.g., asset-allocation rules. We explore this possibility by solving the following problem: given an optimal dynamic investment policy, find a set of options at the start of the investment horizon which will come closest to the optimal dynamic investment policy. We solve this problem for several combinations of preferences, return dynamics, and optimality criteria, and show that under certain conditions, a portfolio consisting of just a few european options is an excellent substitute for considerably more complex dynamic investment policies. In the second essay, we develop a method for pricing and exercising high-dimensional American options. The approach is based on approximate dynamic programming using nonlinear regression to approximate the value function. Using the approximate dynamic programming solutions, we construct upper and lower bounds on the option prices. These bounds can be evaluated by Monte Carlo simulation, and they are general enough to be used in conjunction with other approximate methods for pricing American options.
(cont.) We characterize the theoretical worst-case performance of the pricing bounds and examine how they may be used for hedging and exercising the option. We also discuss the implications for the design of the approximate pricing algorithm and illustrate its performance on a set of sample problems where we price call options on the maximum and the geometric mean of a collection of stocks. The third essay explores the possibility of solving high-dimensional portfolio optimization problems using approximate dynamic programming. In particular, we employ approximate value iteration where the portfolio strategy at each time period is obtained using quadratic approximations to the approximate value function. We then compare the resulting solution to the best heuristic strategies available. Though the approximate dynamic programming solutions are often competitive, they are sometimes dominated by the best heuristic strategy. On such occasions we conclude that inaccuracies in the quadratic approximations are responsible for the poor performance. Finally, we compare our results to other recent work in this area and suggest possible methods for improving these algorithms.
by Martin B. Haugh.
Ph.D.
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Alamad, Samir. "Financial innovation and engineering in Islamic financial institutions." Thesis, Aston University, 2016. http://publications.aston.ac.uk/28659/.
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Drawing from work found in the financial innovation literature, the main objective of this research is to explore the effect of religious orientation towards financial innovation and engineering in Islamic Financial Institutions (IFIs). The research also examines what constitutes this religious orientation and how it is enacted in the innovation process. Religious orientation towards financial innovation is conceptualised and defined, as a system, in this research study. In order to achieve this objective, the study employs multiple theoretical perspectives to develop its theoretical framework. It combines innovation orientation theory with the theory on boundary objects to explore the role of religion in the financial innovation processes in IFIs. Religious orientation towards financial innovation and the role of Shariah as a shared boundary object is portrayed as a multidimensional knowledge and philosophical structure. This qualitative study provides two important theoretical contributions to existing theories in the innovation literature. First, it extends the existing literature of innovation orientation to a completely new field and construct that is based on a religious imperative as a framework within which financial innovation is constrained. It explains how an innovation orientation in IFIs can be directed within religious rules, which indicates that innovation orientation in IFIs is a learning philosophy. Second, the research introduces and examines the plasticity of Shariah as a shared boundary object and its dynamic role in managing tension and conflicting values in the financial innovation process. Furthermore, building on the empirical results, the study illustrates the insights that each theoretical lens affords into practices of collaboration and develops a novel analytical framework for understanding religious orientation towards financial innovation. This practical contribution, of the developed framework, could form the basis for a standardised framework for the Islamic finance industry. The study concludes by noting the policy and managerial implications of its findings and provides directions for further research.
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Topper, Jürgen. "Financial engineering with finite elements /." Chichester [u.a.] : Wiley, 2005. http://www.loc.gov/catdir/toc/ecip051/2004022228.html.
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Lopez, Alexander Guarin. "Meshfree methods in financial engineering." Thesis, University of Essex, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.558838.
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In this thesis I use the radial basis function (RBF) interpolation, a meshfree method, to solve problems in financial engineering. They involve partial differen- tial equations whose closed-form solutions do not exist or are difficult to compute, cumbersome or time-consuming. The thesis consists of three major studies. In the first one, I extend the existent literature on meshfree methods applied to option pricing. The RBF interpolation is performed for pricing American options adopting the constant elasticity of variance model (Cox and Ross (1976)) and the Heston model (Heston (1993)). Several experiments are run to evaluate the performance ofthis approach. The results are compared with solutions given by the Monte Carlo simulation (MCS) and the finite difference method (FDM). In the second study, I employ the RBF interpolation to approximate zero- coupon bond prices and survival probabilities to price credit default swap (CDS) contracts. The default intensity is assumed to follow an Exponential-Vasicek process (Brigo and Mercurio (2006)) while the interest rate is modelled with a Cox- Ingersoll-Ross (CIR) process (Cox et al. (1985)). Numerical experiments are run for one- and two-factor models. The results are compared with the approximations obtained by the FDM and the analytical solution if it exists. Finally, in the third study I perform a nonlinear filter to infer the default risk implicit in the term structure of CDS spreads. In fact, I carry out a sequential joint estimation of both the default intensity and the CIR model parameters. The filter is based on the numerical solution of the Fokker-Planck equation by the RBF v interpolation method. The filter is applied on daily CDS spreads of 27 companies of the Dow Jones index between 2005 and 2010. The results in the thesis provide evidence of the high accuracy and computa- , tional efficiency of the RBF interpolation. Moreover, its performance is outstand- ing compared with traditional techniques in finance such as the standard FDM and the MCS.
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Ndupuechi, Francis. "Financial engineering for project finance." Thesis, University of Leeds, 2003. http://etheses.whiterose.ac.uk/3313/.
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The provision of public services and infrastructure has evolved over the years and currently, the ever-increasing demand for public services and the greater levels of required renewal and repair of infrastructure have created unsustainable strains on limited public sector resources, leading to a resurgence of private sector involvement in such projects, to a much larger degree than ever before. The key to the success of such privately financed projects is the structure of the financing package. This thesis traces the evolution of project financing, exploring the financial engineering of funding packages using debt and equity instruments by way of financial modelling. This research derives a generic health sector project for which a fmancial model is subsequently developed, based on actual project finance modelling practice and incorporating various financial instruments for funding and credit enhancement. Using this financial model, different permutations of financial structure are simulated and investigated; the use of bank loans versus fixed and index-linked bond issues, debt repayment profiles and blended equity structures, are some of the areas examined, as are gearing, credit enhancement, and the sensitivity of different financial structures to inflation. This thesis offers insightful knowledge on the process of financial engineering for project finance, and on the various instruments and mechanisms that can be employed for project profitability and financial robustness. The development and manipulation of a detailed financial model highlight the role and importance of optimisation of the financial package during modelling and overall, afford the reader a better understanding of the dynamic that exists between the components of a project's financial structure.
