Abstract: German electricity European options on futures using
Lévy processes for the underlying asset are examined. Implied
volatility evolution, under each of the considered models, is
discussed after calibrating for the Merton jump diffusion (MJD),
variance gamma (VG), normal inverse Gaussian (NIG), Carr, Geman,
Madan and Yor (CGMY) and the Black and Scholes (B&S) model.
Implied volatility is examined for the entire sample period, revealing
some curious features about market evolution, where data fitting
performances of the five models are compared. It is shown that
variance gamma processes provide relatively better results and that
implied volatility shows significant differences through time, having
increasingly evolved. Volatility changes for changed uncertainty, or
else, increasing futures prices and there is evidence for the need to
account for seasonality when modelling both electricity spot/futures
prices and volatility.
Abstract: Countries in recession, among them Croatia, have
lower tax revenues as a result of unfavorable economic situation,
which is decrease of the economic activities and unemployment. The
global tax base has decreased. In order to create larger state revenues,
states use the institute of tax authorities. By controlling transfer
pricing in the international companies and using certain techniques,
tax authorities can create greater tax obligations for the companies in
a short period of time.
Abstract: In this paper, the American exchange option (AEO) valuation problem is modelled as a free boundary problem. The critical stock price for an AEO is satisfied an integral equation implicitly. When the remaining time is large enough, an asymptotic formula is provided for pricing an AEO. The numerical results reveal that our asymptotic pricing formula is robust and accurate for the long-term AEO.
Abstract: In this paper, we present the 2006 survey study origin destination and price that we carried out during 2006 fall in the area in the Moroccan region of Rabat-Salé-Zemmour-Zaer. The survey concerns the people-s characteristics, their displacements behavior and the price that they will be able to pay for a tramway ticket. The main objective is to study a set of relative features to the households and to their displacement's habits and to their choices among public and privet transport modes. A comparison between this survey results and that of the 1996's is made. A pricing scheme is also given according to the tram capacity. (The Rabat-Salé tramway is under construction right now and it will be operational beginning 2010).
Abstract: This paper presents a cold chain monitoring system which focuses on assessment of quality and dynamic pricing information about food in cold chain. Cold chain is composed of many actors and stages; however it can be seen as a single entity since a breakdown in temperature control at any stage can impact the final quality of the product. In a cold chain, the shelf life, quality, and safety of perishable food throughout the supply chain is greatly impacted by environmental factors especially temperature. In this paper, a prototype application is implemented to retrieve timetemperature history, the current quality and the dynamic price setting according to changing quality impacted by temperature fluctuations in real-time.
Abstract: The purpose of this study is to investigate the
relationship between corporate governance and pricing for initial
public offerings (IPOs). Empirical result finds that the prediction of
pricing of IPOs with corporate governance added can have a rather
higher degree of predicting accuracy than that of non governance
added during the training and testing samples. Therefore, it can be
observed that corporate governance mechanism can affect the pricing
of IPOs
Abstract: In many applications, it is a priori known that the
target function should satisfy certain constraints imposed by, for
example, economic theory or a human-decision maker. Here we
consider partially monotone problems, where the target variable
depends monotonically on some of the predictor variables but not all.
We propose an approach to build partially monotone models based
on the convolution of monotone neural networks and kernel
functions. The results from simulations and a real case study on
house pricing show that our approach has significantly better
performance than partially monotone linear models. Furthermore, the
incorporation of partial monotonicity constraints not only leads to
models that are in accordance with the decision maker's expertise,
but also reduces considerably the model variance in comparison to
standard neural networks with weight decay.
Abstract: The relation between taxation states and foreign direct
investment has been studied for several perspectives and with states
of different levels of development. Usually it's only considered the
impact of tax level on the foreign direct investment volume. This
paper enhances this view by assuming that multinationals companies
(MNC) can use transfer prices systems and have got investment
timing flexibility. Thus, it evaluates the impact of the use of
international transfer pricing systems on the states- policy and on the
investment timing of the multinational companies. In uncertain
business environments (with periodical release of news), the
investment can increase if MNC detain investment delay options.
This paper shows how tax differentials can attract foreign direct
investments (FDI) and influence MNC behavior. The equilibrium is
set in a global environment where MNC can shift their profits
between states depending on the corporate tax rates. Assuming the
use of transfer pricing schemes, this paper confirms the relationship
between MNC behavior and the release of new business news.
