2 citations · 5 across the 14 of their papers we have counts for
14 papers
Gordon Growth Model with Vector Autoregressive Process
Battulga Gankhuu
In this study, we introduce a Gordon's dividend discount model, based on Vector Autoregressive Process (VAR). We provide two Propositions, which are related to generic Gordon growt…
Derivative Preserving Conditions in Conditional Expectation Operator
Battulga Gankhuu
In this paper, we consider conditions that a higher order derivative preserve in conditional expectation operator for a generic nonlinear random variable. Also, the paper introduce…
The Merton's Default Risk Model for Public Company
Battulga Gankhuu
In this paper, we developed the Merton's structural model for public companies under an assumption that liabilities of the companies are observed. Using Campbell and Shiller's appr…
EM Estimation of Conditional Matrix Variate Distributions
Battulga Gankhuu
Conditional matrix variate student distribution was introduced by Battulga (2024a). In this paper, we propose a new version of the conditional matrix variate student distri…
Bayesian Markov-Switching Vector Autoregressive Process
Battulga Gankhuu
This study introduces marginal density functions of the general Bayesian Markov-Switching Vector Autoregressive (MS-VAR) process. In the case of the Bayesian MS-VAR process, we pro…
Derivatives of Risk Measures
Battulga Gankhuu
This paper provides the first and second order derivatives of any risk measures, including VaR and ES for continuous and discrete portfolio loss random variable variables. Also, we…
Parameter Estimation Methods of Required Rate of Return
Battulga Gankhuu
In this study, we introduce new estimation methods for the required rate of returns on equity and liabilities of private and public companies using the stochastic dividend discount…
Merton's Default Risk Model for Private Company
Battulga Gankhuu
Because the asset value of a private company does not observable except in quarterly reports, the structural model has not been developed for a private company. For this reason, th…
Parameter Estimation Methods of Required Rate of Return on Stock
Battulga Gankhuu
In this study, we introduce new estimation methods for the required rate of return of the stochastic dividend discount model (DDM) and the private company valuation model, which wi…
The Log Private Company Valuation Model
Battulga Gankhuu
For a public company, pricing and hedging models of options and equity--linked life insurance products have been sufficiently developed. However, for a private company, because of…
Augmented Dynamic Gordon Growth Model
Battulga Gankhuu
In this paper, we introduce a dynamic Gordon growth model, which is augmented by a time--varying spot interest rate and the Gordon growth model for dividends. Using the risk--neutr…
Rainbow Options under Bayesian MS-VAR Process
Battulga Gankhuu
This paper presents pricing and hedging methods for rainbow options and lookback options under Bayesian Markov-Switching Vector Autoregressive (MS--VAR) process. Here we assumed th…
Equity-Linked Life Insurances on Maximum of Several Assets
Battulga Gankhuu
Economic variables play important roles in any economic model, and sudden and dramatic changes exist in the financial market and economy. For this reason, to price and hedge equity…
Options Pricing under Bayesian MS-VAR Process
Battulga Gankhuu
In this paper, we have studied option pricing methods that are based on a Bayesian Markov-Switching Vector Autoregressive (MS-BVAR) process using a risk-neutral valuation approach.…