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Aguayo, Juan C. (Juan Carlos) 1964. "Financial engineering for BOT infrastructure projects." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/9713.
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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, February 1999.Includes bibliographical references (leaves 224-228).
The implementation of the Build-Operate-Transfer (BOT) model for the provision of infrastructure facilities in the United States constitutes a paradigm shift, and a recent innovation, in the delivery and financing of these socially and economically important projects. The main justification, for incorporating the BOT strategy as an alternative in the development of new infrastructure facilities, is the need to access private capital to leverage the insufficient government funds for the financing of these massive undertakings. A key factor contributing to the sustainability of the BOT approach as a viable procurement strategy for infrastructure projects, and providing a decisive competitive advantage to prospective private sector respondents interested in pursuing these ventures, is the expertise in financial engineering. As defined in this thesis, financial engineering is the systematic process that enables a private company to decide first in which BOT project to invest, and then to design the most cost-effective funding structure for financing the venture. This thesis proposes a formal procedure for the financial engineering and modeling of BOT infrastructure projects. Financial modeling, the cornerstone of the financial engineering process, involves the development of simplified scenarios, analytical tools and techniques that enable the objective evaluation of the economic attractiveness and financial viability of a BOT venture. After outlining the steps within the suggested financial modeling framework, a case study consisting of the Canada Confederation Bridge Project is presented. Acknowledging that the recommended financial models for BOT infrastructure projects are simplified illustrations of mammoth and complicated construction programs, this thesis also investigated some of the most important issues Associated with these types of investments to complement the quantitative analyses. This was accomplished through a literature review, and four mini case studies consisting of recent projects in the United States.
by Juan C. Aguayo.
S.M.
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Wang, Shaohui. "Longevity risks: modelling and financial engineering." [S.l. : s.n.], 2008. http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-64672.
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Alhnaity, Bashar. "Financial engineering modelling using computational intelligent techniques : financial time series prediction." Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/13652.
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Prediction of financial time series is described as one of the most challenging tasks of time series prediction, due to its characteristics and dynamic nature. In any investment activity, having an accurate prediction system will significantly benefit investors by guiding decision making, especially in trading, asset management and risk management. Thus, the attempts to build such systems have attracted the attention of practitioners in the market and also researchers for many decades. Furthermore, the purpose of this thesis is to investigate and develop a new approach to predicting financial time series with consideration given to their dynamic nature. In this thesis, the prediction procedures will be carried out in three phases. The first phase proposes a new hybrid dynamic model based on Ensemble Empirical Mode Decomposition (EEMD), Back Propagation Neural Network (BPNN), Recurrent Neural Network (RNN), Support Vector Regression (SVR) and EEMD-Genetic Algorithm (GA)-Weighted Average (WA) to predict stock index closing price. EEMD in this phase is introduced as a preprocessing step to historical observation for the first time in the literature. The experimental results show that the EEMDD-GA-WA model performance is a notch above the other methods utilised in this phase. The second phase proposes a new hybrid static model based on Wavelet Transform (WT), RNN, Support Vector Machine (SVM), Nave Bayes and WT-GA-WA to predict the exact change of the stock index closing price. In this phase, the experimental results showed that the proposed WT-GA-WA model outperformed the rest of the models utilised in this phase. Moreover, the input data that are fed into the hybrid model in this phase are technical indicators. The third phase in this research introduces a new Hybrid Heuristic-Rules-based System (HHRS) for stock price prediction. This phase intends to combine the output of the hybrid models in phase one and two in order to enhance the final prediction results. Thus,to the best of our knowledge, this study is the only one to have carried out and tested this approach with a real data set. The results show that the HHRS outperformed all suggested models over all the data sets. Thus, this indicates that combining di↵erent techniques with diverse types of information could enhance prediction accuracy.
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El-Husseini, Ibrahim Ali. "Islamic financial principles and their application in project financing." Thesis, Massachusetts Institute of Technology, 1988. http://hdl.handle.net/1721.1/44667.
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Spencer, Melissa B. (Melissa Beth). "Engineering financial safety : a system-theoretic case study from the financial crisis." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/72903.
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Thesis (S.M. in Technology and Policy)-- Massachusetts Institute of Technology, Engineering Systems Division, Technology and Policy Program, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 103-105).
There is currently much systems-based thinking going into understanding safety in complex socio-technical systems and in developing useful accident analysis methods. However, when it comes to complex systems without clear physical components, the techniques for understanding accidents are antiquated and ineffective. This thesis uses a promising new engineering-based accident analysis methodology, CAST (Casual Analysis using STAMP, or Systems Theoretic Accident Models and Processes) to understand an aspect of the financial crisis of 2007-2008. This thesis demonstrates how CAST can be used to understand the context and control problems that led to the collapse and rapid acquisition of the investment bank Bear Stearns in March 2008. It seeks to illustrate the technological and regulatory change that provided the context for the Bear Stearns accidents and then demonstrates how a top-down systematic method of analysis can produce more insight into the accident than traditional financial accident investigations such as congressionally-mandated inquiries.
by Melissa B. Spencer.
S.M.in Technology and Policy
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Koenig, Christian. "Structured Gambling Products and Behavioral Financial Engineering." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/00160986001/$FILE/00160986001.pdf.
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FABBRINI, GIULIANO. "Engineering innovative technology for the financial industry." Doctoral thesis, Università degli studi di Genova, 2022. http://hdl.handle.net/11567/1084474.
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Today innovative technologies allow to develop new performing systems; therefore, also complex in terms of interactions among components and emerging. The innovative technologies are a crucial point for many fields. The filed that we have focused on it is the financial engineering. The financial engineering notion is central to this thesis; as technology advances, the financial sector is becoming increasingly connected to the engineering sector. Financial engineering is a diverse subject of research and practice in which an engineering approach and methodology are applied to the world of finance. Financial engineering functions as a connector of data from several sectors, such as Economics, Mathematics, and IT. It is the application of mathematical concepts to financial problems, as well as the use of tools (due to technological advancements) and expertise from other fields. It used arithmetic to solve current financial problems and create new and innovative financial solutions. Regular commercial banks use financial engineering, which is known as quantity analysis. I looked at two major applications of financial engineering in this paper: machine learning and blockchain. In the financial sector, these two technologies are critical for engineering solutions. We investigated one application of blockchain: the crypto mining server. Machine learning is employed in the development of a specific financial indication (in the case of this work).
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Zabarankin, Michael Yurievich. "Optimization approaches in risk management and financial engineering." [Gainesville, Fla.] : University of Florida, 2003. http://purl.fcla.edu/fcla/etd/UFE0001048.