Abstract: Fine-grained data replication over the Internet allows duplication of frequently accessed data objects, as opposed to entire sites, to certain locations so as to improve the performance of largescale content distribution systems. In a distributed system, agents representing their sites try to maximize their own benefit since they are driven by different goals such as to minimize their communication costs, latency, etc. In this paper, we will use game theoretical techniques and in particular auctions to identify a bidding mechanism that encapsulates the selfishness of the agents, while having a controlling hand over them. In essence, the proposed game theory based mechanism is the study of what happens when independent agents act selfishly and how to control them to maximize the overall performance. A bidding mechanism asks how one can design systems so that agents- selfish behavior results in the desired system-wide goals. Experimental results reveal that this mechanism provides excellent solution quality, while maintaining fast execution time. The comparisons are recorded against some well known techniques such as greedy, branch and bound, game theoretical auctions and genetic algorithms.
Abstract: Throughout this paper, a relatively new technique, the Tabu search variable selection model, is elaborated showing how it can be efficiently applied within the financial world whenever researchers come across the selection of a subset of variables from a whole set of descriptive variables under analysis. In the field of financial prediction, researchers often have to select a subset of variables from a larger set to solve different type of problems such as corporate bankruptcy prediction, personal bankruptcy prediction, mortgage, credit scoring and the Arbitrage Pricing Model (APM). Consequently, to demonstrate how the method operates and to illustrate its usefulness as well as its superiority compared to other commonly used methods, the Tabu search algorithm for variable selection is compared to two main alternative search procedures namely, the stepwise regression and the maximum R 2 improvement method. The Tabu search is then implemented in finance; where it attempts to predict corporate bankruptcy by selecting the most appropriate financial ratios and thus creating its own prediction score equation. In comparison to other methods, mostly the Altman Z-Score model, the Tabu search model produces a higher success rate in predicting correctly the failure of firms or the continuous running of existing entities.
Abstract: We consider a Principal-Agent model with the
Principal being a seller who does not know perfectly how much the
buyer (the Agent) is willing to pay for the good. The buyer-s
preferences are hence his private information. The model corresponds
to the nonlinear pricing problem of Maskin and Riley. We assume
there are three types of Agents. The model is solved using
“informational rents" as variables. In the last section we present the
main characteristics of the optimal contracts in asymmetric
information and some possible extensions of the model.
Abstract: Westudy a dual-channel supply chain under
decentralized setting in which manufacturer sells to retailer and to
customers directly usingan online channel. A customer chooses the
purchase-channel based on price and service quality. Also, to buy
product from the retail store, the customer incurs a transportation cost
influenced by the fluctuating gasoline cost. Both companies are under
the revenue sharing contract. In this contract the retailer share a
portion of the revenue to the manufacturer while the manufacturer
will charge the lower wholesales price. The numerical result shows
that the effects of gasoline costs, the revenue sharing ratio and the
wholesale price play an important role in determining optimal prices.
The result shows that when the gasoline price fluctuatesthe optimal
on-line priceis relatively stable while the optimal retail price moves
in the opposite direction of the gasoline prices.
Abstract: Majority of researches conducted on Iranian urban
development plans indicate that they have been almost unsuccessful
in terms of draft, execution and goal achievement. Lack or shortage
of essential statistics and information can be listed as an important
reason of the failure of these plans. Lack of figures and information
has turned into an obvious part of the country-s statistics officials.
This problem has made urban planner themselves to embark on
physical surveys including real estate and land pricing, population
and economic census of the city. Apart from the problems facing
urban developers, the possibility of errors is high in such surveys.
In the present article, applying the interview technique, it has
been mentioned that utilizing multipurpose cadastre system as a land
information system is essential for urban development plans in Iran.
It can minimize or even remove the failures facing urban
development plans.
Abstract: In competitive electricity markets all over the world, an adoption of suitable transmission pricing model is a problem as transmission segment still operates as a monopoly. Transmission pricing is an important tool to promote investment for various transmission services in order to provide economic, secure and reliable electricity to bulk and retail customers. The nodal pricing based on SRMC (Short Run Marginal Cost) is found extremely useful by researchers for sending correct economic signals. The marginal prices must be determined as a part of solution to optimization problem i.e. to maximize the social welfare. The need to maximize the social welfare subject to number of system operational constraints is a major challenge from computation and societal point of views. The purpose of this paper is to present a nodal transmission pricing model based on SRMC by developing new mathematical expressions of real and reactive power marginal prices using GA-Fuzzy based optimal power flow framework. The impacts of selecting different social welfare functions on power marginal prices are analyzed and verified with results reported in literature. Network revenues for two different power systems are determined using expressions derived for real and reactive power marginal prices in this paper.
