A hybrid modeling approach for option pricing
NASA Astrophysics Data System (ADS)
Hajizadeh, Ehsan; Seifi, Abbas
2011-11-01
The complexity of option pricing has led many researchers to develop sophisticated models for such purposes. The commonly used Black-Scholes model suffers from a number of limitations. One of these limitations is the assumption that the underlying probability distribution is lognormal and this is so controversial. We propose a couple of hybrid models to reduce these limitations and enhance the ability of option pricing. The key input to option pricing model is volatility. In this paper, we use three popular GARCH type model for estimating volatility. Then, we develop two non-parametric models based on neural networks and neuro-fuzzy networks to price call options for S&P 500 index. We compare the results with those of Black-Scholes model and show that both neural network and neuro-fuzzy network models outperform Black-Scholes model. Furthermore, comparing the neural network and neuro-fuzzy approaches, we observe that for at-the-money options, neural network model performs better and for both in-the-money and an out-of-the money option, neuro-fuzzy model provides better results.
Option Pricing in Subdiffusive Bachelier Model
NASA Astrophysics Data System (ADS)
Magdziarz, Marcin; Orzeł, Sebastian; Weron, Aleksander
2011-10-01
The earliest model of stock prices based on Brownian diffusion is the Bachelier model. In this paper we propose an extension of the Bachelier model, which reflects the subdiffusive nature of the underlying asset dynamics. The subdiffusive property is manifested by the random (infinitely divisible) periods of time, during which the asset price does not change. We introduce a subdiffusive arithmetic Brownian motion as a model of stock prices with such characteristics. The structure of this process agrees with two-stage scenario underlying the anomalous diffusion mechanism, in which trapping random events are superimposed on the Langevin dynamics. We find the corresponding fractional Fokker-Planck equation governing the probability density function of the introduced process. We construct the corresponding martingale measure and show that the model is incomplete. We derive the formulas for European put and call option prices. We describe explicit algorithms and present some Monte-Carlo simulations for the particular cases of α-stable and tempered α-stable distributions of waiting times.
ERIC Educational Resources Information Center
Tenopir, Carol
1998-01-01
Presents results of a recent survey of over 100 public and academic libraries about pricing options from online companies. Most options fall into three categories: pay-as-you-go, fixed-rate, and user-based. Results are discussed separately for public and academic libraries and for consortial discounts. Trends in pricing options preferred by…
Exponential model for option prices: Application to the Brazilian market
NASA Astrophysics Data System (ADS)
Ramos, Antônio M. T.; Carvalho, J. A.; Vasconcelos, G. L.
2016-03-01
In this paper we report an empirical analysis of the Ibovespa index of the São Paulo Stock Exchange and its respective option contracts. We compare the empirical data on the Ibovespa options with two option pricing models, namely the standard Black-Scholes model and an empirical model that assumes that the returns are exponentially distributed. It is found that at times near the option expiration date the exponential model performs better than the Black-Scholes model, in the sense that it fits the empirical data better than does the latter model.
An empirical model of volatility of returns and option pricing
NASA Astrophysics Data System (ADS)
McCauley, Joseph L.; Gunaratne, Gemunu H.
2003-11-01
This paper reports several entirely new results on financial market dynamics and option pricing. We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian. This exponential distribution of asset prices can be used to develop a new pricing model for options (in closed algebraic form) that is shown to provide valuations that agree very well with those used by traders. We show how the Fokker-Planck formulation of fluctuations can be used with a local volatility (diffusion coefficient) to generate an exponential distribution for asset returns, and also how fat tails for extreme returns are generated dynamically by a simple generalization of our new volatility model. Nonuniqueness in deducing dynamics from empirical data is discussed and is shown to have no practical effect over time scales much less than one hundred years. We derive an option pricing pde and explain why it is superfluous, because all information required to price options in agreement with the delta-hedge is already included in the Green function of the Fokker-Planck equation for a special choice of parameters. Finally, we also show how to calculate put and call prices for a stretched exponential returns density.
Chalasani, P.; Saias, I.; Jha, S.
1996-04-08
As increasingly large volumes of sophisticated options (called derivative securities) are traded in world financial markets, determining a fair price for these options has become an important and difficult computational problem. Many valuation codes use the binomial pricing model, in which the stock price is driven by a random walk. In this model, the value of an n-period option on a stock is the expected time-discounted value of the future cash flow on an n-period stock price path. Path-dependent options are particularly difficult to value since the future cash flow depends on the entire stock price path rather than on just the final stock price. Currently such options are approximately priced by Monte carlo methods with error bounds that hold only with high probability and which are reduced by increasing the number of simulation runs. In this paper the authors show that pricing an arbitrary path-dependent option is {number_sign}-P hard. They show that certain types f path-dependent options can be valued exactly in polynomial time. Asian options are path-dependent options that are particularly hard to price, and for these they design deterministic polynomial-time approximate algorithms. They show that the value of a perpetual American put option (which can be computed in constant time) is in many cases a good approximation to the value of an otherwise identical n-period American put option. In contrast to Monte Carlo methods, the algorithms have guaranteed error bounds that are polynormally small (and in some cases exponentially small) in the maturity n. For the error analysis they derive large-deviation results for random walks that may be of independent interest.
Option pricing formulas based on a non-Gaussian stock price model.
Borland, Lisa
2002-08-26
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter q. A generalized form of the Black-Scholes (BS) partial differential equation and some closed-form solutions are obtained. The standard BS equation (q=1) which is used by economists to calculate option prices requires multiple values of the stock volatility (known as the volatility smile). Using q=1.5 which well models the empirical distribution of returns, we get a good description of option prices using a single volatility.
Pricing European option under the time-changed mixed Brownian-fractional Brownian model
NASA Astrophysics Data System (ADS)
Guo, Zhidong; Yuan, Hongjun
2014-07-01
This paper deals with the problem of discrete time option pricing by a mixed Brownian-fractional subdiffusive Black-Scholes model. Under the assumption that the price of the underlying stock follows a time-changed mixed Brownian-fractional Brownian motion, we derive a pricing formula for the European call option in a discrete time setting.
A path-independent method for barrier option pricing in hidden Markov models
NASA Astrophysics Data System (ADS)
Rashidi Ranjbar, Hedieh; Seifi, Abbas
2015-12-01
This paper presents a method for barrier option pricing under a Black-Scholes model with Markov switching. We extend the option pricing method of Buffington and Elliott to price continuously monitored barrier options under a Black-Scholes model with regime switching. We use a regime switching random Esscher transform in order to determine an equivalent martingale pricing measure, and then solve the resulting multidimensional integral for pricing barrier options. We have calculated prices for down-and-out call options under a two-state hidden Markov model using two different Monte-Carlo simulation approaches and the proposed method. A comparison of the results shows that our method is faster than Monte-Carlo simulation methods.
Option price and market instability
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Yu, Miao
2017-04-01
An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters-unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007-2008. We make a hypothesis that the failure of the option price to fit data is an indication of the market's large deviation from its near equilibrium behavior due to the market's instability. Furthermore, our indicator of market's instability is shown to be more accurate than the option's observed volatility. The market prices of the FX option for various currencies are studied in the light of our hypothesis.
A Non-Gaussian Stock Price Model: Options, Credit and a Multi-Timescale Memory
NASA Astrophysics Data System (ADS)
Borland, L.
We review a recently proposed model of stock prices, based on astatistical feedback model that results in a non-Gaussian distribution of price changes. Applications to option pricing and the pricing of debt is discussed. A generalization to account for feedback effects over multiple timescales is also presented. This model reproduces most of the stylized facts (ie statistical anomalies) observed in real financial markets.
Pricing American put option on zero-coupon bond in a jump-extended CIR model
NASA Astrophysics Data System (ADS)
Deng, Guohe
2015-05-01
This paper presents a jump extension to the CIR model of the short interest rate with exponential distribution jumps. We derive an approximated price of an American put option on a defaultable-free, zero-coupon bond using the two-GJ approach based on combining an European put option and a Bermudan option with two possible exercise dates. Closed-form solutions for both the European put option and the Bermudan option are obtained by using multivariate Fourier transforms and characteristic functions. The accuracy and efficiency of the approximation are examined using the least-square Monte Carlo simulation as the benchmarks. Finally several numerical examples illustrating the results have been presented and the prices have been compared to the corresponding prices for American option in the pure diffusion model.
Recovery of time-dependent volatility in option pricing model
NASA Astrophysics Data System (ADS)
Deng, Zui-Cha; Hon, Y. C.; Isakov, V.
2016-11-01
In this paper we investigate an inverse problem of determining the time-dependent volatility from observed market prices of options with different strikes. Due to the non linearity and sparsity of observations, an analytical solution to the problem is generally not available. Numerical approximation is also difficult to obtain using most of the existing numerical algorithms. Based on our recent theoretical results, we apply the linearisation technique to convert the problem into an inverse source problem from which recovery of the unknown volatility function can be achieved. Two kinds of strategies, namely, the integral equation method and the Landweber iterations, are adopted to obtain the stable numerical solution to the inverse problem. Both theoretical analysis and numerical examples confirm that the proposed approaches are effective. The work described in this paper was partially supported by a grant from the Research Grant Council of the Hong Kong Special Administrative Region (Project No. CityU 101112) and grants from the NNSF of China (Nos. 11261029, 11461039), and NSF grants DMS 10-08902 and 15-14886 and by Emylou Keith and Betty Dutcher Distinguished Professorship at the Wichita State University (USA).
Option pricing for stochastic volatility model with infinite activity Lévy jumps
NASA Astrophysics Data System (ADS)
Gong, Xiaoli; Zhuang, Xintian
2016-08-01
The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.
Option pricing: Stock price, stock velocity and the acceleration Lagrangian
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra
2014-12-01
The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.
NASA Astrophysics Data System (ADS)
Wang, Xiao-Tian; Yan, Hai-Gang; Tang, Ming-Ming; Zhu, En-Hui
2010-02-01
A model for option pricing of fractional version of the Merton model with ‘Hurst exponent’ H being in [1/2,1) is established with transaction costs. In particular, for H∈(1/2,1) the minimal price Cmin(t,St) of an option under transaction costs is obtained, which displays that the timestep δt and the ‘Hurst exponent’ H play an important role in option pricing with transaction costs.
A note on Black-Scholes pricing model for theoretical values of stock options
NASA Astrophysics Data System (ADS)
Edeki, S. O.; Ugbebor, O. O.; Owoloko, E. A.
2016-02-01
In this paper, we consider some conditions that transform the classical Black-Scholes Model for stock options valuation from its partial differential equation (PDE) form to an equivalent ordinary differential equation (ODE) form. In addition, we propose a relatively new semi-analytical method for the solution of the transformed Black-Scholes model. The obtained solutions via this method can be used to find the theoretical values of the stock options in relation to their fair prices. In considering the reliability and efficiency of the models, we test some cases and the results are in good agreement with the exact solution.
NASA Astrophysics Data System (ADS)
Lemmens, D.; Wouters, M.; Tempere, J.; Foulon, S.
2008-07-01
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is demonstrated by extending the realm of closed-form option price formulas to the case where both the volatility and interest rates are stochastic. This flexibility is promising for the treatment of exotic options. Our analytical formulas are tested with numerical Monte Carlo simulations.
Policy options for alcohol price regulation: the importance of modelling population heterogeneity.
Meier, Petra Sylvia; Purshouse, Robin; Brennan, Alan
2010-03-01
Context and aims Internationally, the repertoire of alcohol pricing policies has expanded to include targeted taxation, inflation-linked taxation, taxation based on alcohol-by-volume (ABV), minimum pricing policies (general or targeted), bans of below-cost selling and restricting price-based promotions. Policy makers clearly need to consider how options compare in reducing harms at the population level, but are also required to demonstrate proportionality of their actions, which necessitates a detailed understanding of policy effects on different population subgroups. This paper presents selected findings from a policy appraisal for the UK government and discusses the importance of accounting for population heterogeneity in such analyses. Method We have built a causal, deterministic, epidemiological model which takes account of differential preferences by population subgroups defined by age, gender and level of drinking (moderate, hazardous, harmful). We consider purchasing preferences in terms of the types and volumes of alcoholic beverages, prices paid and the balance between bars, clubs and restaurants as opposed to supermarkets and off-licenses. Results Age, sex and level of drinking fundamentally affect beverage preferences, drinking location, prices paid, price sensitivity and tendency to substitute for other beverage types. Pricing policies vary in their impact on different product types, price points and venues, thus having distinctly different effects on subgroups. Because population subgroups also have substantially different risk profiles for harms, policies are differentially effective in reducing health, crime, work-place absence and unemployment harms. Conclusion Policy appraisals must account for population heterogeneity and complexity if resulting interventions are to be well considered, proportionate, effective and cost-effective.
Numerically pricing American options under the generalized mixed fractional Brownian motion model
NASA Astrophysics Data System (ADS)
Chen, Wenting; Yan, Bowen; Lian, Guanghua; Zhang, Ying
2016-06-01
In this paper, we introduce a robust numerical method, based on the upwind scheme, for the pricing of American puts under the generalized mixed fractional Brownian motion (GMFBM) model. By using portfolio analysis and applying the Wick-Itô formula, a partial differential equation (PDE) governing the prices of vanilla options under the GMFBM is successfully derived for the first time. Based on this, we formulate the pricing of American puts under the current model as a linear complementarity problem (LCP). Unlike the classical Black-Scholes (B-S) model or the generalized B-S model discussed in Cen and Le (2011), the newly obtained LCP under the GMFBM model is difficult to be solved accurately because of the numerical instability which results from the degeneration of the governing PDE as time approaches zero. To overcome this difficulty, a numerical approach based on the upwind scheme is adopted. It is shown that the coefficient matrix of the current method is an M-matrix, which ensures its stability in the maximum-norm sense. Remarkably, we have managed to provide a sharp theoretic error estimate for the current method, which is further verified numerically. The results of various numerical experiments also suggest that this new approach is quite accurate, and can be easily extended to price other types of financial derivatives with an American-style exercise feature under the GMFBM model.
Pricing bounds for discrete arithmetic Asian options under Lévy models
NASA Astrophysics Data System (ADS)
Lemmens, D.; Liang, L. Z. J.; Tempere, J.; De Schepper, A.
2010-11-01
Analytical bounds for Asian options are almost exclusively available in the Black-Scholes framework. In this paper we derive bounds for the price of a discretely monitored arithmetic Asian option when the underlying asset follows an arbitrary Lévy process. Explicit formulas are given for Kou’s model, Merton’s model, the normal inverse Gaussian model, the CGMY model and the variance gamma model. The results are compared with the comonotonic upper bound, existing numerical results, Monte carlo simulations and in the case of the variance gamma model with an existing lower bound. The method outlined here provides lower and upper bounds that are quick to evaluate, and more accurate than existing bounds.
Approximation methods of European option pricing in multiscale stochastic volatility model
NASA Astrophysics Data System (ADS)
Ni, Ying; Canhanga, Betuel; Malyarenko, Anatoliy; Silvestrov, Sergei
2017-01-01
In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model, in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown in Christoffersen, Heston and Jacobs [12]. We consider one modified form of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this paper is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. [5, 6]. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi [11] using method of characteristics, Fourier and bivariate Laplace transforms.
Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model
NASA Astrophysics Data System (ADS)
Perelló, Josep
2007-08-01
The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the return distributions. This paper wants to go further on with the expOU model we have studied in Ref. [J. Masoliver, J. Perelló, Quant. Finance 6 (2006) 423] by exploring an aspect of practical interest. Having as a benchmark the parameters estimated from the Dow Jones daily data, we want to compute the price for the European option. This is actually done by Monte Carlo, running a large number of simulations. Our main interest is to “see” the effects of a long-range market memory from our expOU model in its subsequent European call option. We pay attention to the effects of the existence of a broad range of time scales in the volatility. We find that a richer set of time scales brings the price of the option higher. This appears in clear contrast to the presence of memory in the price itself which makes the price of the option cheaper.
Louis Bachelier: The Father of Modern Option Pricing Theory.
ERIC Educational Resources Information Center
Sullivan, Edward J.; Weithers, Timothy M.
1991-01-01
Observes that, before 1973, determining a valuation formula for option prices was an elusive goal of financial economics. Discusses Louis Bachelier's early twentieth-century work on the problem. Notes that Bachelier derived a normal distribution for stock price movements by modeling price changes in specific way. Reviews Bachelier's option pricing…
Valuating Privacy with Option Pricing Theory
NASA Astrophysics Data System (ADS)
Berthold, Stefan; Böhme, Rainer
One of the key challenges in the information society is responsible handling of personal data. An often-cited reason why people fail to make rational decisions regarding their own informational privacy is the high uncertainty about future consequences of information disclosures today. This chapter builds an analogy to financial options and draws on principles of option pricing to account for this uncertainty in the valuation of privacy. For this purpose, the development of a data subject's personal attributes over time and the development of the attribute distribution in the population are modeled as two stochastic processes, which fit into the Binomial Option Pricing Model (BOPM). Possible applications of such valuation methods to guide decision support in future privacy-enhancing technologies (PETs) are sketched.
Pricing and hedging Asian basket spread options
NASA Astrophysics Data System (ADS)
Deelstra, Griselda; Petkovic, Alexandre; Vanmaele, Michèle
2010-04-01
Asian options, basket options and spread options have been extensively studied in the literature. However, few papers deal with the problem of pricing general Asian basket spread options. This paper aims to fill this gap. In order to obtain prices and Greeks in a short computation time, we develop approximation formulae based on comonotonicity theory and moment matching methods. We compare their relative performances and explain how to choose the best approximation technique as a function of the Asian basket spread characteristics. We also give explicitly the Greeks for our proposed methods. In the last section we extend our results to options denominated in foreign currency.