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Abbas, Shaher. "Islamic financial engineering : a critical investigation into product development process in the Islamic financial industry." Thesis, Durham University, 2015. http://etheses.dur.ac.uk/11358/.
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In the wake of the recurring financial crises, it is now evident that financial engineering and product development can play a crucial role in either improving the efficacy of the financial markets or bringing devastating consequences, as was the case in the 2008 financial crisis. Although Islamic financial institutions managed to escape the direct impact of the crisis, the role of product development in Islamic finance can be critical in determining the future of the rapidly growing industry. The general perception in the market is that current Islamic financial products are mere imitations of their conventional counterparts, and therefore, they have failed, so far, to bring the socio-economic impact expected from implementing the rules of Shari’ah in the financial industry. Hence, there is a real need to create a new generation of Islamic financial products that contributes positively to achieving maqasid al-Shari’ah or ‘the objective of Shari’ah’. This research, hence, aims at critically exploring the current practices of product development and financial engineering in Islamic financial institutions, and establishing the methodology and principles for engineering efficient and Shari’ah-based financial products. One of the main objectives of this research is to propose a refined product development process that can lead to the creation of a new generation of Islamic financial products that meet not only the form of Shari’ah contracts but also the substance of maqasid al-Shari’ah. This research uses both questionnaire survey technique, as a quantitative method, with a sample of 45 respondents, and semi-structured interviews, as a qualitative method, where 12 interviews were conducted with different stakeholders in the industry. The main findings of this research indicate that the majority of Islamic financial institutions are committed to create innovative products and adopt a strategy to develop new products, but fail to transform the strategy into operational plans. The results also demonstrate that the main source of ideas for new products is other Islamic financial institutions, which is in contrast to the general belief that conventional financial products are the main source. The analysis of the primary data also shows that the majority of institutions showed commitment to complete the Shari’ah-related stages of the product development process, but they demonstrated lack of discipline in implementing the remaining steps of the process. While compliance with Shari’ah seems to be one of the top priorities in product development, there is very little focus on achieving maqasid al-Shari’ah which might explain why many perceive Islamic financial products to be Shari’ah-compliant rather than Shari’ah-based. The inferential analysis against the independent variables returned a considerable number of differences in opinions among the respondents, the majority of which were related to the institutions’ age, location and nature of activities. Most of the differences in relation to age, were related to older institutions, while the US and Africa reported most of the differences related to location. On the other hand, takaful companies reported most of the differences related to the nature of activities.
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Xu, Yafei. "High Dimensional Financial Engineering: Dependence Modeling and Sequential Surveillance." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/18790.
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Diese Dissertation konzentriert sich auf das hochdimensionale Financial Engineering, insbesondere in der Dependenzmodellierung und der sequentiellen Überwachung.
Im Bereich der Dependenzmodellierung wird eine Einführung hochdimensionaler Kopula vorgestellt, die sich auf den Stand der Forschung in Kopula konzentriert.
Eine komplexere Anwendung im Financial Engineering, bei der eine hochdimensionale Kopula verwendet wird, konzentriert sich auf die Bepreisung von Portfolio-ähnlichen Kreditderivaten, d. h. CDX-Tranchen (Credit Default Swap Index). In diesem Teil wird die konvexe Kombination von Kopulas in der CDX-Tranche mit Komponenten aus der elliptischen Kopula-Familie (Gaussian und Student-t), archimedischer Kopula-Familie (Frank, Gumbel, Clayton und Joe) und hierarchischer archimedischer Kopula-Familie vorgeschlagen.
Im Abschnitt über finanzielle Überwachung konzentriert sich das Kapitel auf die Überwachung von hochdimensionalen Portfolios (in den Dimensionen 5, 29 und 90) durch die Entwicklung eines nichtparametrischen multivariaten statistischen Prozesssteuerungsdiagramms, d.h. eines Energietest-basierten Kontrolldiagramms (ETCC).
Um die weitere Forschung und Praxis der nichtparametrischen multivariaten statistischen Prozesskontrolle zu unterstützen, die in dieser Dissertation entwickelt wurde, wird ein R-Paket "EnergyOnlineCPM" entwickelt. Dieses Paket wurde im Moment akzeptiert und veröffentlicht im Comprehensive R Archive Network (CRAN), welches das erste Paket ist, das die Verschiebung von Mittelwert und Kovarianz online überwachen kann.This dissertation focuses on the high dimensional financial engineering, especially in dependence modeling and sequential surveillance. In aspect of dependence modeling, an introduction of high dimensional copula concentrating on state-of-the-art research in copula is presented. A more complex application in financial engineering using high dimensional copula is concentrated on the pricing of the portfolio-like credit derivative, i.e. credit default swap index (CDX) tranches. In this part, the convex combination of copulas is proposed in CDX tranche pricing with components stemming from elliptical copula family (Gaussian and Student-t), Archimedean copula family (Frank, Gumbel, Clayton and Joe) and hierarchical Archimedean copula family used in some publications. In financial surveillance part, the chapter focuses on the monitoring of high dimensional portfolios (in 5, 29 and 90 dimensions) by development of a nonparametric multivariate statistical process control chart, i.e. energy test based control chart (ETCC). In order to support the further research and practice of nonparametric multivariate statistical process control chart devised in this dissertation, an R package "EnergyOnlineCPM" is developed. At moment, this package has been accepted and published in the Comprehensive R Archive Network (CRAN), which is the first package that can online monitor the shift in mean and covariance jointly.
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Huang, Teng S. M. Massachusetts Institute of Technology. "Financial impacts of and financing methods for high-speed rail in Portugal." Thesis, Massachusetts Institute of Technology, 2011. http://hdl.handle.net/1721.1/66862.
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Thesis (S.M. in Transportation)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, 2011.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 178-188).
High-speed rail (HSR) becomes a very hot topic recently when all Portugal, the United Stated, China, Japan, Spain, etc. are ambitious in building their HSR systems. Although HSR is expected to shrink the temporal distance between cities, reshape the travel patterns of people toward environment friendly ones, create an image effect for the country building it, promote regional economics, etc., HSR is more capital intensive than other transportation projects in both unit cost (the cost per lane km) and total cost. Due to its high costs and public or private budget constraints, HSR may have significant financial impacts on other transportation investments. And it is important to lower the costs of HSR building and explore more funding opportunities to make HSR investments more financially viable. This research aims to understand the financial impacts of HSR investments and to explore financing methods for them. Firstly, this research examines the crowding out effect of HSR investments on other transportation investments-whether financing HSR makes the funds for other transportation projects less available due to public or private budget constraints. In addition, this research compares HSR financing with the financing of other transportation projects to figure out the uniqueness of HSR financing. Finally, this research explores innovative financing methods and identifies megaregion revenues to make HSR investments more financially viable. We find that HSR investments crowd out other transportation investments based on the worldwide experience. In the end, we propose the use of monoline wrapped bonds and the establishment of Portuguese infrastructure bank to lower the financial costs of Portuguese HSR investments. And we recommend the use of value capture mechanisms to capture the megaregion economic benefits of HSR and gain additional revenues for Portuguese HSR investments.
by Teng Huang.