Abstract: The goal of this paper is to develop a model to
integrate “pricing" and “advertisement" for short life cycle products,
such as branded fashion clothing products. To achieve this goal, we
apply the concept of “Dynamic Pricing". There are two classes of
advertisements, for the brand (regardless of product) and for a
particular product. Advertising the brand affects the demand and
price of all the products. Thus, the model considers all these products
in relation with each other. We develop two different methods to
integrate both types of advertisement and pricing. The first model is
developed within the framework of dynamic programming. However,
due to the complexity of the model, this method cannot be applicable
for large size problems. Therefore, we develop another method,
called hieratical approach, which is capable of handling the real
world problems. Finally, we show the accuracy of this method, both
theoretically and also by simulation.
Abstract: This paper proposes a novel game theoretical
technique to address the problem of data object replication in largescale
distributed computing systems. The proposed technique draws
inspiration from computational economic theory and employs the
extended Vickrey auction. Specifically, players in a non-cooperative
environment compete for server-side scarce memory space to
replicate data objects so as to minimize the total network object
transfer cost, while maintaining object concurrency. Optimization of
such a cost in turn leads to load balancing, fault-tolerance and
reduced user access time. The method is experimentally evaluated
against four well-known techniques from the literature: branch and
bound, greedy, bin-packing and genetic algorithms. The experimental
results reveal that the proposed approach outperforms the four
techniques in both the execution time and solution quality.
Abstract: In Algeria, liberalization reforms undertaken since the 1990s have resulted in negative effects on the development and management of irrigation schemes, as well as on the conditions of farmers. Reforms have been undertaken to improve the performance of irrigation schemes, such as the national plan of agricultural development (PNDA) in 2000 and the water pricing policy of 2005. However, after implementation of these policies, questions have arisen with regard to irrigation performance and its suitability for agricultural development. Hence, the aim of this paper is to provide insight into the profitability of irrigation during the transition period under current irrigation agricultural policies in Algeria. By using the method of farm crop budget analysis in the East Mitidja irrigation scheme, the returns from using surface water resources based on farm typology were found to vary among crops and farmers- groups within the scheme. Irrigation under the current situation is profitable for all farmers, including both those who benefit from subsidies and those who do not. However, the returns to water were found to be very sensitive to crop price fluctuations, particularly for non-subsidized groups and less so for those whose farming is based on orchards. Moreover, the socio-economic environment of the farmers contributed to less significant impacts of the PNDA policy. In fact, the limiting factor is not only the water, but also the lack of land ownership title. Market access constraints led to less agricultural investment and therefore to low intensification and low water productivity. It is financially feasible to recover the annual O&M costs in the irrigation scheme. By comparing the irrigation water price, returns to water, and O&M costs of water delivery, it is clear that irrigation can be profitable in the future. However, water productivity must be improved by enhancing farmers- income through farming investment, improving assets access, and the allocation of activities and crops which bring high returns to water; this could allow the farmers to pay more for water and allow cost recovery for water systems.
Abstract: With the implied volatility as an important factor in
financial decision-making, in particular in option pricing valuation,
and also the given fact that the pricing biases of Leland option pricing
models and the implied volatility structure for the options are related,
this study considers examining the implied adjusted volatility smile
patterns and term structures in the S&P/ASX 200 index options using
the different Leland option pricing models. The examination of the
implied adjusted volatility smiles and term structures in the
Australian index options market covers the global financial crisis in
the mid-2007. The implied adjusted volatility was found to escalate
approximately triple the rate prior the crisis.
Abstract: In this paper, we discuss the paradigm shift in bank
capital from the “gone concern" to the “going concern" mindset. We
then propose a methodology for pricing a product of this shift called
Contingent Capital Notes (“CoCos"). The Merton Model can
determine a price for credit risk by using the firm-s equity value as a
call option on those assets. Our pricing methodology for CoCos also
uses the credit spread implied by the Merton Model in a subsequent
derivative form created by John Hull et al . Here, a market implied
asset volatility is calculated by using observed market CDS spreads.
This implied asset volatility is then used to estimate the probability of
triggering a predetermined “contingency event" given the distanceto-
trigger (DTT). The paper then investigates the effect of varying
DTTs and recovery assumptions on the CoCo yield. We conclude
with an investment rationale.
Abstract: This research aims to examine the key success factors
for the diffusion of mobile entertainment services in Malaysia. The
drivers and barriers observed in this research include perceived
benefit; concerns pertaining to pricing, product and technological
standardization, privacy and security; as well as influences from
peers and community. An analysis of a Malaysian survey of 384
respondents between 18 to 25 years shows that subscribers placed
greater importance on perceived benefit of mobile entertainment
services compared to other factors. Results of the survey also show
that there are strong positive correlations between all the factors,
with pricing issue–perceived benefit showing the strongest
relationship. This paper aims to provide an extensive study on the
drivers and barriers that could be used to derive architecture for
entertainment service provision to serve as a guide for telcos to
outline suitable approaches in order to encourage mass market
adoption of mobile entertainment services in Malaysia.