Partial derivative approach for option pricing in a simple stochastic volatility model
NASA Astrophysics Data System (ADS)
Montero, M.
2004-11-01
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model has already been introduced in the literature. We present a new approach to the problem, based on partial differential equations, which gives a different perspective to the issue. Within our framework we can easily consider several forms for the market price of volatility risk, and interpret their financial meaning. We thus recover solutions previously mentioned in the literature as well as obtaining new ones.
Option pricing during post-crash relaxation times
NASA Astrophysics Data System (ADS)
Dibeh, Ghassan; Harmanani, Haidar M.
2007-07-01
This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial differential equation (PDE) for call prices is derived using risk-neutral pricing. European call prices are then estimated using Monte Carlo and finite difference methods. Results of the model show that call option prices after the crash are systematically less than those predicted by the Black-Scholes model. This is a result of the effect of non-constant volatility of the model that causes a volatility skew.
Dynamic option pricing with endogenous stochastic arbitrage
NASA Astrophysics Data System (ADS)
Contreras, Mauricio; Montalva, Rodrigo; Pellicer, Rely; Villena, Marcelo
2010-09-01
Only few efforts have been made in order to relax one of the key assumptions of the Black-Scholes model: the no-arbitrage assumption. This is despite the fact that arbitrage processes usually exist in the real world, even though they tend to be short-lived. The purpose of this paper is to develop an option pricing model with endogenous stochastic arbitrage, capable of modelling in a general fashion any future and underlying asset that deviate itself from its market equilibrium. Thus, this investigation calibrates empirically the arbitrage on the futures on the S&P 500 index using transaction data from September 1997 to June 2009, from here a specific type of arbitrage called “arbitrage bubble”, based on a t-step function, is identified and hence used in our model. The theoretical results obtained for Binary and European call options, for this kind of arbitrage, show that an investment strategy that takes advantage of the identified arbitrage possibility can be defined, whenever it is possible to anticipate in relative terms the amplitude and timespan of the process. Finally, the new trajectory of the stock price is analytically estimated for a specific case of arbitrage and some numerical illustrations are developed. We find that the consequences of a finite and small endogenous arbitrage not only change the trajectory of the asset price during the period when it started, but also after the arbitrage bubble has already gone. In this context, our model will allow us to calibrate the B-S model to that new trajectory even when the arbitrage already started.
A Model-Free No-arbitrage Price Bound for Variance Options
Bonnans, J. Frederic; Tan Xiaolu
2013-08-01
We suggest a numerical approximation for an optimization problem, motivated by its applications in finance to find the model-free no-arbitrage bound of variance options given the marginal distributions of the underlying asset. A first approximation restricts the computation to a bounded domain. Then we propose a gradient projection algorithm together with the finite difference scheme to solve the optimization problem. We prove the general convergence, and derive some convergence rate estimates. Finally, we give some numerical examples to test the efficiency of the algorithm.
Stock price dynamics and option valuations under volatility feedback effect
NASA Astrophysics Data System (ADS)
Kanniainen, Juho; Piché, Robert
2013-02-01
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.
Correlated continuous time random walk and option pricing
NASA Astrophysics Data System (ADS)
Lv, Longjin; Xiao, Jianbin; Fan, Liangzhong; Ren, Fuyao
2016-04-01
In this paper, we study a correlated continuous time random walk (CCTRW) with averaged waiting time, whose probability density function (PDF) is proved to follow stretched Gaussian distribution. Then, we apply this process into option pricing problem. Supposing the price of the underlying is driven by this CCTRW, we find this model captures the subdiffusive characteristic of financial markets. By using the mean self-financing hedging strategy, we obtain the closed-form pricing formulas for a European option with and without transaction costs, respectively. At last, comparing the obtained model with the classical Black-Scholes model, we find the price obtained in this paper is higher than that obtained from the Black-Scholes model. A empirical analysis is also introduced to confirm the obtained results can fit the real data well.
Option pricing and perfect hedging on correlated stocks
NASA Astrophysics Data System (ADS)
Perelló, Josep; Masoliver, Jaume
2003-12-01
We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time τ⩾0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a riskless strategy which results in a closed and exact expression for the European call price which is always lower than Black-Scholes price. We obtain the same price and a modified delta hedging if we start from an effective one-dimensional market model. We compare these strategies and study the sensitivity of the call price to several parameters where the correlation effects are also observed.
Time-changed geometric fractional Brownian motion and option pricing with transaction costs
NASA Astrophysics Data System (ADS)
Gu, Hui; Liang, Jin-Rong; Zhang, Yun-Xiu
2012-08-01
This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black-Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained.
Risk-neutral density extraction from option prices: improved pricing with mixture density networks.
Schittenkopf, C; Dorffner, G
2001-01-01
One of the central goals in finance is to find better models for pricing and hedging financial derivatives such as call and put options. We present a new semi-nonparametric approach to risk-neutral density extraction from option prices, which is based on an extension of the concept of mixture density networks. The central idea is to model the shape of the risk-neutral density in a flexible, nonlinear way as a function of the time horizon. Thereby, stylized facts such as negative skewness and excess kurtosis are captured. The approach is applied to a very large set of intraday options data on the FTSE 100 recorded at LIFFE. It is shown to yield significantly better results in terms of out-of-sample pricing accuracy in comparison to the basic and an extended Black-Scholes model. It is also significantly better than a more elaborate GARCH option pricing model which includes a time-dependent volatility process. From the perspective of risk management, the extracted risk-neutral densities provide valuable information for value-at-risk estimations.
A quantum model of option pricing: When Black-Scholes meets Schrödinger and its semi-classical limit
NASA Astrophysics Data System (ADS)
Contreras, Mauricio; Pellicer, Rely; Villena, Marcelo; Ruiz, Aaron
2010-12-01
The Black-Scholes equation can be interpreted from the point of view of quantum mechanics, as the imaginary time Schrödinger equation of a free particle. When deviations of this state of equilibrium are considered, as a product of some market imperfection, such as: Transaction cost, asymmetric information issues, short-term volatility, extreme discontinuities, or serial correlations; the classical non-arbitrage assumption of the Black-Scholes model is violated, implying a non-risk-free portfolio. From Haven (2002) [1] we know that an arbitrage environment is a necessary condition to embedding the Black-Scholes option pricing model in a more general quantum physics setting. The aim of this paper is to propose a new Black-Scholes-Schrödinger model based on the endogenous arbitrage option pricing formulation introduced by Contreras et al. (2010) [2]. Hence, we derive a more general quantum model of option pricing, that incorporates arbitrage as an external time dependent force, which has an associated potential related to the random dynamic of the underlying asset price. This new resultant model can be interpreted as a Schrödinger equation in imaginary time for a particle of mass 1/σ2 with a wave function in an external field force generated by the arbitrage potential. As pointed out above, this new model can be seen as a more general formulation, where the perfect market equilibrium state postulated by the Black-Scholes model represent a particular case. Finally, since the Schrödinger equation is in place, we can apply semiclassical methods, of common use in theoretical physics, to find an approximate analytical solution of the Black-Scholes equation in the presence of market imperfections, as it is the case of an arbitrage bubble. Here, as a numerical illustration of the potential of this Schrödinger equation analogy, the semiclassical approximation is performed for different arbitrage bubble forms (step, linear and parabolic) and compare with the exact
El Farouq, Naïma; Bernhard, Pierre
2015-10-15
We prove the missing uniqueness theorem for the viscosity solution of a quasi-variational inequality related to a minimax impulse control problem modeling the option pricing with proportional transactions costs. This result makes our robust control approach of option pricing in the interval market model essentially complete.
Pricing Asian options using moment matching on a multinomial lattice
NASA Astrophysics Data System (ADS)
Ogutu, Carolyne; Lundengârd, Karl; Silvestrov, Sergei; Weke, Patrick
2014-12-01
Pricing Asian options is often done using bi- or trinomial lattice methods. Here some results for generalizing these methods to lattices with more nodes are presented. We consider Asian option pricing on a lattice where the underlying asset follows Merton-Bates jump-diffusion model and describe the construction of a lattice using the moment matching technique which results in an equation system described by a rectangular Vandermonde matrix. The system is solved using the explicit expression for the inverse of the Vandermonde matrix and some restrictions on the jump sizes of the lattice and the distribution of moments are identified. The consequences of these restrictions for the suitability of the multinomial lattice methods are also discussed.
Option pricing with regime switching by trinomial tree method
NASA Astrophysics Data System (ADS)
Yuen, Fei Lung; Yang, Hailiang
2010-02-01
We present a fast and simple tree model to price simple and exotic options in Markov Regime Switching Model (MRSM) with multi-regime. We modify the trinomial tree model of Boyle (1986) [12] by controlling the risk neutral probability measure in different regime states to ensure that the tree model can accommodate the data of all different regimes at the same time preserving its combining tree structure. In MRSM, the market might not be complete, therefore we provide some ideas and discussions on managing the regime switching risk in support of our results.
Pilot-Wave Theory and Financial Option Pricing
NASA Astrophysics Data System (ADS)
Haven, Emmanuel
2005-11-01
This paper tries to argue why pilot-wave theory could be of use in financial economics. We introduce the notion of information wave. We consider a stochastic guidance equation and part of the drift term of that equation makes reference to the phase of the wave. In order to embed information in financial option pricing we could use such a drift. We also briefly argue how we could embed information in the pricing kernel of the option price.
A homotopy analysis method for the option pricing PDE in illiquid markets
NASA Astrophysics Data System (ADS)
E-Khatib, Youssef
2012-09-01
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading the underlying asset does not affect the underlying asset price. This can happen in perfectly liquid markets and it is evidently not viable in markets with imperfect liquidity (illiquid markets). It is well-known that markets with imperfect liquidity are more realistic. Thus, the presence of price impact while studying options is very important. This paper investigates a solution for the option pricing PDE in illiquid markets using the homotopy analysis method.
European option pricing under the Student's t noise with jumps
NASA Astrophysics Data System (ADS)
Wang, Xiao-Tian; Li, Zhe; Zhuang, Le
2017-03-01
In this paper we present a new approach to price European options under the Student's t noise with jumps. Through the conditional delta hedging strategy and the minimal mean-square-error hedging, a closed-form solution of the European option value is obtained under the incomplete information case. In particular, we propose a Value-at-Risk-type procedure to estimate the volatility parameter σ such that the pricing error is in accord with the risk preferences of investors. In addition, the numerical results of us show that options are not priced in some cases in an incomplete information market.
NASA Astrophysics Data System (ADS)
Hozman, J.; Tichý, T.
2016-12-01
The paper is based on the results from our recent research on multidimensional option pricing problems. We focus on European option valuation when the price movement of the underlying asset is driven by a stochastic volatility following a square root process proposed by Heston. The stochastic approach incorporates a new additional spatial variable into this model and makes it very robust, i.e. it provides a framework to price a variety of options that is closer to reality. The main topic is to present the numerical scheme arising from the concept of discontinuous Galerkin methods and applicable to the Heston option pricing model. The numerical results are presented on artificial benchmarks as well as on reference market data.
NASA Astrophysics Data System (ADS)
Zhang, Xubo
This paper uses the approaches and models of option theory to analyze two-stage venture capital investment in agricultural production and processing enterprises decision-making under uncertainty. Mathematics expressions of this two-stage venture capital investment decision-making are presented. An option value model about two-stage venture capital investment decision-making base on options pricing theory under the uncertainty is presented. Get the solution of option pricing model which we present.
Pricing geometric Asian power options under mixed fractional Brownian motion environment
NASA Astrophysics Data System (ADS)
Prakasa Rao, B. L. S.
2016-03-01
It has been observed that the stock price process can be modeled with driving force as a mixed fractional Brownian motion with Hurst index H > 3/4 whenever long-range dependence is possibly present. We obtain a closed form expression for the price of a geometric Asian option under the mixed fractional Brownian motion environment. We consider also Asian power options when the payoff function is a power function.
NASA Astrophysics Data System (ADS)
Kanai, Yasuhiro; Abe, Keiji; Seki, Yoichi
2015-06-01
We propose a price percolation model to reproduce the price distribution of components used in industrial finished goods. The intent is to show, using the price percolation model and a component category as an example, that percolation behaviors, which exist in the matter system, the ecosystem, and human society, also exist in abstract, random phenomena satisfying the power law. First, we discretize the total potential demand for a component category, considering it a random field. Second, we assume that the discretized potential demand corresponding to a function of a finished good turns into actual demand if the difficulty of function realization is less than the maximum difficulty of the realization. The simulations using this model suggest that changes in a component category's price distribution are due to changes in the total potential demand corresponding to the lattice size and the maximum difficulty of realization, which is an occupation probability. The results are verified using electronic components' sales data.
Spectral method for pricing options in illiquid markets
NASA Astrophysics Data System (ADS)
Pindza, Edson; Patidar, Kailash C.
2012-09-01
We present a robust numerical method to solve a problem of pricing options in illiquid markets. The governing equation is described by a nonlinear Black-Scholes partial differential equation (BS-PDE) of the reaction-diffusion-advection type. To discretise this BS-PDE numerically, we use a spectral method in the asset (spatial) direction and couple it with a fifth order RADAU method for the discretisation in the time direction. Numerical experiments illustrate that our approach is very efficient for pricing financial options in illiquid markets.
Pricing of swing options: A Monte Carlo simulation approach
NASA Astrophysics Data System (ADS)
Leow, Kai-Siong
We study the problem of pricing swing options, a class of multiple early exercise options that are traded in energy market, particularly in the electricity and natural gas markets. These contracts permit the option holder to periodically exercise the right to trade a variable amount of energy with a counterparty, subject to local volumetric constraints. In addition, the total amount of energy traded from settlement to expiration with the counterparty is restricted by a global volumetric constraint. Violation of this global volumetric constraint is allowed but would lead to penalty settled at expiration. The pricing problem is formulated as a stochastic optimal control problem in discrete time and state space. We present a stochastic dynamic programming algorithm which is based on piecewise linear concave approximation of value functions. This algorithm yields the value of the swing option under the assumption that the optimal exercise policy is applied by the option holder. We present a proof of an almost sure convergence that the algorithm generates the optimal exercise strategy as the number of iterations approaches to infinity. Finally, we provide a numerical example for pricing a natural gas swing call option.
Compact finite difference method for American option pricing
NASA Astrophysics Data System (ADS)
Zhao, Jichao; Davison, Matt; Corless, Robert M.
2007-09-01
A compact finite difference method is designed to obtain quick and accurate solutions to partial differential equation problems. The problem of pricing an American option can be cast as a partial differential equation. Using the compact finite difference method this problem can be recast as an ordinary differential equation initial value problem. The complicating factor for American options is the existence of an optimal exercise boundary which is jointly determined with the value of the option. In this article we develop three ways of combining compact finite difference methods for American option price on a single asset with methods for dealing with this optimal exercise boundary. Compact finite difference method one uses the implicit condition that solutions of the transformed partial differential equation be nonnegative to detect the optimal exercise value. This method is very fast and accurate even when the spatial step size h is large (h[greater-or-equal, slanted]0.1). Compact difference method two must solve an algebraic nonlinear equation obtained by Pantazopoulos (1998) at every time step. This method can obtain second order accuracy for space x and requires a moderate amount of time comparable with that required by the Crank Nicolson projected successive over relaxation method. Compact finite difference method three refines the free boundary value by a method developed by Barone-Adesi and Lugano [The saga of the American put, 2003], and this method can obtain high accuracy for space x. The last two of these three methods are convergent, moreover all the three methods work for both short term and long term options. Through comparison with existing popular methods by numerical experiments, our work shows that compact finite difference methods provide an exciting new tool for American option pricing.
An option pricing theory explanation of the invasion of Kuwait
Muhtaseb, M.R.
1995-12-31
The objective of this paper is to explain the invasion of Kuwait by making an analogy between a call option and the Iraq-Kuwait situation before the invasion on August 2, 1990. A number of factors contributed to the issuance of a deep-in-the money European call option to Iraq against Kuwait. The underlying asset is the crude oil reserves under Kuwait. Price of crude oil is determined in world spot markets. The exercise price is equal to the cost of permanently annexing and retaining Kuwait. The volatility is measured by the annualized variance of the weekly rate of return of the spot price of crude oil. Time-to-expiration is equal to the time period between decision date and actual invasion date. Finally, since crude oil prices are quoted in U.S. dollars, the U.S. Treasury bill rate is assumed to be the risk-free rate. In a base-case scenario, Kuwait`s oil reserves amount to 94,500 million barrels valued at $18 a barrell in early February 1990 resulting in a market value of $1,701 billion. Because the cost of the war to Iraq is not known, we assume it is comparable to that of the U.S.-led coalition of $51.0 billion. Time-to-expiration is six months. The treasury bill rate in early 1990 was around 7.5 percent. Annualized standard deviation of weekly rates of return is 0.216. The value of Kuwait`s invasion option is $1,642.25 billion. Depending on the scenario, the value of this special option ranged between $1,450 billion and $3.624 billion. 10 refs., 1 tab.
NASA Astrophysics Data System (ADS)
Utama, Briandhika; Purqon, Acep
2016-08-01
Path Integral is a method to transform a function from its initial condition to final condition through multiplying its initial condition with the transition probability function, known as propagator. At the early development, several studies focused to apply this method for solving problems only in Quantum Mechanics. Nevertheless, Path Integral could also apply to other subjects with some modifications in the propagator function. In this study, we investigate the application of Path Integral method in financial derivatives, stock options. Black-Scholes Model (Nobel 1997) was a beginning anchor in Option Pricing study. Though this model did not successfully predict option price perfectly, especially because its sensitivity for the major changing on market, Black-Scholes Model still is a legitimate equation in pricing an option. The derivation of Black-Scholes has a high difficulty level because it is a stochastic partial differential equation. Black-Scholes equation has a similar principle with Path Integral, where in Black-Scholes the share's initial price is transformed to its final price. The Black-Scholes propagator function then derived by introducing a modified Lagrange based on Black-Scholes equation. Furthermore, we study the correlation between path integral analytical solution and Monte-Carlo numeric solution to find the similarity between this two methods.