S.M.in Transportation
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Kostovčík, Tibor. "Finančná analýza spoločnosti GKR Praha Engineering s.r.o." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-15365.
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The aim of the thesis is closing theoretical approaches of financial analysis and implement it into the practical part. The thesis is divided into four parts and nine chapters. The core chapter is Analýza výkazu ziskov a strát. General summary of the thesis can be found in chapter Záver. The annex and list of used literature are also contained.
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Poulová, Marie. "Ocenění společnosti JHV - ENGINEERING s.r.o." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-193470.
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The aim of the master thesis is to determine the objectified value of the company JHV - ENGINEERING s.r.o. to date of 31. 12. 2014 for the needs of management and owners. The first part presents the theoretical basis which is subsequently developed by the practical part on specific data. The content of this thesis includes the company introduction, as well as worked out strategic and financial analysis. This is followed by analysis and forecast of value drivers that are necessary to preparation of a financial plan. After that the valuation of the company is performed on the basis of discounted cash flow in variant of FCFF. In according to this method, the objectified value of the company is 927 523 thousand CZK to 31. 12. 2014. Subsequently, the resulting value is subjected to the sensitivity analysis.
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Mardia, Rishab. "Financial analysis in multidisciplinary design optimization." Thesis, Massachusetts Institute of Technology, 2020. https://hdl.handle.net/1721.1/130719.
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Thesis: M. Eng. in Advanced Manufacturing and Design, Massachusetts Institute of Technology, Department of Mechanical Engineering, February, 2021Cataloged from the official PDF of thesis. "February 2021."
Includes bibliographical references (pages 57-58).
MDO is moving beyond the small group of NASA and Aerospace companies and is increasingly being adopted by organizations around the world. With MDO, we can optimize across multiple disciplines and find the ideal design which maximizes benefit to the company and society. Given the complexity of working with multiple disciplines and stakeholders, it is important to have a single metric which teams and organizations can use to choose the best design. Since financial metrics play a dominant role in the decision-making process, we can use them to choose the best design for the company. In the thesis, we created a framework for doing financial analysis in MDO. We applied the framework to the baseplate, a component used within the excavator pump, and optimized across three different disciplines of cost, natural frequency and temperature to find the baseplate design with the highest sales potential.
We focused on sales as it is the most important financial metric for the product, but a similar framework can be used for maximizing profit, NPV, IRR or any other financial metric. We used two approaches for finding the best design for the company. In the first approach, we found designs which minimized cost and temperature, while increasing the natural frequency. We then converted the cost and temperature data into sales and chose the design with most sales. In the second approach, we only set one objective of maximizing sales and chose the design with the highest sales. In both the approaches we were able to significantly increase sales. We would recommend approach 1 as we get higher sales with the method, and because of limitations within the optimization software OptiSLang in regards to implementing approach 2. Approach 2 might become the better option in the coming years as MDO software, including OptiSLang, is in the early stage and might significantly improve.
Approach 2 also has the advantage of MDO teams only setting one objective, helping establish consistency and uniformity in MDO implementation. We believe MDO has a lot of potential. Similar to CAD, it is an extremely powerful tool. Some of the challenges to successful implementation were: computational resources, high quality and reliable financial data and early stage MDO software. Organizations which implement MDO will create better products which maximize savings and financial benefit.
by Rishab Mardia.
M. Eng. in Advanced Manufacturing and Design
M.Eng.inAdvancedManufacturingandDesign Massachusetts Institute of Technology, Department of Mechanical Engineering
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Cramer, Jürgen. "Financial engineering durch Finanzinnovationen : Ertrags- und Risikooptimierung bei Banken und Unternehmen /." Wiesbaden : DUV, Dt. Univ.-Verl, 1993. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=004847055&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Okano, Shinichi. "A financial evaluation of the Eurotunnel project." Thesis, Massachusetts Institute of Technology, 1988. http://hdl.handle.net/1721.1/106039.
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Laurila, M. (Mikko). "Big data in Finnish financial services." Bachelor's thesis, University of Oulu, 2017. http://urn.fi/URN:NBN:fi:oulu-201711243156.
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This thesis aims to explore the concept of big data, and create understanding of big data maturity in the Finnish financial services industry. The research questions of this thesis are “What kind of big data solutions are being implemented in the Finnish financial services sector?” and “Which factors impede faster implementation of big data solutions in the Finnish financial services sector?”. Big data, being a concept usually linked with huge data sets and economies of scale, is an interesting topic for research in Finland, a market in which the size of data sets is somewhat limited by the size of the market. This thesis includes a literature review on the concept of big data, and earlier literature of the Finnish big data landscape, and a qualitative content analysis of available public information on big data maturity in the context of the Finnish financial services market. The results of this research show that in Finland big data is utilized to some extent, at least by the larger organizations. Financial services specific big data solutions include things like the automation of applications handling in insurance. The most clear and specific factors slowing the development of big data maturity in the industry are the lack of competent work-force and new regulations compliance projects taking development resources. These results can be used as an overview of the state of big data maturity in the Finnish financial services industry. This study also lays a solid foundation for further research in the form of conducting interviews, which would provide more in-depth dataTämän työn tavoitteena on selvittää big data -käsitettä sekä kehittää ymmärrystä Suomen rahoitusalan big data -kypsyydestä. Tutkimuskysymykset tutkielmalle ovat “Millaisia big data -ratkaisuja on otettu käyttöön rahoitusalalla Suomessa?” sekä “Mitkä tekijät hidastavat big data -ratkaisujen implementointia rahoitusalalla Suomessa?”. Big data käsitteenä liitetään yleensä valtaviin datamassoihin ja suuruuden ekonomiaan. Siksi big data onkin mielenkiintoinen aihe tutkittavaksi suomalaisessa kontekstissa, missä datajoukkojen koko on jossain määrin rajoittunut markkinan koon myötä. Työssä esitetään big datan määrittely kirjallisuuteen perustuen sekä esitetään yhteenveto big datan soveltamisesta Suomessa aikaisempiin tutkimuksiin perustuen. Työssä on toteutettu laadullinen aineistoanalyysi julkisesti saatavilla olevasta informaatiosta big datan käytöstä rahoitusalalla Suomessa. Tulokset osoittavat big dataa hyödynnettävän jossain määrin rahoitusalalla Suomessa, ainakin suurikokoisissa organisaatioissa. Rahoitusalalle erityisiä ratkaisuja ovat esimerkiksi hakemuskäsittelyprosessien automatisointi. Selkeimmät big data -ratkaisujen implementointia hidastavat tekijät ovat osaavan työvoiman puute, sekä uusien regulaatioiden asettamat paineet kehitysresursseille. Työ muodostaa eräänlaisen kokonaiskuvan big datan hyödyntämisestä rahoitusalalla Suomessa. Tutkimus perustuu julkisen aineiston analyysiin, mikä osaltaan luo pohjan jatkotutkimukselle aiheesta. Jatkossa haastatteluilla voitaisiinkin edelleen syventää tietämystä aiheesta
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Zhang, Huiju. "Three essays on stochastic optimization applied in financial engineering and inventory management." College Park, Md. : University of Maryland, 2007. http://hdl.handle.net/1903/6739.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2007.Thesis research directed by: Business and Management: Decision & Information Technologies. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Kumar, Rishi 1979. "The dynamics of global financial crises." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/29671.
