Applied Mathematics Seminar

Department of Mathematics, University of Texas at Arlington


Date/Time/Room: Thursday (10/19/2000) at 3:30 pm in 487 Pickard Hall (Refreshments served at 3:00 pm)

Speaker: J. David Diltz, Department of Finance and Real Estate, University of Texas at Arlington


``Real Options: Capital Investment Decisions Utilizing the Mathematics of Derivative Securities''

Abstract: How does the financial analyst value a capital investment project when circumstances are such that static net present value analysis is clearly inappropriate? More and more, academics and practitioners are discovering that capital investment projects may be analyzed as options, much like the put and call options written on financial assets that are traded on organized exchanges. We'll discuss the intuition and mathematics behind some simple real option models. We'll also discuss the differences between financial derivatives and real options that present some unique challenges for applied mathematicians and business analysts alike.