Some Divergence Properties of Asset Price Models
NASA Astrophysics Data System (ADS)
Stummer, Wolfgang
2001-12-01
We consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2)) Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian motion. We study properties of the Iα-divergence between the law of the solution Xt and the corresponding drift-less measure (the special case α=1 is the relative entropy). This will be applied to some context in statistical information theory as well as to arbitrage theory and contingent claim valuation. For instance, the seminal option pricing theorems of Black-Scholes and Merton appear as a special case.
Pricing American Asian options with higher moments in the underlying distribution
NASA Astrophysics Data System (ADS)
Lo, Keng-Hsin; Wang, Kehluh; Hsu, Ming-Feng
2009-01-01
We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] if the number of the time steps increases. If the underlying distribution displays negative skewness and leptokurtosis as often observed for stock index returns, our estimates can work better than those in Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined binomial lattice for pricing American Asian options, Rev. Derivatives Res. 3 (1) (1999) 85-105] and are very similar to the benchmarks in Hull and White [J. Hull, A. White, Efficient procedures for valuing European and American path-dependent options, J. Derivatives 1 (Fall) (1993) 21-31]. The numerical analysis shows that our modified Edgeworth binomial model can value American Asian options with greater accuracy and speed given higher moments in their underlying distribution.
Beyond Black-Scholes: semimartingales and Lévy processes for option pricing
NASA Astrophysics Data System (ADS)
Galluccio, S.
2001-04-01
We consider the problem of option pricing when the underlying asset follows a general semimartingale process. After reviewing the foundations of arbitrage pricing theory for semimartingales and the link with Lévy processes, we introduce a general method to price options in this framework based on Fourier and Wavelet analysis.
Option pricing beyond Black-Scholes based on double-fractional diffusion
NASA Astrophysics Data System (ADS)
Kleinert, H.; Korbel, J.
2016-05-01
We show how the prices of options can be determined with the help of double-fractional differential equation in such a way that their inclusion in a portfolio of stocks provides a more reliable hedge against dramatic price drops than the use of options whose prices were fixed by the Black-Scholes formula.
Black-Scholes option pricing within Itô and Stratonovich conventions
NASA Astrophysics Data System (ADS)
Perelló, J.; Porrà, J. M.; Montero, M.; Masoliver, J.
2000-04-01
Options are financial instruments designed to protect investors from the stock market randomness. In 1973, Black, Scholes and Merton proposed a very popular option pricing method using stochastic differential equations within the Itô interpretation. Herein, we derive the Black-Scholes equation for the option price using the Stratonovich calculus along with a comprehensive review, aimed to physicists, of the classical option pricing method based on the Itô calculus. We show, as can be expected, that the Black-Scholes equation is independent of the interpretation chosen. We nonetheless point out the many subtleties underlying Black-Scholes option pricing method.
A review of the effect of pharmaceutical firm drug announcements on stock option pricing.
Younis, Mustafa Mike Z; Younies, Hassan; Kisa, Adnan; Hartmann, Michael; Hussain, Ali Al Sayed; Al-Amro, Abdulla
2009-01-01
Since the Black and Sholes published their work in option pricing in 1973, there have been a great number of dissertations, theses, and articles published on options pricing. Several articles discussed American options and European options. Many articles where empirical in nature. In this article, we review some of the literature in this area and then discuss in a descriptive way the effect of pharmaceutical companies' announcements of new drugs on the market or drug withdrawals from the market on their stock options. This article should be the beginning of the discussion on how stock prices might affect the cost of drugs and the affect of the affordability of drug prices, if any.
Quantum Mechanics, Path Integrals and Option Pricing:. Reducing the Complexity of Finance
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Corianò, Claudio; Srikant, Marakani
2003-04-01
Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. After a brief overview of the connection between these fields, we illustrate some of the methods of lattice simulations of path integrals for the pricing of options. The ideas are sketched out for simple models, such as the Black-Scholes model, where analytical and numerical results are compared. Application of the method to nonlinear systems is also briefly overviewed. More general models, for exotic or path-dependent options are discussed.
Baaquie, Belal E; Liang, Cui
2007-01-01
The quantum finance pricing formulas for coupon bond options and swaptions derived by Baaquie [Phys. Rev. E 75, 016703 (2006)] are reviewed. We empirically study the swaption market and propose an efficient computational procedure for analyzing the data. Empirical results of the swaption price, volatility, and swaption correlation are compared with the predictions of quantum finance. The quantum finance model generates the market swaption price to over 90% accuracy.
Optional time-of-use prices for electricity: Analysis of PG E's experimental TOU rates
Train, K.; Mehrez, G.
1992-07-01
We examine customers' time-of-use (TOU) demand for electricity and their choice between standard and TOU rate schedules. We specify an econometric model in which the customer's demand curves determine the customer's choice of rate schedule. We estimate the model on data from Pacific Gas Electric Company's experiment with optional TOU prices in the residential sector. With the model, we compare the TOU consumption and price elasticities of customers who chose TOU rates with those who chose standard rates. We also estimate the impact of the TOU rates on the utility's revenues and costs. The analysis suggests that the TOU rates offered under PG E's experiment decreased PG E's profits and hence contributed to higher general rate levels. The model can be used, however, to design optional TOU rates that increase profits and lower general rate levels.
Kudryavtsev, Oleg
2013-01-01
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorization into finite difference methods for pricing options in Lévy models with jumps. The method is applicable for pricing barrier and American options. The pricing problem is reduced to the sequence of linear algebraic systems with a dense Toeplitz matrix; then the Wiener-Hopf factorization method is applied. We give an important probabilistic interpretation based on the infinitely divisible distributions theory to the Laurent operators in the correspondent factorization identity. Notice that our algorithm has the same complexity as the ones which use the explicit-implicit scheme, with a tridiagonal matrix. However, our method is more accurate. We support the advantage of the new method in terms of accuracy and convergence by using numerical experiments.
2013-01-01
In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorization into finite difference methods for pricing options in Lévy models with jumps. The method is applicable for pricing barrier and American options. The pricing problem is reduced to the sequence of linear algebraic systems with a dense Toeplitz matrix; then the Wiener-Hopf factorization method is applied. We give an important probabilistic interpretation based on the infinitely divisible distributions theory to the Laurent operators in the correspondent factorization identity. Notice that our algorithm has the same complexity as the ones which use the explicit-implicit scheme, with a tridiagonal matrix. However, our method is more accurate. We support the advantage of the new method in terms of accuracy and convergence by using numerical experiments. PMID:24489518
The Use of the Information Wave Function in a Drift Dependent Option Price: A Simple Example
Haven, Emmanuel
2009-03-10
This paper briefly describes how a drift-dependent option price is obtained, following the work of Tan. We briefly argue how the information wave function concept, which has now been used in various financial settings, can be used in this type of option price.
Baaquie, Belal E
2007-01-01
European options on coupon bonds are studied in a quantum field theory model of forward interest rates. Swaptions are briefly reviewed. An approximation scheme for the coupon bond option price is developed based on the fact that the volatility of the forward interest rates is a small quantity. The field theory for the forward interest rates is Gaussian, but when the payoff function for the coupon bond option is included it makes the field theory nonlocal and nonlinear. A perturbation expansion using Feynman diagrams gives a closed form approximation for the price of coupon bond option. A special case of the approximate bond option is shown to yield the industry standard one-factor HJM formula with exponential volatility.
Model risk for European-style stock index options.
Gençay, Ramazan; Gibson, Rajna
2007-01-01
In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as the Black-Scholes (BS) model with constant volatility. In this paper, we study the stochastic volatility (SV) and stochastic volatility random jump (SVJ) models as parametric benchmarks against feedforward neural network (FNN) models, a class of neural network models. Our choice for FNN models is due to their well-studied universal approximation properties of an unknown function and its partial derivatives. Since the partial derivatives of an option pricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing and hedging. Our findings indicate that FNN models offer themselves as robust option pricing tools, over their sophisticated parametric counterparts in predictive settings. There are two routes to explain the superiority of FNN models over the parametric models in forecast settings. These are nonnormality of return distributions and adaptive learning.
A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.
1997-12-01
The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic volatility is reviewed starting from the first principles of finance. The equation of Merton and Garman is then recast using the path integration technique of theoretical physics. The price of the stock option is shown to be the analogue of the Schrödinger wavefunction of quantum mechanics and the exact Hamiltonian and Lagrangian of the system is obtained. The results of Hull and White are generalized to the case when stock price and volatility have non-zero correlation. Some exact results for pricing stock options for the general correlated case are derived.
Multifactor valuation models of energy futures and options on futures
NASA Astrophysics Data System (ADS)
Bertus, Mark J.
The intent of this dissertation is to investigate continuous time pricing models for commodity derivative contracts that consider mean reversion. The motivation for pricing commodity futures and option on futures contracts leads to improved practical risk management techniques in markets where uncertainty is increasing. In the dissertation closed-form solutions to mean reverting one-factor, two-factor, three-factor Brownian motions are developed for futures contracts. These solutions are obtained through risk neutral pricing methods that yield tractable expressions for futures prices, which are linear in the state variables, hence making them attractive for estimation. These functions, however, are expressed in terms of latent variables (i.e. spot prices, convenience yield) which complicate the estimation of the futures pricing equation. To address this complication a discussion on Dynamic factor analysis is given. This procedure documents latent variables using a Kalman filter and illustrations show how this technique may be used for the analysis. In addition, to the futures contracts closed form solutions for two option models are obtained. Solutions to the one- and two-factor models are tailored solutions of the Black-Scholes pricing model. Furthermore, since these contracts are written on the futures contracts, they too are influenced by the same underlying parameters of the state variables used to price the futures contracts. To conclude, the analysis finishes with an investigation of commodity futures options that incorporate random discrete jumps.
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... From the Federal Register Online via the Government Publishing Office SECURITIES AND EXCHANGE COMMISSION Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information To Adopt a New Hosted Solution Fee and...
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... COMMISSION Options Price Reporting Authority; Order Approving an Amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information To Revise the Definition of the Term ``Nonprofessional'' August 2, 2012. I. Introduction On May 31, 2012, the Options Price Reporting Authority...
Optional time-of-use prices for electricity: Analysis of PG&E`s experimental TOU rates. Final report
Train, K.; Mehrez, G.
1992-07-01
We examine customers` time-of-use (TOU) demand for electricity and their choice between standard and TOU rate schedules. We specify an econometric model in which the customer`s demand curves determine the customer`s choice of rate schedule. We estimate the model on data from Pacific Gas & Electric Company`s experiment with optional TOU prices in the residential sector. With the model, we compare the TOU consumption and price elasticities of customers who chose TOU rates with those who chose standard rates. We also estimate the impact of the TOU rates on the utility`s revenues and costs. The analysis suggests that the TOU rates offered under PG&E`s experiment decreased PG&E`s profits and hence contributed to higher general rate levels. The model can be used, however, to design optional TOU rates that increase profits and lower general rate levels.
Monte Carlo methods for multidimensional integration for European option pricing
NASA Astrophysics Data System (ADS)
Todorov, V.; Dimov, I. T.
2016-10-01
In this paper, we illustrate examples of highly accurate Monte Carlo and quasi-Monte Carlo methods for multiple integrals related to the evaluation of European style options. The idea is that the value of the option is formulated in terms of the expectation of some random variable; then the average of independent samples of this random variable is used to estimate the value of the option. First we obtain an integral representation for the value of the option using the risk neutral valuation formula. Then with an appropriations change of the constants we obtain a multidimensional integral over the unit hypercube of the corresponding dimensionality. Then we compare a specific type of lattice rules over one of the best low discrepancy sequence of Sobol for numerical integration. Quasi-Monte Carlo methods are compared with Adaptive and Crude Monte Carlo techniques for solving the problem. The four approaches are completely different thus it is a question of interest to know which one of them outperforms the other for evaluation multidimensional integrals in finance. Some of the advantages and disadvantages of the developed algorithms are discussed.
NASA Astrophysics Data System (ADS)
Klibanov, Michael V.; Kuzhuget, Andrey V.; Golubnichiy, Kirill V.
2016-01-01
A new empirical mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock, new initial and new boundary conditions. Conventional notions of maturity time and strike prices are not used. The Black-Scholes equation is solved as a parabolic equation with the reversed time, which is an ill-posed problem. Thus, a regularization method is used to solve it. To verify the validity of our model, real market data for 368 randomly selected liquid options are used. A new trading strategy is proposed. Our results indicates that our method is profitable on those options. Furthermore, it is shown that the performance of two simple extrapolation-based techniques is much worse. We conjecture that our method might lead to significant profits of those financial insitutions which trade large amounts of options. We caution, however, that further studies are necessary to verify this conjecture.
An electricity price model with consideration to load and gas price effects.
Huang, Min-xiang; Tao, Xiao-hu; Han, Zhen-xiang
2003-01-01
Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent on load and gas prices, the authors constructed a model for electricity prices based on the effects of these two factors; and used the Geometric Mean Reversion Brownian Motion (GMRBM) model to describe the electricity load process, and a Geometric Brownian Motion(GBM) model to describe the gas prices; deduced the price stochastic process model based on the above load model and gas price model. This paper also presents methods for parameters estimation, and proposes some methods to solve the model.
The Shuttle Cost and Price model
NASA Technical Reports Server (NTRS)
Leary, Katherine; Stone, Barbara
1983-01-01
The Shuttle Cost and Price (SCP) model was developed as a tool to assist in evaluating major aspects of Shuttle operations that have direct and indirect economic consequences. It incorporates the major aspects of NASA Pricing Policy and corresponds to the NASA definition of STS operating costs. An overview of the SCP model is presented and the cost model portion of SCP is described in detail. Selected recent applications of the SCP model to NASA Pricing Policy issues are presented.
Options for pricing ancillary services in a deregulated power system
NASA Astrophysics Data System (ADS)
Yamin, Hatim Yahya
2001-07-01
GENCOs in restructured systems are compensated for selling energy in the market. In a restructured market, a mechanism is required to entice participants in the market to provide ancillary services and to ensure adequate compensation that would guarantee its economic viability. The ISO controls the dispatch of generation, manages the reliability of the transmission grid, provides open access to the transmission, buys and provides ancillary services as required, coordinates day-ahead, hour-ahead schedules and performs real time balancing of load and generation, settles real time imbalances and ancillary services sales and purchases. The ISO, also, administers congestion management protocols for the transmission grid. Since the ISO does not own any generating units it must ensure that there is enough reserves for maintaining reliability according to FERC regulations, and sufficient unloaded generating capacity for balancing services in a real-time market. The ISO could meet these requirements by creating a competitive market for ancillary services, which are metered and remain unbundled to provide an accurate compensation for each supplier and cost to each consumer, In this study, we give an overview for restructuring and ancillary services in a restructured power marketplace. Also, we discuss the effect of GENCOs' actions in the competitive energy and ancillary service markets. In addition, we propose an auction market design for hedging ancillary service costs in California market. Furthermore, we show how to include the n-1 and voltage contingencies in security constrained unit commitment. Finally, we present two approaches for GENCOs' unit commitment in a restructured power market; one is based on game theory and the other is based on market price forecasting. In each of the two GENCOs' unit commitment approaches, we discuss the GENCOs' optimal bidding strategies in energy and ancillary service markets to maximize the GENCOs' profit.
Hamiltonian and potentials in derivative pricing models: exact results and lattice simulations
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.; Corianò, Claudio; Srikant, Marakani
2004-03-01
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian formulation. We show here some applications of these methods for various potentials, which we have simulated via lattice Langevin and Monte Carlo algorithms, to the pricing of options. We focus on barrier or path dependent options, showing in some detail the computational strategies involved.
A new perspective on Quantum Finance using the Black-Scholes pricing model
NASA Astrophysics Data System (ADS)
Dieng, Lamine
2007-03-01
Options are known to be divided into two types, the first type is called a call option and the second type is called a put option and these options are offered to stock holders in order to hedge their positions against risky fluctuations of the stock price. It is important to mention that due to fluctuations of the stock price, options can be found sometimes deep in the money, at the money and out of the money. A deep in the money option is described when the option's holder has a positive expected payoff, at the money option is when the option's holder has a zero expected payoff and an out of the money option is when the payoff is negative. In this work, we will assume the stock price to be described by the well known Black-Scholes model or sometimes called the multiplicative model. Using Ito calculus, Martingale and supermartingale theories, we investigated the Black-Scholes pricing equation at the money (X(stock price)= K (strike price)) when the expected payoff of the options holder is zero. We also hedged the Black-Scholes pricing equation in the limit when delta is zero to obtain the non-relativistic time independent Schroedinger equation in quantum mechanics. We compared the two equations and found the diffusion constant to be a function of the stock price in contrast to the Bachelier model we have worked on earlier. We solved the Schroedinger equation and found a dependence between interest rate, volatility and strike price at the money.
Federal Register 2010, 2011, 2012, 2013, 2014
2012-06-22
... From the Federal Register Online via the Government Publishing Office SECURITIES AND EXCHANGE COMMISSION Options Price Reporting Authority; Notice of Filing and Immediate Effectiveness of Proposed Amendment to the Plan To Revise the Definition of the Term ``Nonprofessional'' June 15, 2012. Pursuant to Section 11A of the Securities Exchange Act...