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Thesis (M.Eng. and S.B.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2003.Includes bibliographical references (p. 43-44).
This research aims to develop a Markov chain model of the transmission of financial crises. It uses a mathematical programming framework to determine the transition probabilities that describe the crisis dynamics. The framework allows for modelling and comparing various channels of contagion, such as investments and bilateral trade.
by Rishi Kumar.
M.Eng.and S.B.
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Gartheeban, Ganeshapillai. "Learning connections in financial time series." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/93061.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2014.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 125-132).
Much of modern financial theory is based upon the assumption that a portfolio containing a diversified set of equities can be used to control risk while achieving a good rate of return. The basic idea is to choose equities that have high expected returns, but are unlikely to move together. Identifying a portfolio of equities that remain well diversified over a future investment period is difficult. In our work, we investigate how to use machine learning techniques and data mining to learn cross-sectional patterns that can be used to design diversified portfolios. Specifically, we model the connections among equities from different perspectives, and propose three different methods that capture the connections in different time scales. Using the "correlation" structure learned using our models, we show how to build selective but well-diversified portfolios. We show that these portfolios perform well on out of sample data in terms of minimizing risk and achieving high returns. We provide a method to address the shortcomings of correlation in capturing events such as large losses (tail risk). Portfolios constructed using our method significantly reduce tail risk without sacrificing overall returns. We show that our method reduces the worst day performance from -15% to -9% and increases the Sharpe ratio from 0.63 to 0.71. We also provide a method to model the relationship between the equity return that is unexplained by the market return (excess return) and the amount of sentiment in news releases that hasn't been already reflected in the price of equities (excess sentiment). We show that a portfolio built using this method generates an annualized return of 34% over a 10-year time period. In comparison, the S&P 500 index generated 5% return in the same time period.
by Gartheeban Ganeshapillai.
Ph. D.
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Feijer, Diego (Diego Francisco Feijer Rovira). "Financial market failures and systemic crises." Thesis, Massachusetts Institute of Technology, 2015. http://hdl.handle.net/1721.1/101570.
Full textAbstract:
Thesis: Ph. D., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2015.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 97-103).
This thesis contributes to the theoretical literature that studies the macroeconomic implications of financial frictions. It develops frameworks to address different financial market failures, and evaluate preventive policies to mitigate the vulnerability of the economy to costly systemic crises. First, it identifies a credit risk (fire sale) externality that justifies the macroprudential regulation of short-term debt to mitigate the probability of systemic bank runs. Without regulation, banks do not internalize how their funding decisions affects the terms at which other market participants can obtain credit. The formal welfare study conducted, provides a general equilibrium notion of systemic risk that captures both fundamental insolvency and illiquidity risk. It also connects this measure with the optimal Pigouvian (corrective) tax. Second, it shows that liquidity crises may arise as the result of endogenous information panics. It finds that collective ignorance is welfare maximizing but it is fragile, susceptible to self-fulfilling fears about asymmetric information. Adverse selection may thus obtain in equilibrium, sustained by negative aggregate expectations. The mechanism that gives rise to multiple equilibria is robust to the introduction of noisy private signals, and warrants the regulation of information acquisition for rent-seeking (speculative) motives. Finally, it demonstrates the limitations of unconventional credit easing policies to stimulate lending during market-freezes. With inter-temporal investment complementarities, credit to non-financial firms may be curtailed as the result of dynamic coordination failures. Interest rate cuts mitigate coordination risk, but increase the average duration of credit market freezes when the productivity of capital is high. Capital injections in the banking sector, or direct lending to non-financial firms, are completely ineffective, because reductions in deposits from households crowd out government spending. In contrast, government guarantees improve welfare by reducing strategic uncertainty.
by Diego Feijer.
Ph. D.
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Saigal, Arun Karthik. "Information accountability for mobile financial applications." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/85493.
Full textAbstract:
Thesis: M. Eng., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2013.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 65-66).
In this thesis, I designed and built three sets of applications for three different demographics - young people, elderly people, and people in the developing world - to enable them to be involved in their personal banking. Members of these demographics are not actively involved in their personal banking when compared to others. We believe that part of the discrepancy lies in the lack of convenience and accountability. Thus, we have developed applications, whereby the issues of convenience and accountability are addressed. The applications are built around mobile devices, which will likely make them accessible since members of these demographics are often on mobile devices. The applications are also built around rules that can be set by a responsible party, so that the users know exactly what can and cannot be done with their money (such as a father restricting the amount of money his son can withdraw, or what the money can be used for). Finally, we keep a history of every transaction, who initiated it, and an explanation given by the initiator so we can understand why it occurred. Using our applications, built around convenience and accountability, will allow banks to reach youth, elderly people, and people in the developing world in ways that they have not been able to previously.
by Arun Karthik Saigal.
M. Eng.
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Mashikian, Paul Stephan. "Multiresolution models of financial time series." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/43483.
Full textAbstract:
Thesis (M. Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1997.Includes bibliographical references (leaves 89-92).
by Paul Stephan Mashikian.
M.Eng.
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Pan, Howard W. (Howard Weihao) 1973. "Integrating financial data over the Internet." Thesis, Massachusetts Institute of Technology, 1999. http://hdl.handle.net/1721.1/37812.
