Mark B. Shackleton

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The idea that Monte Carlo simulation can not be applied to the pricing of options (real or financial) with early exercise features has been overridden in the light of new research results in the last decade. This paper attempts to contribute to this revived interest on Monte Carlo simulation valuation, by applying the proposed least–squares simulation(More)
Risk-neutral (RN) and real-world (RW) densities are derived from option prices and risk assumptions, and are compared with densities obtained from historical time series. Two parametric methods that adjust from RN to RW densities are investigated, firstly a CRRA risk aversion transformation and secondly a statistical calibration. Both risk transformations(More)
We compare forecasts of the realized volatility of the pound, mark and yen exchange rates against the dollar, calculated from intraday rates, over horizons ranging from one day to three months. Our forecasts are obtained from a short memory ARMA model, a long memory ARFIMA model, a GARCH model and option implied volatilities. We find intraday rates provide(More)
Managed Aquifer Recharge (MAR) is becoming a mechanism used for recycling treated wastewater and captured urban stormwater and is being used as a treatment barrier to remove contaminants such as pathogens from the recharged water. There is still a need, however, to demonstrate the effectiveness of MAR to reduce any residual risk of pathogens in the(More)
The functional capabilities of normal stem cells and tumorigenic cancer cells are conceptually similar in that both cell types are able to proliferate extensively. Indeed, mechanisms that regulate the defining property of normal stem cells - self-renewal - also frequently mediate oncogenesis. These conceptual links are strengthened by observations in some(More)
The fate of nine trace organic compounds was evaluated during a 12month large-scale laboratory column experiment. The columns were packed with aquifer sediment and evaluated under natural aerobic and artificial anaerobic geochemical conditions, to assess the potential for natural attenuation of these compounds during aquifer passage associated with managed(More)
In this article we show how a project’s option value increases with incremental levels of investment and dis-investment flexibility. We do this by presenting two NPV and seven option pricing models in a strict sequence of increasing flexibility. We illustrate each with numerical examples and determine the maximum value that a project option could ever(More)
We propose a continuous time utility maximization model to value stock and option compensation from the executive's perspective. We allow the executive to invest non-option wealth in the market and riskless asset but not in the company stock itself. This enables executives to adjust exposure to market risk, but they are subject to firm-specific risk for(More)
We compare density forecasts of the S&P 500 index from 1991 to 2004, obtained from option prices and daily and 5-min index returns. Risk-neutral densities are given by using option prices to estimate diffusion and jump-diffusion processes which incorporate stochastic volatility. Three transformations are then used to obtain real-world densities. These(More)
Water quality changes associated with the passage of aerobic reverse osmosis (RO) treated recycled water through a deep anaerobic pyritic aquifer system was evaluated in sediment-filled laboratory columns as part of a managed aquifer recharge (MAR) strategy. The fate of nine recycled water trace organic compounds along with potential negative water quality(More)