Essays on pricing dynamics, price dispersion, and nested logit modelling
NASA Astrophysics Data System (ADS)
Verlinda, Jeremy Alan
The body of this dissertation comprises three standalone essays, presented in three respective chapters. Chapter One explores the possibility that local market power contributes to the asymmetric relationship observed between wholesale costs and retail prices in gasoline markets. I exploit an original data set of weekly gas station prices in Southern California from September 2002 to May 2003, and take advantage of highly detailed station and local market-level characteristics to determine the extent to which spatial differentiation influences price-response asymmetry. I find that brand identity, proximity to rival stations, bundling and advertising, operation type, and local market features and demographics each influence a station's predicted asymmetric relationship between prices and wholesale costs. Chapter Two extends the existing literature on the effect of market structure on price dispersion in airline fares by modeling the effect at the disaggregate ticket level. Whereas past studies rely on aggregate measures of price dispersion such as the Gini coefficient or the standard deviation of fares, this paper estimates the entire empirical distribution of airline fares and documents how the shape of the distribution is determined by market structure. Specifically, I find that monopoly markets favor a wider distribution of fares with more mass in the tails while duopoly and competitive markets exhibit a tighter fare distribution. These findings indicate that the dispersion of airline fares may result from the efforts of airlines to practice second-degree price discrimination. Chapter Three adopts a Bayesian approach to the problem of tree structure specification in nested logit modelling, which requires a heavy computational burden in calculating marginal likelihoods. I compare two different techniques for estimating marginal likelihoods: (1) the Laplace approximation, and (2) reversible jump MCMC. I apply the techniques to both a simulated and a travel mode
The modified Black-Scholes model via constant elasticity of variance for stock options valuation
NASA Astrophysics Data System (ADS)
Edeki, S. O.; Owoloko, E. A.; Ugbebor, O. O.
2016-02-01
In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock price is shown to be a non-constant function unlike the assumption of the classical Black-Scholes model.
Pricing Models Using Real Data
ERIC Educational Resources Information Center
Obremski, Tom
2008-01-01
A practical hands-on classroom exercise is described and illustrated using the price of an item as dependent variable throughout. The exercise is well-tested and affords the instructor a variety of approaches and levels.
Quantum model for the price dynamics
NASA Astrophysics Data System (ADS)
Choustova, Olga
2008-10-01
We apply methods of quantum mechanics to mathematical modelling of price dynamics in a financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Our model is a quantum-like model of the financial market, cf. with works of W. Segal, I.E. Segal, E. Haven. In this paper we study the problem of smoothness of price-trajectories in the Bohmian financial model. We show that even the smooth evolution of the financial pilot wave [psi](t,x) (representing expectations of traders) can induce jumps of prices of shares.
NASA Astrophysics Data System (ADS)
Ravi Kanth, A. S. V.; Aruna, K.
2016-12-01
In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples.
Code of Federal Regulations, 2010 CFR
2010-10-01
... and Service Contract Act-Price Adjustment (Multiple Year and Option Contracts). 52.222-43 Section 52... Standards Act and Service Contract Act—Price Adjustment (Multiple Year and Option Contracts). As prescribed...—Price Adjustment (Multiple Year and Option Contracts) (SEP 2009) (a) This clause applies to...
Code of Federal Regulations, 2011 CFR
2011-10-01
... and Service Contract Act-Price Adjustment (Multiple Year and Option Contracts). 52.222-43 Section 52... Standards Act and Service Contract Act—Price Adjustment (Multiple Year and Option Contracts). As prescribed...—Price Adjustment (Multiple Year and Option Contracts) (SEP 2009) (a) This clause applies to...
Federal Register 2010, 2011, 2012, 2013, 2014
2013-01-22
... From the Federal Register Online via the Government Publishing Office SECURITIES AND EXCHANGE COMMISSION Options Price Reporting Authority; Notice of Filing of Proposed Amendment to the Plan for Reporting of Consolidated Options Last Sale Reports and Quotation Information To Amend Section 3.5 of the OPRA Plan January 15, 2013. Pursuant to...
a Merton-Like Approach to Pricing Debt Based on a Non-Gaussian Asset Model
NASA Astrophysics Data System (ADS)
Borland, Lisa; Evnine, Jeremy; Pochart, Benoit
2005-09-01
We propose a generalization to Merton's model for evaluating credit spreads. In his original work, a company's assets were assumed to follow a log-normal process. We introduce fat tails and skew into this model, along the same lines as in the option pricing model of Borland and Bouchaud (2004, Quantitative Finance 4) and illustrate the effects of each component. Preliminary empirical results indicate that this model fits well to empirically observed credit spreads with a parameterization that also matched observed stock return distributions and option prices.
Convergence of the binomial tree method for Asian options in jump-diffusion models
NASA Astrophysics Data System (ADS)
Kim, Kwang Ik; Qian, Xiao-Song
2007-06-01
The binomial tree methods (BTM), first proposed by Cox, Ross and Rubinstein [J. Cox, S. Ross, M. Rubinstein, Option pricing: A simplified approach, J. Finan. Econ. 7 (1979) 229-264] in diffusion models and extended by Amin [K.I. Amin, Jump diffusion option valuation in discrete time, J. Finance 48 (1993) 1833-1863] to jump-diffusion models, is one of the most popular approaches to pricing options. In this paper, we present a binomial tree method for Asian options in jump-diffusion models and show its equivalence to certain explicit difference scheme. Employing numerical analysis and the notion of viscosity solution, we prove the uniform convergence of the binomial tree method for European-style and American-style Asian options.
Majority orienting model for the oscillation of market price
NASA Astrophysics Data System (ADS)
Takahashi, H.; Itoh, Y.
2004-01-01
The present paper introduces a majority orienting model in which the dealers' behavior changes based on the influence of the price to show the oscillation of stock price in the stock market. We show the oscillation of the price for the model by applying the vanderPol equation which is a deterministic approximation of our model.
Orphan Drug Pricing: An Original Exponential Model Relating Price to the Number of Patients
Messori, Andrea
2016-01-01
In managing drug prices at the national level, orphan drugs represent a special case because the price of these agents is higher than that determined according to value-based principles. A common practice is to set the orphan drug price in an inverse relationship with the number of patients, so that the price increases as the number of patients decreases. Determination of prices in this context generally has a purely empirical nature, but a theoretical basis would be needed. The present paper describes an original exponential model that manages the relationship between price and number of patients for orphan drugs. Three real examples are analysed in detail (eculizumab, bosentan, and a data set of 17 orphan drugs published in 2010). These analyses have been aimed at identifying some objective criteria to rationally inform this relationship between prices and patients and at converting these criteria into explicit quantitative rules.
Code of Federal Regulations, 2012 CFR
2012-10-01
... and Service Contract Act-Price Adjustment (Multiple Year and Option Contracts). 52.222-43 Section 52... FORMS SOLICITATION PROVISIONS AND CONTRACT CLAUSES Text of Provisions and Clauses 52.222-43 Fair Labor Standards Act and Service Contract Act—Price Adjustment (Multiple Year and Option Contracts). As...
Pricing the Services in Dynamic Environment: Agent Pricing Model
NASA Astrophysics Data System (ADS)
Žagar, Drago; Rupčić, Slavko; Rimac-Drlje, Snježana
New Internet applications and services as well as new user demands open many new issues concerning dynamic management of quality of service and price for received service, respectively. The main goals of Internet service providers are to maximize profit and maintain a negotiated quality of service. From the users' perspective the main goal is to maximize ratio of received QoS and costs of service. However, achieving these objectives could become very complex if we know that Internet service users might during the session become highly dynamic and proactive. This connotes changes in user profile or network provider/s profile caused by high level of user mobility or variable level of user demands. This paper proposes a new agent based pricing architecture for serving the highly dynamic customers in context of dynamic user/network environment. The proposed architecture comprises main aspects and basic parameters that will enable objective and transparent assessment of the costs for the service those Internet users receive while dynamically change QoS demands and cost profile.
NASA Astrophysics Data System (ADS)
Bouchaud, Jean-Philippe; Sornette, Didier
1994-06-01
The ability to price risks and devise optimal investment strategies in thé présence of an uncertain "random" market is thé cornerstone of modern finance theory. We first consider thé simplest such problem of a so-called "European call option" initially solved by Black and Scholes using Ito stochastic calculus for markets modelled by a log-Brownien stochastic process. A simple and powerful formalism is presented which allows us to generalize thé analysis to a large class of stochastic processes, such as ARCH, jump or Lévy processes. We also address thé case of correlated Gaussian processes, which is shown to be a good description of three différent market indices (MATIF, CAC40, FTSE100). Our main result is thé introduction of thé concept of an optimal strategy in the sense of (functional) minimization of the risk with respect to the portfolio. If the risk may be made to vanish for particular continuous uncorrelated 'quasiGaussian' stochastic processes (including Black and Scholes model), this is no longer the case for more general stochastic processes. The value of the residual risk is obtained and suggests the concept of risk-corrected option prices. In the presence of very large deviations such as in Lévy processes, new criteria for rational fixing of the option prices are discussed. We also apply our method to other types of options, `Asian', `American', and discuss new possibilities (`doubledecker'...). The inclusion of transaction costs leads to the appearance of a natural characteristic trading time scale. L'aptitude à quantifier le coût du risque et à définir une stratégie optimale de gestion de portefeuille dans un marché aléatoire constitue la base de la théorie moderne de la finance. Nous considérons d'abord le problème le plus simple de ce type, à savoir celui de l'option d'achat `européenne', qui a été résolu par Black et Scholes à l'aide du calcul stochastique d'Ito appliqué aux marchés modélisés par un processus Log
An explicit closed-form analytical solution for European options under the CGMY model
NASA Astrophysics Data System (ADS)
Chen, Wenting; Du, Meiyu; Xu, Xiang
2017-01-01
In this paper, we consider the analytical pricing of European path-independent options under the CGMY model, which is a particular type of pure jump Le´vy process, and agrees well with many observed properties of the real market data by allowing the diffusions and jumps to have both finite and infinite activity and variation. It is shown that, under this model, the option price is governed by a fractional partial differential equation (FPDE) with both the left-side and right-side spatial-fractional derivatives. In comparison to derivatives of integer order, fractional derivatives at a point not only involve properties of the function at that particular point, but also the information of the function in a certain subset of the entire domain of definition. This "globalness" of the fractional derivatives has added an additional degree of difficulty when either analytical methods or numerical solutions are attempted. Albeit difficult, we still have managed to derive an explicit closed-form analytical solution for European options under the CGMY model. Based on our solution, the asymptotic behaviors of the option price and the put-call parity under the CGMY model are further discussed. Practically, a reliable numerical evaluation technique for the current formula is proposed. With the numerical results, some analyses of impacts of four key parameters of the CGMY model on European option prices are also provided.
Food Prices and Climate Extremes: A Model of Global Grain Price Variability with Storage
NASA Astrophysics Data System (ADS)
Otto, C.; Schewe, J.; Frieler, K.
2015-12-01
Extreme climate events such as droughts, floods, or heat waves affect agricultural production in major cropping regions and therefore impact the world market prices of staple crops. In the last decade, crop prices exhibited two very prominent price peaks in 2007-2008 and 2010-2011, threatening food security especially for poorer countries that are net importers of grain. There is evidence that these spikes in grain prices were at least partly triggered by actual supply shortages and the expectation of bad harvests. However, the response of the market to supply shocks is nonlinear and depends on complex and interlinked processes such as warehousing, speculation, and trade policies. Quantifying the contributions of such different factors to short-term price variability remains difficult, not least because many existing models ignore the role of storage which becomes important on short timescales. This in turn impedes the assessment of future climate change impacts on food prices. Here, we present a simple model of annual world grain prices that integrates grain stocks into the supply and demand functions. This firstly allows us to model explicitly the effect of storage strategies on world market price, and thus, for the first time, to quantify the potential contribution of trade policies to price variability in a simple global framework. Driven only by reported production and by long--term demand trends of the past ca. 40 years, the model reproduces observed variations in both the global storage volume and price of wheat. We demonstrate how recent price peaks can be reproduced by accounting for documented changes in storage strategies and trade policies, contrasting and complementing previous explanations based on different mechanisms such as speculation. Secondly, we show how the integration of storage allows long-term projections of grain price variability under climate change, based on existing crop yield scenarios.
Spatial Data Web Services Pricing Model Infrastructure
NASA Astrophysics Data System (ADS)
Ozmus, L.; Erkek, B.; Colak, S.; Cankurt, I.; Bakıcı, S.
2013-08-01
most important law with related NSDI is the establishment of General Directorate of Geographic Information System under the Ministry of Environment and Urbanism. due to; to do or to have do works and activities with related to the establishment of National Geographic Information Systems (NGIS), usage of NGIS and improvements of NGIS. Outputs of these projects are served to not only public administration but also to Turkish society. Today for example, TAKBIS data (cadastre services) are shared more than 50 institutions by Web services, Tusaga-Aktif system has more than 3800 users who are having real-time GPS data correction, Orthophoto WMS services has been started for two years as a charge of free. Today there is great discussion about data pricing among the institutions. Some of them think that the pricing is storage of the data. Some of them think that the pricing is value of data itself. There is no certain rule about pricing. On this paper firstly, pricing of data storage and later on spatial data pricing models in different countries are investigated to improve institutional understanding in Turkey.
Barbose, Galen; Goldman, Charles; Bharvirkar, Ranjit; Hopper,Nicole; Ting, Michael; Neenan, Bernie
2005-08-01
Demand response (DR) has been broadly recognized to be an integral component of well-functioning electricity markets, although currently underdeveloped in most regions. Among the various initiatives undertaken to remedy this deficiency, public utility commissions (PUC) and utilities have considered implementing dynamic pricing tariffs, such as real-time pricing (RTP), and other retail pricing mechanisms that communicate an incentive for electricity consumers to reduce their usage during periods of high generation supply costs or system reliability contingencies. Efforts to introduce DR into retail electricity markets confront a range of basic policy issues. First, a fundamental issue in any market context is how to organize the process for developing and implementing DR mechanisms in a manner that facilitates productive participation by affected stakeholder groups. Second, in regions with retail choice, policymakers and stakeholders face the threshold question of whether it is appropriate for utilities to offer a range of dynamic pricing tariffs and DR programs, or just ''plain vanilla'' default service. Although positions on this issue may be based primarily on principle, two empirical questions may have some bearing--namely, what level of price response can be expected through the competitive retail market, and whether establishing RTP as the default service is likely to result in an appreciable level of DR? Third, if utilities are to have a direct role in developing DR, what types of retail pricing mechanisms are most appropriate and likely to have the desired policy impact (e.g., RTP, other dynamic pricing options, DR programs, or some combination)? Given a decision to develop utility RTP tariffs, three basic implementation issues require attention. First, should it be a default or optional tariff, and for which customer classes? Second, what types of tariff design is most appropriate, given prevailing policy objectives, wholesale market structure, ratemaking
Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model
NASA Astrophysics Data System (ADS)
Xiao, Weilin; Zhang, Xili
2016-09-01
Motivated by the empirical evidence of jumps in the dynamics of firm behavior, this paper considers the problem of pricing equity warrants in the presence of a promised lowest price when the price of the underlying asset follows the Merton's jump-diffusion process. Using the Martingale approach, we propose a valuation model of equity warrants based on the firm value, its volatility, and parameters of the jump component, which are not directly observable. To implement our pricing model empirically, this paper also provides a promising estimation method for obtaining these desired variables based on observable data, such as stock prices and the book value of total liability. We conduct an empirical study to ascertain the performance of our proposed model using the data of Changdian warrant collected from 25 May 2006 (the listing date) to 29 January 2007 (the expiration date). Furthermore, the comparison of traditional models (such as the Black-Scholes model, the Noreen-Wolfson model, the Lauterbach-Schultz model, and the Ukhov model) with our model is presented. From the empirical study, we can see that the mean absolute error of our pricing model is 16.75%. By contrast, the Black-Scholes model, the Noreen-Wolfson model, the Lauterbach-Schultz model, and the Ukhov model applied to the same warrant produce mean absolute errors of 92.24%, 45.38%, 87.34%, 76.12%, respectively. Thus both the dilution effect and the jump feature cannot be ignored in determining the valuation of equity warrants.
Federal Register 2010, 2011, 2012, 2013, 2014
2011-11-28
... of Consolidated Options Last Sale Reports and Quotation Information (``OPRA Plan'').\\3\\ The proposed... a national market system plan approved by the Commission pursuant to Section 11A of the Act and Rule... information on options that are traded on the participant exchanges. The nine participants to the OPRA...
Fuzzy pricing for urban water resources: model construction and application.
Zhao, Ranhang; Chen, Shouyu
2008-08-01
A rational water price system plays a crucial role in the optimal allocation of water resources. In this paper, a fuzzy pricing model for urban water resources is presented, which consists of a multi-criteria fuzzy evaluation model and a water resources price (WRP) computation model. Various factors affecting WRP are comprehensively evaluated with multiple levels and objectives in the multi-criteria fuzzy evaluation model, while the price vectors of water resources are constructed in the WRP computation model according to the definition of the bearing water price index, and then WRP is calculated. With the incorporation of an operator's knowledge, it considers iterative weights and subjective preference of operators for weight-assessment. The weights determined are more rational and the evaluation results are more realistic. Particularly, dual water supply is considered in the study. Different prices being fixed for water resources with different qualities conforms to the law of water resources value (WRV) itself. A high-quality groundwater price computation model is also proposed to provide optimal water allocation and to meet higher living standards. The developed model is applied in Jinan for evaluating its validity. The method presented in this paper offers some new directions in the research of WRP.
78 FR 10265 - Pricing for the 2013 Commemorative Coin Programs-Silver and Clad Coin Options
Federal Register 2010, 2011, 2012, 2013, 2014
2013-02-13
... announcing prices for the 2013 Girl Scouts of the USA Centennial Silver Dollar and the 2013 5-Star Generals... Centennial 50.95 55.95 Uncirculated Silver Dollar 2013 5-Star Generals Proof Silver Dollar 54.95 59.95 2013 5-Star Generals Uncirculated Silver 50.95 55.95 Dollar 2013 5-Star Generals Proof Half Dollar.. 17.95...