Full textAbstract:
Thesis (M.Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1999.Includes bibliographical references (leaves 65-66).
This thesis examines the issues and value-added, from both the technical and economic perspective, of solving the information integration problem in the retail banking industry. In addition, we report on an implementation of a prototype for the Universal Banking Application using currently available technologies. We report on some of the issues we discovered and the suggested improvements for future work.
by Howard W. Pan.
M.Eng.
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Gasser, Stephan, Margarethe Rammerstorfer, and Karl Weinmayer. "Markowitz Revisited: Social Portfolio Engineering." Elsevier, 2017. http://dx.doi.org/10.1016/j.ejor.2016.10.043.
Full textAbstract:
In recent years socially responsible investing has become an increasingly more
popular subject with both private and institutional investors. At the same time, a
number of scientific papers have been published on socially responsible investments
(SRIs), covering a broad range of topics, from what actually defines SRIs to the
financial performance of SRI funds in contrast to non-SRI funds. In this paper, we
revisit Markowitz' Portfolio Selection Theory and propose a modification allowing
to incorporate not only asset-specific return and risk but also a social responsibility
measure into the investment decision making process. Together with a risk-free asset,
this results in a three-dimensional capital allocation plane that allows investors to
custom-tailor their asset allocations and incorporate all personal preferences regarding
return, risk and social responsibility. We apply the model to a set of over 6,231
international stocks and find that investors opting to maximize the social impact
of their investments do indeed face a statistically significant decrease in expected
returns. However, the social responsibility/risk-optimal portfolio yields a statistically
significant higher social responsibility rating than the return/risk-optimal portfolio.
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Giusti, Christopher G. "The application of the systems engineering process to the development of a financial market gateway using wireless communications." Master's thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-04272010-020058/.
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Draheim, Jonathan. "A recruiting analysis for the Kansas State College of Engineering : the financial perspective." Manhattan, Kan. : Kansas State University, 2009. http://hdl.handle.net/2097/2275.
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Pan, Indranil. "A systems engineering approach to financial risk quantification in primary raw materials production." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/54902.
Full textAbstract:
Financial investments in large scale engineering sectors are subject to a variety of risks which affect the productivity and the profitability of the industry in the long run. Therefore, it is essential to quantify these risks and build mathematical models for analysis, so that better and more informed decisions can be made. This PhD research work focuses on the financial risk modelling of raw materials production engineering facilities and applies the developed concepts and tools to mining and mineral processing. These sectors are specifically chosen as there are a lot of operational, environmental and other site specific hazards involved and at present there is no streamlined methodology for financial risk assessment. The approach developed in this research uses heuristic methods and expert inputs and is given a quantitative foundation using a robust modelling technique with an engineering basis, as opposed to the qualitative and subjective methods currently employed. Current methods of estimating risk or forecasting future contingencies rely only on past historical data of failure and insurance claims. These often miss out on the finer details of the specific process and grossly over or under estimate the risks. Many other modelling techniques based on conservation laws employ mass balance and material flow through the whole process chain to obtain a more accurate model. However, the process systems data for mass and material flows through each component of the system is difficult to obtain and in many cases is a trade secret. Thus, it is difficult for an independent assessor or an external insurer to have a clear impression of the risk involved in the operation. The modelling techniques developed in this research aim to identify an optimal balance between these two extremes and handle missing or inaccessible information in the process flow chain. As such, and beyond its academic value, the work is of significant practical value and especially useful for insurance underwriters, financial risk managers, business consultants and the raw materials production systems operators. The thesis describes the development of a novel risk modelling tool based on a systems engineering approach. The risk model uses finite state machines with a set of logic for transitioning between the different states of the system. The flexibility of the systems risk modelling tool allows for features like incorporation of maintenance schedules, modelling of storage elements, redundancy schemes etc. which are implemented and validated with short case studies. These bespoke model refinements are useful for the process systems studied in this thesis. The work presented next then describes how elements from queuing theory have been integrated with the proposed risk modelling methodology. This is especially useful for process systems which can be naturally modelled as a combination of servers and queues (e.g. transportation networks, automated manufacturing operations, computer networks etc.). A validation study is carried out to show the effectiveness of the proposed methodology. The systems based risk modelling methodology, is augmented with fuzzy logic for incorporating expert knowledge and handling the uncertainties in the model parameters. This is of practical use as it allows for risk quantification in cases where only qualitative inputs are available from an external risk assessor. Next, a Bayesian network based formalism is coupled with the systems level risk model for incorporating the effects of catastrophic risks. This allows for situations where information for the various parameters are partially available. Validation studies are conducted on both the fuzzy and Bayesian augmented risk frameworks to show the effective working of both methodologies. Finally, the developed risk modelling tools are used to characterise the risk profiles of a mineral processing operation and various mining operations. The research would help investors and insurers in the mining and mineral processing sector to make appropriate investment decisions, by quantitative assessment of the risk factors, and hence minimise financial losses. It would also be useful for the management of the process operation to identify the bottlenecks in the system and propose appropriate risk mitigation strategies for the same. To this end, a multi-objective optimisation is also done to obtain various Pareto optimal risk vs. reliability tradeoffs for the mineral processing operation. Since the modelling paradigm used is a generic one, it is expected that it can easily be adapted to other scenarios and would be of benefit for modelling financial risks in other industrial domains.
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Adobah-Otchey, Daniel. "Risk-Efficient Portfolios; Estimation Error In Essence." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-32329.
Full textAbstract:
This thesis primarily looks at estimation error problems and other related issues arising in connection with portfolio optimization. With some available assets, a portfolio program or optimizer seeks to distribute a fixed amount of capital among these available assets to optimize some cost function. In this regard, Markowitz portfolio selection basis defines the variance of the portfolio return to being that of the portfolio risk and tries to find an allocation that reduces or minimizes the risk subject to a target mean or expected return. Should the mean return vector and the covariance matrix of returns for the underlying assets be known, the Markowitz problem is said to have a closed-form solution. In practice, however, an estimation is made from historical data for unknown expected returns and the covariance matrix of the returns, and this brings into the domain several problems such as estimation problems and renders the Markowitz theory impracticable in real-life portfolio applications. Estimators necessary to remedy these problems would be made bare to show how possible it is to tackle such issues. In the concept demonstration sections, the analysis starts with the price data of 40 stocks and the S\&P index. The efficient frontier is introduced and used to show how the estimators take effect. Finally, implementation is made possible using the R Programming Language to demonstrate the necessary concepts with the conclusion presented at the end.
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Lau, Ka Wo. "Numerical algorithms for exotic financial derivatives /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?COMP%202004%20LAU.
