ANALYSIS OF INVESTMENT PROJECTS
Corso
A Padova
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Descrizione
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Tipologia
Corso
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Luogo
Padova
Group work with a presentation of a short essay for those who attend up 80% of the lessons
Otherwise written exam
Sedi e date
Luogo
Inizio del corso
Inizio del corso
Opinioni
Programma
1)Capital Budgetin
2)The Contingent Claim Analysis (CCA)
3)Real Options
4)Simple Examples
- Managerial flexibility
- Forest resources
- Weather derivatives
- Scale production → Call option
- Land use → Put option
Part B: Tools
5)Continuous stochastic processes and Ito's Lemma
6)Stochastic Dynamic Programming (SDP)
7)Valuation of the Option to Wait to Invest
8)Optimal investment rule using CCA
9)Optimal investment rule using SDP
10)Black and Scholes - Merton formula
11)The Beta for Options
12)Interactions among Multiple Real Options
-Moothballing - Option to Shut Dow and Restart
-Optimal Scrapping - Operating Option
-Abandonment value - Option to Exit
-Set Aside - Option to Switch
Part C: Investment Theory Under Uncertainty
13)Value of a Firm as a sum of Operation Options
-Sequential Investment – Compound Options
-Two Stage Projects
-The Central Planner Decision
-A Competitive Industry
14) Strategic Investment, Real Options and Games
- The Preemption game
- War of Attrition game
- The Value of Learning
- Sequential Games: A Supply Chain Example
- Principal Agent in Continuous Time
- Procurement and Auctions
Part D: Case Studies
15) Possible Applications
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ANALYSIS OF INVESTMENT PROJECTS