48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.
Code of Federal Regulations, 2010 CFR
2010-10-01
... ENVIRONMENTAL PROTECTION AGENCY CLAUSES AND FORMS SOLICITATION PROVISIONS AND CONTRACT CLAUSES Texts of... date End date (b) During the option period(s) the Contractor shall provide the services described below: Period Attachment (c) The “Consideration and Payment” clause will be amended to reflect increased...
48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.
Code of Federal Regulations, 2014 CFR
2014-10-01
... ENVIRONMENTAL PROTECTION AGENCY CLAUSES AND FORMS SOLICITATION PROVISIONS AND CONTRACT CLAUSES Texts of... date End date (b) During the option period(s) the Contractor shall provide the services described below: Period Attachment (c) The “Consideration and Payment” clause will be amended to reflect increased...
48 CFR 1552.217-77 - Option to extend the term of the contract fixed price.
Code of Federal Regulations, 2012 CFR
2012-10-01
... ENVIRONMENTAL PROTECTION AGENCY CLAUSES AND FORMS SOLICITATION PROVISIONS AND CONTRACT CLAUSES Texts of... date End date (b) During the option period(s) the Contractor shall provide the services described below: Period Attachment (c) The “Consideration and Payment” clause will be amended to reflect increased...
Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach
NASA Astrophysics Data System (ADS)
Choustova, O.
2007-08-01
We use quantum mechanical methods to model the price dynamics in the financial market mathematically. We propose describing behavioral financial factors using the pilot-wave (Bohmian) model of quantum mechanics. The real price trajectories are determined (via the financial analogue of the second Newton law) by two financial potentials: the classical-like potential V (q) (“hard” market conditions) and the quantumlike potential U(q) (behavioral market conditions).
Area-to-point Kriging in spatial hedonic pricing models
NASA Astrophysics Data System (ADS)
Yoo, E.-H.; Kyriakidis, P. C.
2009-12-01
This paper proposes a geostatistical hedonic price model in which the effects of location on house values are explicitly modeled. The proposed geostatistical approach, namely area-to-point Kriging with External Drift (A2PKED), can take into account spatial dependence and spatial heteroskedasticity, if they exist. Furthermore, this approach has significant implications in situations where exhaustive area-averaged housing price data are available in addition to a subset of individual housing price data. In the case study, we demonstrate that A2PKED substantially improves the quality of predictions using apartment sale transaction records that occurred in Seoul, South Korea, during 2003. The improvement is illustrated via a comparative analysis, where predicted values obtained from different models, including two traditional regression-based hedonic models and a point-support geostatistical model, are compared to those obtained from the A2PKED model.
Modelling world gold prices and USD foreign exchange relationship using multivariate GARCH model
NASA Astrophysics Data System (ADS)
Ping, Pung Yean; Ahmad, Maizah Hura Binti
2014-12-01
World gold price is a popular investment commodity. The series have often been modeled using univariate models. The objective of this paper is to show that there is a co-movement between gold price and USD foreign exchange rate. Using the effect of the USD foreign exchange rate on the gold price, a model that can be used to forecast future gold prices is developed. For this purpose, the current paper proposes a multivariate GARCH (Bivariate GARCH) model. Using daily prices of both series from 01.01.2000 to 05.05.2014, a causal relation between the two series understudied are found and a bivariate GARCH model is produced.
Short-Term Energy Outlook Model Documentation: Regional Residential Propane Price Model
2009-01-01
The regional residential propane price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 Census regions: Northeast, South, Midwest, and West.
Short-Term Energy Outlook Model Documentation: Regional Residential Heating Oil Price Model
2009-01-01
The regional residential heating oil price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 census regions: Northeast, South, Midwest, and West.
Model documentation: Electricity market module, electricity finance and pricing submodule
Not Available
1994-04-07
The purpose of this report is to define the objectives of the model, describe its basic approach, and provide detail on how it works. The EFP is a regulatory accounting model that projects electricity prices. The model first solves for revenue requirements by building up a rate base, calculating a return on rate base, and adding the allowed expenses. Average revenues (prices) are calculated based on assumptions regarding regulator lag and customer cost allocation methods. The model then solves for the internal cash flow and analyzes the need for external financing to meet necessary capital expenditures. Finally, the EFP builds up the financial statements. The EFP is used in conjunction with the National Energy Modeling System (NEMS). Inputs to the EFP include the forecast generating capacity expansion plans, operating costs, regulator environment, and financial data. The outputs include forecasts of income statements, balance sheets, revenue requirements, and electricity prices.
Assessing Stop-Loss Policy Options through Personnel Flow Modeling
2014-01-01
Policy Options Through Personnel Flow Modeling 5a. CONTRACT NUMBER 5b. GRANT NUMBER 5c. PROGRAM ELEMENT NUMBER 6. AUTHOR(S) 5d. PROJECT NUMBER 5e...Assessing Stop-Loss Policy Options Through Personnel Flow Modeling Stephen D. Brady NATIONAL DEFENSE RESEARCH INSTITUTE Assessing Stop-Loss Policy...Options Through Personnel Flow Modeling Stephen D. Brady Prepared for the Office of the Secretary of Defense Approved for public release
Particle-scale modelling of financial price dynamics
NASA Astrophysics Data System (ADS)
Liu, David
2017-02-01
This paper proposes a particle-based computational framework for modeling of financial price dynamics, which is an extension of the recent empirical work of Financial Brownian Particle (FBP), and discretizes and solves the Langevin equation that is the continuum representation of a financial market. The framework enables us to simulate the limit order book of the USD/JPY exchange rates. The research yields results that are in good agreement with the published empirical results. Our framework of modelling financial prices is of multidisciplinary nature, and can bridge the fields of empirical studies of financial order books, particle dynamics simulation, and modelling of financial market.
A dynamical model describing stock market price distributions
NASA Astrophysics Data System (ADS)
Masoliver, Jaume; Montero, Miquel; Porrà, Josep M.
2000-08-01
High-frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well established by empirical evidence. Specifically, probability distributions have the following properties: (i) They are not Gaussian and their center is well adjusted by Lévy distributions. (ii) They are long-tailed but have finite moments of any order. (iii) They are self-similar on many time scales. Finally, (iv) at small time scales, price volatility follows a non-diffusive behavior. We extend Merton's ideas on speculative price formation and present a dynamical model resulting in a characteristic function that explains in a natural way all of the above features. The knowledge of such a distribution opens a new and useful way of quantifying financial risk. The results of the model agree - with high degree of accuracy - with empirical data taken from historical records of the Standard & Poor's 500 cash index.
Modeling of price and profit in coupled-ring networks
NASA Astrophysics Data System (ADS)
Tangmongkollert, Kittiwat; Suwanna, Sujin
2016-06-01
We study the behaviors of magnetization, price, and profit profiles in ring networks in the presence of the external magnetic field. The Ising model is used to determine the state of each node, which is mapped to the buy-or-sell state in a financial market, where +1 is identified as the buying state, and -1 as the selling state. Price and profit mechanisms are modeled based on the assumption that price should increase if demand is larger than supply, and it should decrease otherwise. We find that the magnetization can be induced between two rings via coupling links, where the induced magnetization strength depends on the number of the coupling links. Consequently, the price behaves linearly with time, where its rate of change depends on the magnetization. The profit grows like a quadratic polynomial with coefficients dependent on the magnetization. If two rings have opposite direction of net spins, the price flows in the direction of the majority spins, and the network with the minority spins gets a loss in profit.
The GED Exit Option Model. Procedure Manual. Revised.
ERIC Educational Resources Information Center
Florida State Dept. of Education, Tallahassee. Bureau of Instructional Support and Community Services.
The purpose of this document is to assist Florida school districts in implementing the General Educational Development (GED) Exit Option Model for students at risk of not completing high school. Students must be at least 16 years of age and currently enrolled in high school to take the GED tests through the GED Exit Option Model. In addition, the…
Arctic Region Policy: Information Sharing Model Options
2010-09-01
complying. ( Ostrom , 2010) D. CONCLUSION The 2009 Arctic Region Policy highlights the need to develop capabilities to protect U.S. air, land and sea...polar icebreaker modernization: Background, issues, and options for Congress (RL34391). Washington, DC: Congressional Research Service. Ostrom , E
Reaction-diffusion-branching models of stock price fluctuations
NASA Astrophysics Data System (ADS)
Tang, Lei-Han; Tian, Guang-Shan
Several models of stock trading (Bak et al., Physica A 246 (1997) 430.) are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the short-time market price variation is subdiffusive with a Hurst exponent H=1/4. Biased diffusion towards the market price and blind-eyed copying lead to crossovers to the empirically observed random-walk behavior ( H=1/2) at long times. The calculated crossover forms and diffusion constants are shown to agree well with simulation data.
Application for Single Price Auction Model (SPA) in AC Network
NASA Astrophysics Data System (ADS)
Wachi, Tsunehisa; Fukutome, Suguru; Chen, Luonan; Makino, Yoshinori; Koshimizu, Gentarou
This paper aims to develop a single price auction model with AC transmission network, based on the principle of maximizing social surplus of electricity market. Specifically, we first formulate the auction market as a nonlinear optimization problem, which has almost the same form as the conventional optimal power flow problem, and then propose an algorithm to derive both market clearing price and trade volume of each player even for the case of market-splitting. As indicated in the paper, the proposed approach can be used not only for the price evaluation of auction or bidding market but also for analysis of bidding strategy, congestion effect and other constraints or factors. Several numerical examples are used to demonstrate effectiveness of our method.
A Model of Price Search Behavior in Electronic Marketplace.
ERIC Educational Resources Information Center
Jiang, Pingjun
2002-01-01
Discussion of online consumer behavior focuses on the development of a conceptual model and a set of propositions to explain the main factors influencing online price search. Integrates the psychological search literature into the context of online searching by incorporating ability and cost to search for information into perceived search…
Valuing water resources in Switzerland using a hedonic price model
NASA Astrophysics Data System (ADS)
van Dijk, Diana; Siber, Rosi; Brouwer, Roy; Logar, Ivana; Sanadgol, Dorsa
2016-05-01
In this paper, linear and spatial hedonic price models are applied to the housing market in Switzerland, covering all 26 cantons in the country over the period 2005-2010. Besides structural house, neighborhood and socioeconomic characteristics, we include a wide variety of new environmental characteristics related to water to examine their role in explaining variation in sales prices. These include water abundance, different types of water bodies, the recreational function of water, and water disamenity. Significant spatial autocorrelation is found in the estimated models, as well as nonlinear effects for distances to the nearest lake and large river. Significant effects are furthermore found for water abundance and the distance to large rivers, but not to small rivers. Although in both linear and spatial models water related variables explain less than 1% of the price variation, the distance to the nearest bathing site has a larger marginal contribution than many neighborhood-related distance variables. The housing market shows to differentiate between different water related resources in terms of relative contribution to house prices, which could help the housing development industry make more geographically targeted planning activities.
Shabri, Ani; Samsudin, Ruhaidah
2014-01-01
Crude oil prices do play significant role in the global economy and are a key input into option pricing formulas, portfolio allocation, and risk measurement. In this paper, a hybrid model integrating wavelet and multiple linear regressions (MLR) is proposed for crude oil price forecasting. In this model, Mallat wavelet transform is first selected to decompose an original time series into several subseries with different scale. Then, the principal component analysis (PCA) is used in processing subseries data in MLR for crude oil price forecasting. The particle swarm optimization (PSO) is used to adopt the optimal parameters of the MLR model. To assess the effectiveness of this model, daily crude oil market, West Texas Intermediate (WTI), has been used as the case study. Time series prediction capability performance of the WMLR model is compared with the MLR, ARIMA, and GARCH models using various statistics measures. The experimental results show that the proposed model outperforms the individual models in forecasting of the crude oil prices series. PMID:24895666
The asset pricing model of musharakah factors
NASA Astrophysics Data System (ADS)
Simon, Shahril; Omar, Mohd; Lazam, Norazliani Md
2015-02-01
The existing three-factor model developed by Fama and French for conventional investment was formulated based on risk-free rates element in which contradict with Shariah principles. We note that the underlying principles that govern Shariah investment were mutual risk and profit sharing between parties, the assurance of fairness for all and that transactions were based on an underlying asset. In addition, the three-factor model did not exclude stock that was not permissible by Shariah such as financial services based on riba (interest), gambling operator, manufacture or sale of non-halal products or related products and other activities deemed non-permissible according to Shariah. Our approach to construct the factor model for Shariah investment was based on the basic tenets of musharakah in tabulating the factors. We start by noting that Islamic stocks with similar characteristics should have similar returns and risks. This similarity between Islamic stocks was defined by the similarity of musharakah attributes such as business, management, profitability and capital. These attributes define factor exposures (or betas) to factors. The main takeaways were that musharakah attributes we chose had explain stock returns well in cross section and were significant in different market environments. The management factor seemed to be responsible for the general dynamics of the explanatory power.
Self-consistent asset pricing models
NASA Astrophysics Data System (ADS)
Malevergne, Y.; Sornette, D.
2007-08-01
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles, self-consistency implies correlations between the return disturbances. As a consequence, the alphas and betas of the factor model are unobservable. Self-consistency leads to renormalized betas with zero effective alphas, which are observable with standard OLS regressions. When the conditions derived from internal consistency are not met, the model is necessarily incomplete, which means that some sources of risk cannot be replicated (or hedged) by a portfolio of stocks traded on the market, even for infinite economies. Analytical derivations and numerical simulations show that, for arbitrary choices of the proxy which are different from the true market portfolio, a modified linear regression holds with a non-zero value αi at the origin between an asset i's return and the proxy's return. Self-consistency also introduces “orthogonality” and “normality” conditions linking the betas, alphas (as well as the residuals) and the weights of the proxy portfolio. Two diagnostics based on these orthogonality and normality conditions are implemented on a basket of 323 assets which have been components of the S&P500 in the period from January 1990 to February 2005. These two diagnostics show interesting departures from dynamical self-consistency starting about 2 years before the end of the Internet bubble. Assuming that the CAPM holds with the self-consistency condition, the OLS method automatically obeys the resulting orthogonality and normality conditions and therefore provides a simple way to self-consistently assess the parameters of the model by using proxy portfolios made only of the assets which are used in the CAPM regressions. Finally, the factor decomposition with the
Meier, Petra S.; Holmes, John; Angus, Colin; Ally, Abdallah K.; Meng, Yang; Brennan, Alan
2016-01-01
Introduction While evidence that alcohol pricing policies reduce alcohol-related health harm is robust, and alcohol taxation increases are a WHO “best buy” intervention, there is a lack of research comparing the scale and distribution across society of health impacts arising from alternative tax and price policy options. The aim of this study is to test whether four common alcohol taxation and pricing strategies differ in their impact on health inequalities. Methods and Findings An econometric epidemiological model was built with England 2014/2015 as the setting. Four pricing strategies implemented on top of the current tax were equalised to give the same 4.3% population-wide reduction in total alcohol-related mortality: current tax increase, a 13.4% all-product duty increase under the current UK system; a value-based tax, a 4.0% ad valorem tax based on product price; a strength-based tax, a volumetric tax of £0.22 per UK alcohol unit (= 8 g of ethanol); and minimum unit pricing, a minimum price threshold of £0.50 per unit, below which alcohol cannot be sold. Model inputs were calculated by combining data from representative household surveys on alcohol purchasing and consumption, administrative and healthcare data on 43 alcohol-attributable diseases, and published price elasticities and relative risk functions. Outcomes were annual per capita consumption, consumer spending, and alcohol-related deaths. Uncertainty was assessed via partial probabilistic sensitivity analysis (PSA) and scenario analysis. The pricing strategies differ as to how effects are distributed across the population, and, from a public health perspective, heavy drinkers in routine/manual occupations are a key group as they are at greatest risk of health harm from their drinking. Strength-based taxation and minimum unit pricing would have greater effects on mortality among drinkers in routine/manual occupations (particularly for heavy drinkers, where the estimated policy effects on
Modeling of materials supply, demand and prices
NASA Technical Reports Server (NTRS)
1982-01-01
The societal, economic, and policy tradeoffs associated with materials processing and utilization, are discussed. The materials system provides the materials engineer with the system analysis required for formulate sound materials processing, utilization, and resource development policies and strategies. Materials system simulation and modeling research program including assessments of materials substitution dynamics, public policy implications, and materials process economics was expanded. This effort includes several collaborative programs with materials engineers, economists, and policy analysts. The technical and socioeconomic issues of materials recycling, input-output analysis, and technological change and productivity are examined. The major thrust areas in materials systems research are outlined.
NASA Astrophysics Data System (ADS)
Chou, Heng-Chih; Wang, David
2007-11-01
We investigate the performance of a default risk model based on the barrier option framework with maximum likelihood estimation. We provide empirical validation of the model by showing that implied default barriers are statistically significant for a sample of construction firms in Taiwan over the period 1994-2004. We find that our model dominates the commonly adopted models, Merton model, Z-score model and ZETA model. Moreover, we test the n-year-ahead prediction performance of the model and find evidence that the prediction accuracy of the model improves as the forecast horizon decreases. Finally, we assess the effect of estimated default risk on equity returns and find that default risk is able to explain equity returns and that default risk is a variable worth considering in asset-pricing tests, above and beyond size and book-to-market.