Full textAbstract:
Thesis (Ph. D.)--Hong Kong University of Science and Technology, 2004.Includes bibliographical references (leaves 120-126). Also available in electronic version. Access restricted to campus users.
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Matharu, Amiteshver, and Demijan Panic. "How can technological innovation reduce the need of financial literacy in financial planning?" Thesis, Blekinge Tekniska Högskola, Institutionen för industriell ekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-20080.
Full textAbstract:
Increasingly more people lack the basic financial knowledge that would help them plan for their future. One aspect of it is not being aware of the long-term benefit of investing in the stock market. Increasing financial literacy with better financial education is a long-term solution. In the meanwhile, there is room for technological innovation to reduce the need for financial literacy which has not been covered by previous research and is therefore the topic of this research. More specifically, this study examines how financial literacy can be reduced in financial planning for households by helping them setting up a stable financial future. A case study method was used to choose three web-based robotized products and evaluate how they scored in mitigating three identified barriers to stock market participation. The result demonstrated that choosing any of the three products significantly reduced the need of financial literacy since they all scored high. In conclusion, these types of technological products can help not only the financially illiterate but also those who want to delegate the task of planning for their financial future.
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Takesue, Naoki. "Financial evaluation of refinancing of the Eurotunnel project." Thesis, Massachusetts Institute of Technology, 1991. http://hdl.handle.net/1721.1/45710.
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Das, Sanmay. "Intelligent Market-Making in Artificial Financial Markets." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/5570.
Full textAbstract:
This thesis describes and evaluates a market-making algorithm for setting prices in financial markets with asymmetric information, and analyzes the properties of artificial markets in which the algorithm is used. The core of our algorithm is a technique for maintaining an online probability density estimate of the underlying value of a stock. Previous theoretical work on market-making has led to price-setting equations for which solutions cannot be achieved in practice, whereas empirical work on algorithms for market-making has focused on sets of heuristics and rules that lack theoretical justification. The algorithm presented in this thesis is theoretically justified by results in finance, and at the same time flexible enough to be easily extended by incorporating modules for dealing with considerations like portfolio risk and competition from other market-makers. We analyze the performance of our algorithm experimentally in artificial markets with different parameter settings and find that many reasonable real-world properties emerge. For example, the spread increases in response to uncertainty about the true value of a stock, average spreads tend to be higher in more volatile markets, and market-makers with lower average spreads perform better in environments with multiple competitive market-makers. In addition, the time series data generated by simple markets populated with market-makers using our algorithm replicate properties of real-world financial time series, such as volatility clustering and the fat-tailed nature of return distributions, without the need to specify explicit models for opinion propagation and herd behavior in the trading crowd.
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Ikkatai, Koji. "Balancing financial and strategic aspects of real property portfolio management." Thesis, Massachusetts Institute of Technology, 1990. http://hdl.handle.net/1721.1/45697.
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Blohm, Renee. "Operations management in the financial services industry in South Africa." Master's thesis, University of Cape Town, 1999. http://hdl.handle.net/11427/19251.
Full textAbstract:
Includes bibliographic records.The Southern Life Association Limited, a South African Insurance company, is at the edge of a major transformation. At the beginning of the first research cycle undertaken for this thesis, the company was preparing itself for significant internal changes. At the end of the cycle the company has been sold and is preparing itself to merge with another company to form a Financial Services Industry giant. At both the start and the end of the research, the company had a vision, which was significantly different from its past. Translating this vision into practical actions that drive the company into the future is critical. When significant changes are required, a vital window period exists that allows companies to effectively, efficiently manage and implement change. Should the period, or opportunity, be missed, companies could find themselves lagging behind their competitors, ineffective and having to plough additional resources into ensuring that they catch up. This window period, if effectively managed, can give the company the opportunity to project itself forward and gain a competitive edge. The management at Southern Life had realised the need to change the company. They also knew that the Board of Directors required an improved return on investment. An eighteen-month period was set aside to design and implement the necessary changes. This thesis attempts to look at what management can do to best utilise this window period to the company's best advantage. In order to intervene effectively an Inquiry Framework, or Philosophical Framework of Inquiry as it is referred to, was utilised. This Inquiry Framework is based on the theories and principles of Action and Applied Research, Epistemology, Pragmatism, the Scientific Method and Systems Thinking. When applied rigorously the framework leads one down a path of understanding the situation, raising concerns, developing the hypothesis or question, and providing and evaluating an answer. The research and inquiry process acts like a funnel, allowing the researcher to start broadly and generally and with each cycle, narrowing down to the specific. It aims to facilitate management problem intervention, change and learning in an operational environment. For practical purposes, the thesis focuses on the operational area of the Employee Benefits Division of the company. It reviews the history of the Division in the belief that historical decisions made have led to the current situation. This being a situation of unprofitability, complexity and a multitude of problems.
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Hanauer, Patricia N. "Financial Engineering durch Investmentbanken : Voraussetzungen, Rahmenbedingungen und Implikationen für das strategische Management von Investmentbanken /." Lohmar ; Köln : Eul, 2003. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=010568323&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Parker, Bobby I. Mr. "Assessment of the Sustained Financial Impact of Risk Engineering Service on Insurance Claims Costs." Digital Archive @ GSU, 2011. http://digitalarchive.gsu.edu/math_theses/100.
Full textAbstract:
This research paper creates a comprehensive statistical model, relating financial impact of risk engineering activity, and insurance claims costs. Specifically, the model shows important statistical relationships among six variables including: types of risk engineering activity, risk engineering dollar cost, duration of risk engineering service, and type of customer by industry classification, dollar premium amounts, and dollar claims costs.
We accomplish this by using a large data sample of approximately 15,000 customer-years of insurance coverage, and risk engineering activity. Data sample is from an international casualty/property insurance company and covers four years of operations, 2006-2009. The choice of statistical model is the linear mixed model, as presented in SAS 9.2 software. This method provides essential capabilities, including the flexibility to work with data having missing values, and the ability to reveal time-dependent statistical associations.
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Umoh, Emem Koffi. "REFINTO : an ontology-based requirements engineering framework for business-IT alignment in financial services." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/refinto-an-ontologybased-requirements-engineering-framework-for-businessit-alignment-in-financial-services(06738060-cedd-47cb-925e-1b897129bfd0).html.