A stochastic delay model for pricing debt and equity: Numerical techniques and applications
NASA Astrophysics Data System (ADS)
Tambue, Antoine; Kemajou Brown, Elisabeth; Mohammed, Salah
2015-01-01
Delayed nonlinear models for pricing corporate liabilities and European options were recently developed. Using self-financed strategy and duplication we were able to derive a Random Partial Differential Equation (RPDE) whose solutions describe the evolution of debt and equity values of a corporate in the last delay period interval in the accompanied paper (Kemajou et al., 2012) [14]. In this paper, we provide robust numerical techniques to solve the delayed nonlinear model for the corporate value, along with the corresponding RPDEs modeling the debt and equity values of the corporate. Using financial data from some firms, we forecast and compare numerical solutions from both the nonlinear delayed model and classical Merton model with the real corporate data. From this comparison, it comes up that in corporate finance the past dependence of the firm value process may be an important feature and therefore should not be ignored.
Symmetry analysis of a model for the exercise of a barrier option
NASA Astrophysics Data System (ADS)
O'Hara, J. G.; Sophocleous, C.; Leach, P. G. L.
2013-09-01
A barrier option takes into account the possibility of an unacceptable change in the price of the underlying stock. Such a change could carry considerable financial loss. We examine one model based upon the Black-Scholes-Merton Equation and determine the functional forms of the barrier function and rebate function which are consistent with a solution of the underlying evolution partial differential equation using the Lie Theory of Extended Groups. The solution is consistent with the possibility of no rebate and the barrier function is very similar to one adopted on an heuristic basis.
Slice sampling technique in Bayesian extreme of gold price modelling
NASA Astrophysics Data System (ADS)
Rostami, Mohammad; Adam, Mohd Bakri; Ibrahim, Noor Akma; Yahya, Mohamed Hisham
2013-09-01
In this paper, a simulation study of Bayesian extreme values by using Markov Chain Monte Carlo via slice sampling algorithm is implemented. We compared the accuracy of slice sampling with other methods for a Gumbel model. This study revealed that slice sampling algorithm offers more accurate and closer estimates with less RMSE than other methods . Finally we successfully employed this procedure to estimate the parameters of Malaysia extreme gold price from 2000 to 2011.
Adaptation of warrant price with Black Scholes model and historical volatility
NASA Astrophysics Data System (ADS)
Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan
2015-05-01
This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.
Jump diffusion models and the evolution of financial prices
NASA Astrophysics Data System (ADS)
Figueiredo, Annibal; de Castro, Marcio T.; da Silva, Sergio; Gleria, Iram
2011-08-01
We analyze a stochastic model to describe the evolution of financial prices. We consider the stochastic term as a sum of the Wiener noise and a jump process. We point to the effects of the jumps on the return time evolution, a central concern of the econophysics literature. The presence of jumps suggests that the process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. We then extend the De Finetti functions to a generalized nonlinear model and show the model to be capable of explaining return behavior.
Multiple Choice Neurodynamical Model of the Uncertain Option Task.
Insabato, Andrea; Pannunzi, Mario; Deco, Gustavo
2017-01-01
The uncertain option task has been recently adopted to investigate the neural systems underlying the decision confidence. Latterly single neurons activity has been recorded in lateral intraparietal cortex of monkeys performing an uncertain option task, where the subject is allowed to opt for a small but sure reward instead of making a risky perceptual decision. We propose a multiple choice model implemented in a discrete attractors network. This model is able to reproduce both behavioral and neurophysiological experimental data and therefore provides support to the numerous perspectives that interpret the uncertain option task as a sensory-motor association. The model explains the behavioral and neural data recorded in monkeys as the result of the multistable attractor landscape and produces several testable predictions. One of these predictions may help distinguish our model from a recently proposed continuous attractor model.
Multiple Choice Neurodynamical Model of the Uncertain Option Task
Insabato, Andrea; Pannunzi, Mario; Deco, Gustavo
2017-01-01
The uncertain option task has been recently adopted to investigate the neural systems underlying the decision confidence. Latterly single neurons activity has been recorded in lateral intraparietal cortex of monkeys performing an uncertain option task, where the subject is allowed to opt for a small but sure reward instead of making a risky perceptual decision. We propose a multiple choice model implemented in a discrete attractors network. This model is able to reproduce both behavioral and neurophysiological experimental data and therefore provides support to the numerous perspectives that interpret the uncertain option task as a sensory-motor association. The model explains the behavioral and neural data recorded in monkeys as the result of the multistable attractor landscape and produces several testable predictions. One of these predictions may help distinguish our model from a recently proposed continuous attractor model. PMID:28076355
Short-Term Energy Outlook Model Documentation: Petroleum Product Prices Module
2015-01-01
The petroleum products price module of the Short-Term Energy Outlook (STEO) model is designed to provide U.S. average wholesale and retail price forecasts for motor gasoline, diesel fuel, heating oil, and jet fuel.
A semi-Markov model with memory for price changes
NASA Astrophysics Data System (ADS)
D'Amico, Guglielmo; Petroni, Filippo
2011-12-01
We study the high-frequency price dynamics of traded stocks by means of a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov model which depends also on a memory index. The index is introduced to take into account periods of high and low volatility in the market. First of all we derive the equations governing the process and then theoretical results are compared with empirical findings from real data. In particular we analyzed high-frequency data from the Italian stock market from 1 January 2007 until the end of December 2010.
Model Offices: Flexible Options, Local Innovations.
ERIC Educational Resources Information Center
Perspective: Essays and Reviews of Issues in Employment Security and Employment and Training Programs, 1990
1990-01-01
This volume of an annual journal contains 17 articles that focus on model local offices of the employment security (ES) and training systems. The articles are arranged in three parts. Part I, on developing new initiatives, contains the following five articles: "A Public Employment Service for the 1990s" (Elizabeth Dole); "The…
Short-Term Energy Outlook Model Documentation: Natural Gas Consumption and Prices
2015-01-01
The natural gas consumption and price modules of the Short-Term Energy Outlook (STEO) model are designed to provide consumption and end-use retail price forecasts for the residential, commercial, and industrial sectors in the nine Census districts and natural gas working inventories in three regions. Natural gas consumption shares and prices in each Census district are used to calculate an average U.S. retail price for each end-use sector.
A quadranomial real options model for evaluation of emissions trading and technology
NASA Astrophysics Data System (ADS)
Sarkis, Joseph; Tamarkin, Maurry
2005-11-01
Green house gas (GHG) emissions have been tied to global climate change. One popular policy instrument that seems to have gained credibility with explicit mention of its application in the Kyoto Protocol is the use of permit trading and cap-and-trade mechanisms. Organizations functioning within this environment will need to manage their resources appropriately to remain competitive. Organizations will either have the opportunity to purchase emissions credits (offsets) from a market trading scheme or seek to reduce their emissions through different measures. Some measures may include investment in new technologies that will reduce their reliance on GHG emitting practices. In many countries, large organizations and institutions generate their own power to operate their facilities. Much of this power is generated (or bought) from GHG producing technology. Specific renewable energy sources such as wind and solar photovoltaic technology may become more feasible alternatives available to a large percentage of these organizations if they are able to take advantage and incorporate the market for GHG emissions trading in their analyses. To help organizations evaluate investment in these renewable energy technologies we introduce a real options based model that will take into consideration uncertainties associated with the technology and those associated with the GHG trading market. The real options analysis will consider both the stochastic (uncertainty) nature of the exercise price of the technology and the stochastic nature of the market trading price of the GHG emissions.
The OPTIONS model of sexual risk assessment for adolescents.
Lusczakoski, Kathryn D; Rue, Lisa A
2012-03-01
Typically, clinical evaluations of adolescents' sexual risk is based on inquiring about past sexual activity, which is limited by not including an adolescent's cognitive decision making regarding their past sexual decisions. This study describes the novel OPTIONS framework for assessing adolescent sexual risk including three general categories of risk (e.g., primary, secondary, and tertiary risk), which is designed to overcome the limitation of action-based assessment of risk and improve practitioners' ability to assess the levels of sexual risk. A convenience sample of 201 older adolescents (18-19 years of age) completed an online version of the Relationship Options Survey (ROS), designed to measure the OPTIONS sexual risk assessment. Bivariate correlation among the subscales functioned in the hypothesized manner, with all correlations being statistically significant. Using the OPTIONS model, 22.4% participants were classified as high risk primary, 7.0% participants were classified as high risk secondary, and 27.4% participants were classified as high risk tertiary. The study provided preliminary evidence for OPTIONS model of sexual assessment, which provides a more tailored evaluation by including cognitive decisions regarding an adolescent's sexual actions.
Modeling of Solid Waste Processing Options in BIO-Plex
NASA Technical Reports Server (NTRS)
Rodriguez, Luis F.; Finn, Cory; Kang, Sukwon; Hogan, John; Luna, Bernadette (Technical Monitor)
2000-01-01
BIO-Plex is a ground-based test bed currently under development by NASA for testing technologies and practices that may be utilized in future long-term life support missions. All aspects of such an Advanced Life Support (ALS) System must be considered to confidently construct a reliable system, which will not only allow the crew to survive in harsh environments, but allow the crew time to perform meaningful research. Effective handling of solid wastes is a critical aspect of the system, especially when recovery of resources contained in the waste is required. This is particularly important for ALS Systems configurations that include a Biomass Production Chamber. In these cases, significant amounts of inedible biomass waste may be produced, which can ultimately serve as a repository of necessary resources for sustaining life, notably carbon, water, and plant nutrients. Numerous biological and physicochemical solid waste processing options have been considered. Biological options include composting, aerobic digestion, and anaerobic digestion. Physicochemical options include pyrolysis, SCWO (supercritical water oxidation), various incineration configurations, microwave incineration, magnetically assisted gasification, and low temperature plasma reaction. Modeling of these options is a necessary step to assist in the design process. A previously developed top-level model of BIO-Plex implemented in MATLAB Simulink (r) for the use of systems analysis and design has been adopted for this analysis. Presently, this model only considered incineration for solid waste processing. Present work, reported here, includes the expansion of this model to include a wider array of solid waste processing options selected from the above options, bearing in mind potential, near term solid waste treatment systems. Furthermore, a trade study has also been performed among these solid waste processing technologies in an effort to determine the ideal technology for long-term life support
Modeling Long-term Behavior of Stock Market Prices Using Differential Equations
NASA Astrophysics Data System (ADS)
Yang, Xiaoxiang; Zhao, Conan; Mazilu, Irina
2015-03-01
Due to incomplete information available in the market and uncertainties associated with the price determination process, the stock prices fluctuate randomly during a short period of time. In the long run, however, certain economic factors, such as the interest rate, the inflation rate, and the company's revenue growth rate, will cause a gradual shift in the stock price. Thus, in this paper, a differential equation model has been constructed in order to study the effects of these factors on the stock prices. The model obtained accurately describes the general trends in the AAPL and XOM stock price changes over the last ten years.
Theory of Financial Risk and Derivative Pricing
NASA Astrophysics Data System (ADS)
Bouchaud, Jean-Philippe; Potters, Marc
2009-01-01
Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.
Developing a new stochastic competitive model regarding inventory and price
NASA Astrophysics Data System (ADS)
Rashid, Reza; Bozorgi-Amiri, Ali; Seyedhoseini, S. M.
2015-01-01
Within the competition in today's business environment, the design of supply chains becomes more complex than before. This paper deals with the retailer's location problem when customers choose their vendors, and inventory costs have been considered for retailers. In a competitive location problem, price and location of facilities affect demands of customers; consequently, simultaneous optimization of the location and inventory system is needed. To prepare a realistic model, demand and lead time have been assumed as stochastic parameters, and queuing theory has been used to develop a comprehensive mathematical model. Due to complexity of the problem, a branch and bound algorithm has been developed, and its performance has been validated in several numerical examples, which indicated effectiveness of the algorithm. Also, a real case has been prepared to demonstrate performance of the model for real world.
Quantifying risks with exact analytical solutions of derivative pricing distribution
NASA Astrophysics Data System (ADS)
Zhang, Kun; Liu, Jing; Wang, Erkang; Wang, Jin
2017-04-01
Derivative (i.e. option) pricing is essential for modern financial instrumentations. Despite of the previous efforts, the exact analytical forms of the derivative pricing distributions are still challenging to obtain. In this study, we established a quantitative framework using path integrals to obtain the exact analytical solutions of the statistical distribution for bond and bond option pricing for the Vasicek model. We discuss the importance of statistical fluctuations away from the expected option pricing characterized by the distribution tail and their associations to value at risk (VaR). The framework established here is general and can be applied to other financial derivatives for quantifying the underlying statistical distributions.
Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
NASA Astrophysics Data System (ADS)
Mayo, Anita
2008-12-01
The pricing equations for options on assets that follow jump-diffusion processes contain integrals in addition to the usual differential terms. These integrals usually make such equations expensive to solve numerically. Although Fast Fourier Transform methods can be used to to evaluate the integrals at all mesh points simultaneously, they are costly since the computational region must be extended in order to avoid problems with wrap around. Other numerical difficulties arise when the density function for the jump size is not smooth, as in the Kou double exponential model. We present new solution methods which are based on the fact that even when the problems contain time-dependent parameters the integrals often satisfy easily solved ordinary or parabolic partial differential equations. In particular, we show that by using the operator splitting method proposed by Andersen and Andreasen it is possible to reduce the solution of the pricing equation in the Kou and similar models to a sequence of ordinary differential equations at each time step. We discuss the methods and present results of numerical experiments.
Modelling of capital asset pricing by considering the lagged effects
NASA Astrophysics Data System (ADS)
Sukono; Hidayat, Y.; Bon, A. Talib bin; Supian, S.
2017-01-01
In this paper the problem of modelling the Capital Asset Pricing Model (CAPM) with the effect of the lagged is discussed. It is assumed that asset returns are analysed influenced by the market return and the return of risk-free assets. To analyse the relationship between asset returns, the market return, and the return of risk-free assets, it is conducted by using a regression equation of CAPM, and regression equation of lagged distributed CAPM. Associated with the regression equation lagged CAPM distributed, this paper also developed a regression equation of Koyck transformation CAPM. Results of development show that the regression equation of Koyck transformation CAPM has advantages, namely simple as it only requires three parameters, compared with regression equation of lagged distributed CAPM.
What is a new drug worth? An innovative model for performance-based pricing.
Dranitsaris, G; Dorward, K; Owens, R C; Schipper, H
2015-05-01
This article focuses on a novel method to derive prices for new pharmaceuticals by making price a function of drug performance. We briefly review current models for determining price for a new product and discuss alternatives that have historically been favoured by various funding bodies. The progressive approach to drug pricing, proposed herein, may better address the views and concerns of multiple stakeholders in a developed healthcare system by acknowledging and incorporating input from disparate parties via comprehensive and successive negotiation stages. In proposing a valid construct for performance-based pricing, the following model seeks to achieve several crucial objectives: earlier and wider access to new treatments; improved transparency in drug pricing; multi-stakeholder involvement through phased pricing negotiations; recognition of innovative product performance and latent changes in value; an earlier and more predictable return for developers without sacrificing total return on investment (ROI); more involved and informed risk sharing by the end-user.
A discontinuous Galerkin method for two-dimensional PDE models of Asian options
NASA Astrophysics Data System (ADS)
Hozman, J.; Tichý, T.; Cvejnová, D.
2016-06-01
In our previous research we have focused on the problem of plain vanilla option valuation using discontinuous Galerkin method for numerical PDE solution. Here we extend a simple one-dimensional problem into two-dimensional one and design a scheme for valuation of Asian options, i.e. options with payoff depending on the average of prices collected over prespecified horizon. The algorithm is based on the approach combining the advantages of the finite element methods together with the piecewise polynomial generally discontinuous approximations. Finally, an illustrative example using DAX option market data is provided.
Kinetic market models with single commodity having price fluctuations
NASA Astrophysics Data System (ADS)
Chatterjee, A.; Chakrabarti, B. K.
2006-12-01
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of trading or exchange of money and commodity proceeds, with local (in time) fluctuations in the price of the commodity. These distributions are studied in markets with agents having uniform and random saving factors. The self-organizing features in money distribution are similar to the cases without any commodity (or with consumable commodities), while the commodity distribution shows an exponential decay. The wealth distribution shows interesting behavior: gamma like distribution for uniform saving propensity and has the same power-law tail, as that of the money distribution, for a market with agents having random saving propensity.
Oil price shocks in a portfolio-balance model
Caprio, J.; Clark, P.B.
1983-06-01
In the 1970's, oil price increases were often associated with downward pressure on the foreign exchange value of the dollar. In order to identify the factors generating this association, we examine an oil price shock in a portfolio-balance framework where a wealth transfer is generated by altered current account positions. We show that the exchange-rate impact of higher oil prices depends importantly on the asset preferences of both oil importers and oil exporters, as well as exchange rate expectations, which are influenced by countries' abilities to adjust to higher oil prices. 15 references.
The asymmetric effect of coal price on the China's macro economy using NARDL model
NASA Astrophysics Data System (ADS)
Hou, J. C.; Yang, M. C.
2016-08-01
The present work endeavors to explore the asymmetric effect of coal price on the China's macro economy by applying nonlinear autoregressive distributed lag (NARDL) model for the period of January 2005 to June 2015. The obtained results indicate that the coal price has a strong asymmetric effect on China's macro economy in the long-run. Namely one percent increase in coal price leads to 0.6194 percent of the China's macro economy increase; and while the coal price is reduces by 1 percent, the China's macro economy will decrease by 0.008 percent. These data indicate that when coal price rises, the effect on China's macro economy is far greater than the price decline. In the short-run, coal price fluctuation has a positive effect on the China's macro economy.
Quantum spatial-periodic harmonic model for daily price-limited stock markets
NASA Astrophysics Data System (ADS)
Meng, Xiangyi; Zhang, Jian-Wei; Xu, Jingjing; Guo, Hong
2015-11-01
We investigate the behaviors of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is considered to be oscillating and damping in a quantum spatial-periodic harmonic oscillator potential well. A complicated non-linear relation including inter-band positive correlation and intra-band negative correlation between the volatility and trading volume of a stock is numerically derived with the energy band structure of the model concerned. The effectiveness of price limit is re-examined, with some observed characteristics of price-limited stock markets in China studied by applying our quantum model.
Path Integrals and Exotic Options:. Methods and Numerical Results
NASA Astrophysics Data System (ADS)
Bormetti, G.; Montagna, G.; Moreni, N.; Nicrosini, O.
2005-09-01
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price path dependent options on multidimensional and correlated underlying assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we detail the case of Asian call options. The numerical results are compared with those obtained with other procedures used in quantitative finance and found to be in good agreement. In particular, when pricing at the money (ATM) and out of the money (OTM) options, path integral exhibits competitive performances.
A scalable delivery framework and a pricing model for streaming media with advertisements
NASA Astrophysics Data System (ADS)
Al-Hadrusi, Musab; Sarhan, Nabil J.
2008-01-01
This paper presents a delivery framework for streaming media with advertisements and an associated pricing model. The delivery model combines the benefits of periodic broadcasting and stream merging. The advertisements' revenues are used to subsidize the price of the media content. The pricing is determined based on the total ads' viewing time. Moreover, this paper presents an efficient ad allocation scheme and three modified scheduling policies that are well suited to the proposed delivery framework. Furthermore, we study the effectiveness of the delivery framework and various scheduling polices through extensive simulation in terms of numerous metrics, including customer defection probability, average number of ads viewed per client, price, arrival rate, profit, and revenue.
Hidden Markov Model and Forward-Backward Algorithm in Crude Oil Price Forecasting
NASA Astrophysics Data System (ADS)
Talib Bon, Abdul; Isah, Nuhu
2016-11-01
In light of the importance of crude oil to the world's economy, it is not surprising that economists have devoted great efforts towards developing methods to forecast price and volatility levels. Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile such as economic, political and social. Hence, forecasting the crude oil prices is essential to avoid unforeseen circumstances towards economic activity. In this study, daily crude oil prices data was obtained from WTI dated 2nd January to 29th May 2015. We used Hidden Markov Model (HMM) and Forward-Backward Algorithm to forecasting the crude oil prices. In this study, the analyses were done using Maple software. Based on the study, we concluded that model (0 3 0) is able to produce accurate forecast based on a description of history patterns in crude oil prices.
[Study on early-warning of Chinese materia medica price base on ARMA model].
Chang, Feng; Mao, Yang-Dui
2014-05-01
This study sets up an early-warning system framework of Chinese materia medica price, using price index as early warning indicator to establish black early-warning model, with indicator of price index volatility and limit line of "price principal". The research divides warning degree into 5 parts named negative heavy warning, negative light warning, no warning, positive light warning and positive heavy warning, with 5 corresponding lights to describe the change level of the medicine price. Then make an early-warning empirical research based on Chengdu Chinese materia medica price index from December in 2010 to October in 2013. ARMA model is applied to forecast index and the result of early-warning is analyzed, and finally farmer households, companies, customers and the government are recommended respectively.
A Bayesian Multi-Level Factor Analytic Model of Consumer Price Sensitivities across Categories
ERIC Educational Resources Information Center
Duvvuri, Sri Devi; Gruca, Thomas S.
2010-01-01
Identifying price sensitive consumers is an important problem in marketing. We develop a Bayesian multi-level factor analytic model of the covariation among household-level price sensitivities across product categories that are substitutes. Based on a multivariate probit model of category incidence, this framework also allows the researcher to…
Comparison of two water pricing policies in hydro-economic modeling study
NASA Astrophysics Data System (ADS)
Riegels, N.; Pulido Velazquez, M.; Doulgeris, C.; Sturm, V.; Jensen, R.; Møller, F.; Bauer-Gottwein, P.
2012-04-01
A study is presented comparing two different water pricing policies that are applied to wholesale water users throughout a river basin. The purpose of the study is to test policies that meet some of the water pricing objectives of the European Union Water Framework Directive (WFD). In the first policy, a single volumetric water price is applied to all wholesale water users throughout a case study river basin located in northern Greece. The same price is applied consistently to all surface water and groundwater users regardless of water use type and does not vary in space or time. In the second policy surface water is priced at a uniform volumetric price, while groundwater is priced using the price of energy as a surrogate for a volumetric water price. The policies are compared using a hydro-economic modeling approach in which wholesale water users are assumed to respond to water price changes according to microeconomic theory. A hydrological model of the case study river basin is used to estimate the impact of water use changes on river flow patterns, which are then used to assess the ecological status of the basin. WFD ecological status requirements are imposed as a constraint in the model, and an optimization approach is used to identify prices that meet the WFD requirements while minimizing opportunity costs (in terms of total welfare losses). Model results suggest that there is little difference between the two approaches in terms of the total opportunity costs of meeting the ecological status requirements of the WFD. However, the distribution of opportunity costs is different, with the second approach reducing the economic impact on producers of low value crops and small urban/domestic users. Because growers of low value crops will suffer the most from water price increases, the second policy offers the advantage of reducing this burden. In addition, because of difficulties associated with monitoring groundwater use, the second policy may be easier to
Maximum entropy distribution of stock price fluctuations
NASA Astrophysics Data System (ADS)
Bartiromo, Rosario
2013-04-01
In this paper we propose to use the principle of absence of arbitrage opportunities in its entropic interpretation to obtain the distribution of stock price fluctuations by maximizing its information entropy. We show that this approach leads to a physical description of the underlying dynamics as a random walk characterized by a stochastic diffusion coefficient and constrained to a given value of the expected volatility, in this way taking into account the information provided by the existence of an option market. The model is validated by a comprehensive comparison with observed distributions of both price return and diffusion coefficient. Expected volatility is the only parameter in the model and can be obtained by analysing option prices. We give an analytic formulation of the probability density function for price returns which can be used to extract expected volatility from stock option data.
A GIS-based hedonic price model for agricultural land
NASA Astrophysics Data System (ADS)
Demetriou, Demetris
2015-06-01
Land consolidation is a very effective land management planning approach that aims towards rural/agricultural sustainable development. Land reallocation which involves land tenure restructuring is the most important, complex and time consuming component of land consolidation. Land reallocation relies on land valuation since its fundamental principle provides that after consolidation, each landowner shall be granted a property of an aggregate value that is approximately the same as the value of the property owned prior to consolidation. Therefore, land value is the crucial factor for the land reallocation process and hence for the success and acceptance of the final land consolidation plan. Land valuation is a process of assigning values to all parcels (and its contents) and it is usually carried out by an ad-hoc committee. However, the process faces some problems such as it is time consuming hence costly, outcomes may present inconsistency since it is carried out manually and empirically without employing systematic analytical tools and in particular spatial analysis tools and techniques such as statistical/mathematical. A solution to these problems can be the employment of mass appraisal land valuation methods using automated valuation models (AVM) based on international standards. In this context, this paper presents a spatial based linear hedonic price model which has been developed and tested in a case study land consolidation area in Cyprus. Results showed that the AVM is capable to produce acceptable in terms of accuracy and reliability land values and to reduce time hence cost required by around 80%.
Equilibrium pricing in an order book environment: Case study for a spin model
NASA Astrophysics Data System (ADS)
Meudt, Frederik; Schmitt, Thilo A.; Schäfer, Rudi; Guhr, Thomas
2016-07-01
When modeling stock market dynamics, the price formation is often based on an equilibrium mechanism. In real stock exchanges, however, the price formation is governed by the order book. It is thus interesting to check if the resulting stylized facts of a model with equilibrium pricing change, remain the same or, more generally, are compatible with the order book environment. We tackle this issue in the framework of a case study by embedding the Bornholdt-Kaizoji-Fujiwara spin model into the order book dynamics. To this end, we use a recently developed agent based model that realistically incorporates the order book. We find realistic stylized facts. We conclude for the studied case that equilibrium pricing is not needed and that the corresponding assumption of a "fundamental" price may be abandoned.
Adaptive hidden Markov model with anomaly States for price manipulation detection.
Cao, Yi; Li, Yuhua; Coleman, Sonya; Belatreche, Ammar; McGinnity, Thomas Martin
2015-02-01
Price manipulation refers to the activities of those traders who use carefully designed trading behaviors to manually push up or down the underlying equity prices for making profits. With increasing volumes and frequency of trading, price manipulation can be extremely damaging to the proper functioning and integrity of capital markets. The existing literature focuses on either empirical studies of market abuse cases or analysis of particular manipulation types based on certain assumptions. Effective approaches for analyzing and detecting price manipulation in real time are yet to be developed. This paper proposes a novel approach, called adaptive hidden Markov model with anomaly states (AHMMAS) for modeling and detecting price manipulation activities. Together with wavelet transformations and gradients as the feature extraction methods, the AHMMAS model caters to price manipulation detection and basic manipulation type recognition. The evaluation experiments conducted on seven stock tick data from NASDAQ and the London Stock Exchange and 10 simulated stock prices by stochastic differential equation show that the proposed AHMMAS model can effectively detect price manipulation patterns and outperforms the selected benchmark models.
Introducing a price variation limiter mechanism into a behavioral financial market model
NASA Astrophysics Data System (ADS)
Naimzada, Ahmad; Pireddu, Marina
2015-08-01
In the present paper, we consider a nonlinear financial market model in which, in order to decrease the complexity of the dynamics and to achieve price stabilization, we introduce a price variation limiter mechanism, which in each period bounds the price variation so that the current price is forced to belong to a certain interval determined by the price realization in the previous period. More precisely, we introduce such mechanism into a financial market model in which the price dynamics are described by a sigmoidal price adjustment mechanism characterized by the presence of two asymptotes that bound the price variation and thus the dynamics. We show that the presence of our asymptotes prevents divergence and negativity issues. Moreover, we prove that the basins of attraction are complicated only under suitable conditions on the parameters and that chaos arises just when the price limiters are loose enough. On the other hand, for some suitable parameter configurations, we detect multistability phenomena characterized by the presence of up to three coexisting attractors.
Introducing a price variation limiter mechanism into a behavioral financial market model.
Naimzada, Ahmad; Pireddu, Marina
2015-08-01
In the present paper, we consider a nonlinear financial market model in which, in order to decrease the complexity of the dynamics and to achieve price stabilization, we introduce a price variation limiter mechanism, which in each period bounds the price variation so that the current price is forced to belong to a certain interval determined by the price realization in the previous period. More precisely, we introduce such mechanism into a financial market model in which the price dynamics are described by a sigmoidal price adjustment mechanism characterized by the presence of two asymptotes that bound the price variation and thus the dynamics. We show that the presence of our asymptotes prevents divergence and negativity issues. Moreover, we prove that the basins of attraction are complicated only under suitable conditions on the parameters and that chaos arises just when the price limiters are loose enough. On the other hand, for some suitable parameter configurations, we detect multistability phenomena characterized by the presence of up to three coexisting attractors.
NASA Astrophysics Data System (ADS)
Zainora, A. M.; Norzailawati, M. N.; Tuminah, P.
2016-06-01
Presently, it is noticeable that there is a significant influence of public open space about house price, especially in many developed nations. Literature suggests the relationship between the two aspects give impact on the housing market, however not many studies undertaken in Malaysia. Thus, this research was initiated to analyse the relationship of open space and house price via the techniques of GIS-Hedonic Pricing Model. In this regards, the GIS tool indicates the pattern of the relationship between open space and house price spatially. Meanwhile, Hedonic Pricing Model demonstrates the index of the selected criteria in determining the housing price. This research is a perceptual study of 200 respondents who were the house owners of double-storey terrace houses in four townships, namely Bandar Baru Bangi, Taman Melawati, Subang Jaya and Shah Alam, in Klang Valley. The key research question is whether the relationship between open space and house price exists and the nature of its pattern and intensity. The findings indicate that there is a positive correlation between open space and house price. Correlation analysis reveals that a weak relationship (rs < 0.1) established between the variable of open space and house price (rs = 0.91, N = 200, p = 0.2). Consequently, the rate of house price change is rather small. In overall, this research has achieved its research aims and thus, offers the value added in applying the GIS-Hedonic pricing model in analysing the influence of open space to the house price in the form of spatially and textually.
Interest rates in quantum finance: Caps, swaptions and bond options
NASA Astrophysics Data System (ADS)
Baaquie, Belal E.
2010-01-01
The prices of the main interest rate options in the financial markets, derived from the Libor (London Interbank Overnight Rate), are studied in the quantum finance model of interest rates. The option prices show new features for the Libor Market Model arising from the fact that, in the quantum finance formulation, all the different Libor payments are coupled and (imperfectly) correlated. Black’s caplet formula for quantum finance is given an exact path integral derivation. The coupon and zero coupon bond options as well as the Libor European and Asian swaptions are derived in the framework of quantum finance. The approximate Libor option prices are derived using the volatility expansion. The BGM-Jamshidian (Gatarek et al. (1996) [1], Jamshidian (1997) [2]) result for the Libor swaption prices is obtained as the limiting case when all the Libors are exactly correlated. A path integral derivation is given of the approximate BGM-Jamshidian approximate price.
Prognostic modelling options for remaining useful life estimation by industry
NASA Astrophysics Data System (ADS)
Sikorska, J. Z.; Hodkiewicz, M.; Ma, L.
2011-07-01
Over recent years a significant amount of research has been undertaken to develop prognostic models that can be used to predict the remaining useful life of engineering assets. Implementations by industry have only had limited success. By design, models are subject to specific assumptions and approximations, some of which are mathematical, while others relate to practical implementation issues such as the amount of data required to validate and verify a proposed model. Therefore, appropriate model selection for successful practical implementation requires not only a mathematical understanding of each model type, but also an appreciation of how a particular business intends to utilise a model and its outputs. This paper discusses business issues that need to be considered when selecting an appropriate modelling approach for trial. It also presents classification tables and process flow diagrams to assist industry and research personnel select appropriate prognostic models for predicting the remaining useful life of engineering assets within their specific business environment. The paper then explores the strengths and weaknesses of the main prognostics model classes to establish what makes them better suited to certain applications than to others and summarises how each have been applied to engineering prognostics. Consequently, this paper should provide a starting point for young researchers first considering options for remaining useful life prediction. The models described in this paper are Knowledge-based (expert and fuzzy), Life expectancy (stochastic and statistical), Artificial Neural Networks, and Physical models.
The Evolution of Software Pricing: From Box Licenses to Application Service Provider Models.
ERIC Educational Resources Information Center
Bontis, Nick; Chung, Honsan
2000-01-01
Describes three different pricing models for software. Findings of this case study support the proposition that software pricing is a complex and subjective process. The key determinant of alignment between vendor and user is the nature of value in the software to the buyer. This value proposition may range from increased cost reduction to…
Pricing Strategies and Models for the Provision of Digitized Texts in Higher Education.
ERIC Educational Resources Information Center
Hardy, Rachel; Oppenheim, Charles; Rubbert, Iris
2002-01-01
Describes research into charging mechanisms for the delivery of digitized texts to higher education students in the United Kingdom and discusses the need for a satisfactory pricing model. Explains the HERON (Higher Education Resources On-Demand) and PELICAN (Pricing Experiment Library Information Cooperative Network) projects and considers…
An EOQ Model with Two-Parameter Weibull Distribution Deterioration and Price-Dependent Demand
ERIC Educational Resources Information Center
Mukhopadhyay, Sushanta; Mukherjee, R. N.; Chaudhuri, K. S.
2005-01-01
An inventory replenishment policy is developed for a deteriorating item and price-dependent demand. The rate of deterioration is taken to be time-proportional and the time to deterioration is assumed to follow a two-parameter Weibull distribution. A power law form of the price dependence of demand is considered. The model is solved analytically…
Bouchard, Bruno Vu, Thanh Nam
2010-04-15
We provide an obstacle version of the Geometric Dynamic Programming Principle of Soner and Touzi (J. Eur. Math. Soc. 4:201-236, 2002) for stochastic target problems. This opens the doors to a wide range of applications, particularly in risk control in finance and insurance, in which a controlled stochastic process has to be maintained in a given set on a time interval [0,T]. As an example of application, we show how it can be used to provide a viscosity characterization of the super-hedging cost of American options under portfolio constraints, without appealing to the standard dual formulation from mathematical finance. In particular, we allow for a degenerate volatility, a case which does not seem to have been studied so far in this context.
Perpetual American options within CTRWs
NASA Astrophysics Data System (ADS)
Montero, Miquel
2008-06-01
Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no maturity that can be exercised at any time. Our approach leads to option prices that fulfill financial formulas when canonical assumptions on the dynamics governing the process are made, but it is still suitable for more exotic market conditions.
Options for modeling ground water pollution potential by dissolved chemicals
NASA Astrophysics Data System (ADS)
Jury, William A.; Tseng, Peng-Hsiang
A common characteristic of virtually all forms of non-point source pollutants is that they move downward through the soil under the influence of erratic and generally unsaturated water flow. As a consequence, both soil-water flow and solute-transport properties must be known to model the event on a field or larger scale. The extensive spatial variability of these properties make deterministic modeling unfeasible at this scale, necessitating some form of approximate stochastic approach that extrapolates from limited samples of properties and input parameters. There are a number of options for exercising this strategy, but most of them involve using a local-model representation that is averaged over the spatial domain in a statistical sense, by using a number of discrete one-dimensional simulations in parallel. With this strategy, the important question becomes what type of local model to use, and how complex to make it. This paper explores options for local representation in modeling the water flow regime, ranging from full simulation using the Richards flow equation, to steady flow using only the field-capacity estimate of water content. Simulations of flow and transport to ground water are run on a hypothetical field with variable climatic data and properties generated by geometric scaling theory, using data from 20 sites averaged in parallel to represent field-scale movement to ground water for a conservative and reactive chemical pulse. Although the transient-flow model is necessary to achieve accurate representation of the position of the pulse within the profile, mass loading of ground water was represented quite accurately with a simple flow regime assuming steady-state flow and uniform, water content. The field-capacity estimate was greatly out of agreement with the other methods, however.