Full textAbstract:
Business-IT alignment has been a top research topic for three decades now and consistently ranks high on CIO priorities and concerns. In spite of its seeming advantages, sustainable business-IT alignment remains elusive in practice. This can be attributed to the language and knowledge gaps which impede mutual understanding between business and IT stakeholders. It can also be attributed to the limitations imposed by approaching alignment solely from a strategic perspective. This thesis argues for an ontology-based framework that bridges the language and knowledge gaps through closer interaction between business and IT stakeholders throughout the software development and project management lifecycles, especially at the requirements engineering stage. Attempts at achieving sustainable business-IT alignment predominantly focus on strategic alignment and have not been successful for various reasons. Firstly, driving down alignment initiatives to the operational and tactical levels is challenging. Secondly, it is difficult to operationalize the metrics used for evaluating alignment maturity at strategic levels. These limitations are less pronounced at the functional levels of an organization. It is at these levels that business strategies are executed and interaction between business and IT personnel is most frequent. The interaction between business and IT stakeholders in the execution of IT projects presents an opportunity that can be leveraged to drive alignment maturity. The proposed framework is discussed in terms of its underpinning hypotheses, workflows, tool design and implementation, its use with a third party framework and tool. Antecedents to operational and tactical alignment such as quality, reuse, communication, learning, and shared understanding, are proposed as a practical means of achieving sustainable alignment maturity. The framework is applied to real world, business-critical projects in a top global financial services organization and validated using descriptive statistical analysis and structural equation modelling techniques. Contributions made through the study are highlighted. This includes the Alignment Forces Model which unifies the proposed framework and its support tool within software development and project management lifecycles. The Alignment Forces model and how it can be applied in practice is presented. Results of the quantitative data analyses indicate support for the arguments for the framework towards improving business-IT alignment, however with some limitations. Results also indicate support for the hypotheses for the antecedents to sustainable alignment maturity at lower organizational levels put forward. Finally, suggestions on furthering the study, addressing its limitations, and refining the framework and tool are articulated.
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Ma, Pu Yun. "A fresh engineering approach for the forecast of financial index volatility and hedging strategies." Thèse, Montréal : École de technologie supérieure, 2006. http://proquest.umi.com/pqdweb?did=1257794741&sid=7&Fmt=2&clientId=46962&RQT=309&VName=PQD.
Full textAbstract:
Thèse (Ph.D.)-- École de technologie supérieure, Montréal, 2006."A thesis presented to the École de technologie supérieure in partial fulfillment of the thesis requirement for the degree of philosophy doctor in engineering". CaQMUQET Bibliogr.: f. [147]-156. Également disponible en version électronique. CaQMUQET
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Rayanakorn, Surapap. "Financial market imperfections and their asset pricing implications." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/75646.
Full textAbstract:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2012.Cataloged from PDF version of thesis.
Includes bibliographical references (p. 119-123).
This thesis consists of two studies on financial market imperfections. The first study (Chapters 2 and 3) investigates illiquidity, which is a reflection of different imperfections, and its pricing implications in the corporate bond market. The second study (Chapter 4) evaluates the impact of a short-sale ban, which is a form of financial constraints, on the equity and derivatives markets. In Chapter 2, we propose illiquidity measures that outperform existing ones statistically and economically. We estimate various illiquidity measures in the corporate bond market, using transaction-level data from 2002 to 2010. In the cross-section, we find illiquidity measures to be related to bond characteristics often used as illiquidity proxies. In the time-series, we show commonality in the aggregate illiquidity measures, increasing during the sub-prime crisis and peaking in October 2008. We then identify that time variation in aggregate illiquidity measures is linked with market variables such as the VIX index. In Chapter 3, we examine pricing implications of the illiquidity measures. We find that illiquidity level is priced both at the aggregate level and at the bond level throughout the sample period. However, the role of illiquidity risk in pricing bond yield spreads is weaker, and is driven by the 2008 financial crisis. In Chapter 4, we study the 2008 short-sale ban. We find that the banned stocks have positive cumulative abnormal returns and become more volatile when the ban is imposed. We document greater demand and abnormalities in the futures market and option market under the short-sale ban. This evidence suggests that a short-sale ban may not stabilize a financial market in crisis.
by Surapap Rayanakorn.
Ph.D.
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Siderius, James. "Propagation of credit freezes in financial lending networks." Thesis, Massachusetts Institute of Technology, 2018. https://hdl.handle.net/1721.1/122874.
Full textAbstract:
Thesis: S.M., Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science, 2018Cataloged from PDF version of thesis.
Includes bibliographical references (pages 131-134).
We consider a network model of financial intermediation where banks (financial intermediaries) lend to and borrow from each other and supply funds to clients. A key decision for a bank is whether to extend credit to other banks, which may then default on those loans. In contrast to much of the previous literature on financial networks, the focus is on how "fear of future default" can lead to "credit freezes" before the realization of these uncertainties. Specifically, we show that increases in the riskiness of one or few banks can lead to systemic credit freeze throughout the financial network. Notably, credit freezes can happen in parts of the network that are not directly affected by increased uncertainty, both because the potential consequences of uncertainty travel throughout the network and also because such changes affect profitability of loans between different parties. We then use this framework to analyze the effects of policy interventions on systemic credit freezes.
by James Siderius.
S.M.
S.M. Massachusetts Institute of Technology, Department of Electrical Engineering and Computer Science
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Chiang, Risharng. "A financial-agency study in private delivery of infrastructure." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/84222.
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Bonfanti, Luis A. (Luis Angel). "Financial evaluation of the Buenos Aires-Colonia bridge project." Thesis, Massachusetts Institute of Technology, 1997. http://hdl.handle.net/1721.1/43360.
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Balasubramaniam, Anitha. "Financial modeling of new product development economics." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/90707.
Full textAbstract:
Thesis: S.M. in Engineering and Management, Massachusetts Institute of Technology, Engineering Systems Division, System Design and Management Program, 2014.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 85-86).
Product design and development is a complex process that involves extensive engineering considerations as well as management decisions based on the overall vision for the product. Traditionally, most decision making in product development is experienced based and intuitive. With increased scrutiny on cost and a need for greater speed to market, product development processes have been continuously streamlined to become more efficient. Therefore, firms are now required to carefully plan and allocate their resources to effectively respond to market needs. In this thesis, illustrated using a case study of a Nespresso coffee product line, a framework is presented to capture and analyze the financial factors relating to the profitability of a product development project. The methodology can assist product managers better understand the financial aspects of product development and help make more effective and objective project decisions. It can also help companies manage their product portfolio decision making process and prepare for new opportunities.
by Anitha Balasubramaniam.
S.M. in Engineering and Management
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Wanamaker, Andrea Blake. "Short- and Long-Term Financial, Biomechanical, and Functional Consequences of Traumatic Amputation." The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1494316555439779.
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