NASA Astrophysics Data System (ADS)
Jiang, C.; Fang, H.
2012-12-01
Modeling soil reflectance is important to describe the soil-vegetation radiation field and to retrieve canopy characteristics from remote sensing data. The Price soil reflectance model has been widely used in canopy reflectance modeling thanks to its simplicity and effectiveness. In order to improve the model generality and applicability, this study refines the Price soil reflectance model using a global spectral library and further proposes a novel soil reflectance model. The global soil spectral library was combined from six datasets, containing 6,971 soil samples around the world, with a 10nm interval from 450 to 2350 nm. A recalibrated Price model (CPM) was developed using the same algorithm used by standard Price model (SPM) to obtain globally representative fitting functions. Moreover, a new matrix decomposition method (MDM) was developed to decrease the reflectance simulation errors by considering the spectra curve shapes. Three tune parameters are sufficient to model global soil spectra using MDM, which achieves the highest accuracy with an absolute error less than 0.02 and relative error less than 5%. CPM and SPM have larger simulation errors, for which the RMSE/RRMSE are 0.029/7.5% and 0.068/16.8%, respectively. For both SPM and CPM, relatively large error variations are shown over wavelengths, because only three selected bands are used in the models. MDM exhibits a relatively stable performance in the whole spectral domain. Moreover, MDM reconstructs very well the general shapes of the five types of soil reflectance curves, and thus leads to a lower misclassification rate. Overall, both CPM and MDM outperform SPM and have a potential for global soil reflectance modeling. Density scatter plots between the measured reflectances in the global soil spectral library and the simulated reflectances using SPM (a), CPM (b) and MDM (c). Comparison of measured and simulated reflectances for five typical curves.
Lagi, Marco; Bar-Yam, Yavni; Bertrand, Karla Z.; Bar-Yam, Yaneer
2015-01-01
Recent increases in basic food prices are severely affecting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the United States, and investor speculation on commodity markets lead to widely differing implications for policy. A lack of clarity about which factors are responsible reinforces policy inaction. Here, for the first time to our knowledge, we construct a dynamic model that quantitatively agrees with food prices. The results show that the dominant causes of price increases are investor speculation and ethanol conversion. Models that just treat supply and demand are not consistent with the actual price dynamics. The two sharp peaks in 2007/2008 and 2010/2011 are specifically due to investor speculation, whereas an underlying upward trend is due to increasing demand from ethanol conversion. The model includes investor trend following as well as shifting between commodities, equities, and bonds to take advantage of increased expected returns. Claims that speculators cannot influence grain prices are shown to be invalid by direct analysis of price-setting practices of granaries. Both causes of price increase, speculative investment and ethanol conversion, are promoted by recent regulatory changes—deregulation of the commodity markets, and policies promoting the conversion of corn to ethanol. Rapid action is needed to reduce the impacts of the price increases on global hunger. PMID:26504216
Lagi, Marco; Bar-Yam, Yavni; Bertrand, Karla Z; Bar-Yam, Yaneer
2015-11-10
Recent increases in basic food prices are severely affecting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the United States, and investor speculation on commodity markets lead to widely differing implications for policy. A lack of clarity about which factors are responsible reinforces policy inaction. Here, for the first time to our knowledge, we construct a dynamic model that quantitatively agrees with food prices. The results show that the dominant causes of price increases are investor speculation and ethanol conversion. Models that just treat supply and demand are not consistent with the actual price dynamics. The two sharp peaks in 2007/2008 and 2010/2011 are specifically due to investor speculation, whereas an underlying upward trend is due to increasing demand from ethanol conversion. The model includes investor trend following as well as shifting between commodities, equities, and bonds to take advantage of increased expected returns. Claims that speculators cannot influence grain prices are shown to be invalid by direct analysis of price-setting practices of granaries. Both causes of price increase, speculative investment and ethanol conversion, are promoted by recent regulatory changes-deregulation of the commodity markets, and policies promoting the conversion of corn to ethanol. Rapid action is needed to reduce the impacts of the price increases on global hunger.
Reference pricing and firms' pricing strategies.
Miraldo, Marisa
2009-01-01
Within a horizontal differentiation model and allowing for heterogeneous qualities, we analyze the effects of reference pricing reimbursement on firms' pricing strategies. With this analysis we find inherent incentives for firms' pricing behavior, and consequently we shed some light on the time consistency of such policy. The analysis encompasses different reference price rules: (i) reference price as the minimum of the observed prices in the market, (ii) reference price as a linear combination of firms' prices. Results show that under the "minimum policy" firms are not able to coordinate on higher prices while the "linear policy", implicitly, provides a coordination device. We have also found that, relatively to the "linear policy", when the reference price is the minimum of observed prices, after policy implementation, total and private expenditures are higher and consumer surplus and firms' profits are lower. With quality differentiation both the minimum and linear policies unambiguously lead to higher prices.
Using Satellite Remote Sensing Data in a Spatially Explicit Price Model
NASA Technical Reports Server (NTRS)
Brown, Molly E.; Pinzon, Jorge E.; Prince, Stephen D.
2007-01-01
Famine early warning organizations use data from multiple disciplines to assess food insecurity of communities and regions in less-developed parts of the World. In this paper we integrate several indicators that are available to enhance the information for preparation for and responses to food security emergencies. The assessment uses a price model based on the relationship between the suitability of the growing season and market prices for coarse grain. The model is then used to create spatially continuous maps of millet prices. The model is applied to the dry central and northern areas of West Africa, using satellite-derived vegetation indices for the entire region. By coupling the model with vegetation data estimated for one to four months into the future, maps are created of a leading indicator of potential price movements. It is anticipated that these maps can be used to enable early warning of famine and for planning appropriate responses.
Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm
NASA Astrophysics Data System (ADS)
Xiao, Wei-Lin; Zhang, Wei-Guo; Zhang, Xili; Zhang, Xiaoli
2012-12-01
This paper deals with the problem of pricing equity warrants in a mixed fractional Brownian environment. Based on the quasi-conditional expectation and the Fourier transform, we present the pricing model for equity warrants. Moreover, a hybrid intelligent algorithm, which is based on the Genetic Algorithm, is employed to solve the nonlinear optimization problem. The performance of our model and the proposed algorithm have been illustrated with some numerical examples.
Theory of Financial Risk and Derivative Pricing - 2nd Edition
NASA Astrophysics Data System (ADS)
Bouchaud, Jean-Philippe; Potters, Marc
2003-12-01
Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.
Li, Bai
2014-01-01
Gold price forecasting has been a hot issue in economics recently. In this work, wavelet neural network (WNN) combined with a novel artificial bee colony (ABC) algorithm is proposed for this gold price forecasting issue. In this improved algorithm, the conventional roulette selection strategy is discarded. Besides, the convergence statuses in a previous cycle of iteration are fully utilized as feedback messages to manipulate the searching intensity in a subsequent cycle. Experimental results confirm that this new algorithm converges faster than the conventional ABC when tested on some classical benchmark functions and is effective to improve modeling capacity of WNN regarding the gold price forecasting scheme.
Macro material flow modeling for analyzing solid waste management options
Holter, G.M.; Pennock, K.A.; Shaver, S.R.
1993-06-01
A Macro Material Flow Modeling (MMFM) concept and approach are being adopted to develop a predictive modeling capability. This capability is intended to provide part of the basis for evaluating potential impacts from various solid waste management system configurations and operating scenarios, as well as evaluating the impacts of various policies on solid waste quantities and compositions. The MMFM capability, as part of a broader Solid Waste Initiative at Pacific Northwest Laboratory, is intended to provide an increased understanding of solid waste as a disposal, energy, and resource problem on a national and global scale, particularly over the long term. This model is a macro-level simulation of the flows of the various materials through the solid waste management system, and also through the associated materials production and use system. Inclusion of materials production and use within the modeling context allows a systems approach to be used, providing a much more complete understanding of the origins of the solid waste materials and also of possible options for materials recovery and reuse than if a more traditional ``end-of-pipe`` view of solid waste is adopted. The MMFM is expected to be useful in evaluating longer-term, broader-ranging solid waste impacts than are traditionally evaluated by decision-makers involved in implementing solutions to local or regional solid waste management problems. This paper discusses the types of questions of interest in evaluating long-term, broad-range impacts from solid waste. It then identifies the basic needs for predictive modeling capabilities like the MMFM, and provides a basic description of the conceptual framework for the model and the associated data. Status of the MMFM implementation is also discussed.
Macro material flow modeling for analyzing solid waste management options
Holter, G.M.; Pennock, K.A.; Shaver, S.R.
1993-06-01
A Macro Material Flow Modeling (MMFM) concept and approach are being adopted to develop a predictive modeling capability. This capability is intended to provide part of the basis for evaluating potential impacts from various solid waste management system configurations and operating scenarios, as well as evaluating the impacts of various policies on solid waste quantities and compositions. The MMFM capability, as part of a broader Solid Waste Initiative at Pacific Northwest Laboratory, is intended to provide an increased understanding of solid waste as a disposal, energy, and resource problem on a national and global scale, particularly over the long term. This model is a macro-level simulation of the flows of the various materials through the solid waste management system, and also through the associated materials production and use system. Inclusion of materials production and use within the modeling context allows a systems approach to be used, providing a much more complete understanding of the origins of the solid waste materials and also of possible options for materials recovery and reuse than if a more traditional end-of-pipe'' view of solid waste is adopted. The MMFM is expected to be useful in evaluating longer-term, broader-ranging solid waste impacts than are traditionally evaluated by decision-makers involved in implementing solutions to local or regional solid waste management problems. This paper discusses the types of questions of interest in evaluating long-term, broad-range impacts from solid waste. It then identifies the basic needs for predictive modeling capabilities like the MMFM, and provides a basic description of the conceptual framework for the model and the associated data. Status of the MMFM implementation is also discussed.
Residential water demand model under block rate pricing: A case study of Beijing, China
NASA Astrophysics Data System (ADS)
Chen, H.; Yang, Z. F.
2009-05-01
In many cities, the inconsistency between water supply and water demand has become a critical problem because of deteriorating water shortage and increasing water demand. Uniform price of residential water cannot promote the efficient water allocation. In China, block water price will be put into practice in the future, but the outcome of such regulation measure is unpredictable without theory support. In this paper, the residential water is classified by the volume of water usage based on economic rules and block water is considered as different kinds of goods. A model based on extended linear expenditure system (ELES) is constructed to simulate the relationship between block water price and water demand, which provide theoretical support for the decision-makers. Finally, the proposed model is used to simulate residential water demand under block rate pricing in Beijing.
Optimization models and techniques for implementation and pricing of electricity markets
NASA Astrophysics Data System (ADS)
Madrigal Martinez, Marcelino
Vertically integrated electric power systems extensively use optimization models and solution techniques to guide their optimal operation and planning. The advent of electric power systems re-structuring has created needs for new optimization tools and the revision of the inherited ones from the vertical integration era into the market environment. This thesis presents further developments on the use of optimization models and techniques for implementation and pricing of primary electricity markets. New models, solution approaches, and price setting alternatives are proposed. Three different modeling groups are studied. The first modeling group considers simplified continuous and discrete models for power pool auctions driven by central-cost minimization. The direct solution of the dual problems, and the use of a Branch-and-Bound algorithm to solve the primal, allows to identify the effects of disequilibrium, and different price setting alternatives over the existence of multiple solutions. It is shown that particular pricing rules worsen the conflict of interest that arise when multiple solutions exist under disequilibrium. A price-setting alternative based on dual variables is shown to diminish such conflict. The second modeling group considers the unit commitment problem. An interior-point/cutting-plane method is proposed for the solution of the dual problem. The new method has better convergence characteristics and does not suffer from the parameter tuning drawback as previous methods The robustness characteristics of the interior-point/cutting-plane method, combined with a non-uniform price setting alternative, show that the conflict of interest is diminished when multiple near optimal solutions exist. The non-uniform price setting alternative is compared to a classic average pricing rule. The last modeling group concerns to a new type of linear network-constrained clearing system models for daily markets for power and spinning reserve. A new model and
The Early Exercise Premium Representation for American Options on Multiply Assets
Klimsiak, Tomasz Rozkosz, Andrzej
2016-02-15
In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium representation formula for options with payoff functions which are convex or satisfy mild regularity assumptions. Examples include index options, spread options, call on max options, put on min options, multiply strike options and power-product options. In the proof of the formula we exploit close connections between the optimal stopping problems associated with valuation of American options, obstacle problems and reflected backward stochastic differential equations.
Delta hedged option valuation with underlying non-Gaussian returns
NASA Astrophysics Data System (ADS)
Moriconi, L.
2007-07-01
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the market stochastic dynamics, allowing us to write and formally solve the generalized Black-Scholes equation implied by dynamical hedging. A systematic expansion around a non-perturbative starting point is then implemented, recovering the Matacz's conjectured option pricing expression. We perform an application of our formalism to the real stock market and find clear evidence that while past financial time series can be used to evaluate option prices before the expiry date with reasonable accuracy, the stochastic character of volatility is an essential ingredient that should necessarily be taken into account in analytical option price modeling.
Pricing credit default swaps under a multi-scale stochastic volatility model
NASA Astrophysics Data System (ADS)
Chen, Wenting; He, Xinjiang
2017-02-01
In this paper, we consider the pricing of credit default swaps (CDSs) with the reference asset driven by a geometric Brownian motion with a multi-scale stochastic volatility (SV), which is a two-factor volatility process with one factor controlling the fast time scale and the other representing the slow time scale. A key feature of the current methodology is to establish an equivalence relationship between the CDS and the down-and-out binary option through the discussion of "no default" probability, while balancing the two SV processes with the perturbation method. An approximate but closed-form pricing formula for the CDS contract is finally obtained, whose accuracy is in the order of O(ɛ + δ +√{ ɛδ }) .
Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis
NASA Astrophysics Data System (ADS)
Xiao, Di; Wang, Jun
2012-10-01
The continuum percolation system is developed to model a random stock price process in this work. Recent empirical research has demonstrated various statistical features of stock price changes, the financial model aiming at understanding price fluctuations needs to define a mechanism for the formation of the price, in an attempt to reproduce and explain this set of empirical facts. The continuum percolation model is usually referred to as a random coverage process or a Boolean model, the local interaction or influence among traders is constructed by the continuum percolation, and a cluster of continuum percolation is applied to define the cluster of traders sharing the same opinion about the market. We investigate and analyze the statistical behaviors of normalized returns of the price model by some analysis methods, including power-law tail distribution analysis, chaotic behavior analysis and Zipf analysis. Moreover, we consider the daily returns of Shanghai Stock Exchange Composite Index from January 1997 to July 2011, and the comparisons of return behaviors between the actual data and the simulation data are exhibited.
ERIC Educational Resources Information Center
Kelsey, Craig W.; Smith, S. Harold
This study of public parks and recreation agencies throughout the United States was undertaken to develop a mathematical pricing formula sensitive to local spending abilities in order to determine if a per capita pricing structure would be possible. Four hundred and seventy public parks and recreation agencies responded to a survey of fees and…
Municipal household solid waste fee based on an increasing block pricing model in Beijing, China.
Chu, Zhujie; Wu, Yunga; Zhuang, Jun
2017-03-01
This article aims to design an increasing block pricing model to estimate the waste fee with the consideration of the goals and principles of municipal household solid waste pricing. The increasing block pricing model is based on the main consideration of the per capita disposable income of urban residents, household consumption expenditure, production rate of waste disposal industry, and inflation rate. The empirical analysis is based on survey data of 5000 households in Beijing, China. The results indicate that the current uniform price of waste disposal is set too high for low-income people, and waste fees to the household disposable income or total household spending ratio are too low for the medium- and high-income families. An increasing block pricing model can prevent this kind of situation, and not only solve the problem of lack of funds, but also enhance the residents' awareness of environmental protection. A comparative study based on the grey system model is made by having a preliminary forecast for the waste emissions reduction effect of the pay-as-you-throw programme in the next 5 years of Beijing, China. The results show that the effect of the pay-as-you-throw programme is not only to promote the energy conservation and emissions reduction, but also giving a further improvement of the environmental quality.
An agent-based approach to modelling the effects of extreme events on global food prices
NASA Astrophysics Data System (ADS)
Schewe, Jacob; Otto, Christian; Frieler, Katja
2015-04-01
Extreme climate events such as droughts or heat waves affect agricultural production in major food producing regions and therefore can influence the price of staple foods on the world market. There is evidence that recent dramatic spikes in grain prices were at least partly triggered by actual and/or expected supply shortages. The reaction of the market to supply changes is however highly nonlinear and depends on complex and interlinked processes such as warehousing, speculation, and export restrictions. Here we present for the first time an agent-based modelling framework that accounts, in simplified terms, for these processes and allows to estimate the reaction of world food prices to supply shocks on a short (monthly) timescale. We test the basic model using observed historical supply, demand, and price data of wheat as a major food grain. Further, we illustrate how the model can be used in conjunction with biophysical crop models to assess the effect of future changes in extreme event regimes on the volatility of food prices. In particular, the explicit representation of storage dynamics makes it possible to investigate the potentially nonlinear interaction between simultaneous extreme events in different food producing regions, or between several consecutive events in the same region, which may both occur more frequently under future global warming.
Crop Monitoring as a Tool for Modelling the Genesis of Millet Prices in Senegal
NASA Astrophysics Data System (ADS)
Jacques, D.; Marinho, E.; Defourny, P.; Waldner, F.; d'Andrimont, R.
2015-12-01
Food security in Sahelian countries strongly relies on the ability of markets to transfer staplesfrom surplus to deficit areas. Market failures, leading to the inefficient geographical allocation of food,are expected to emerge from high transportation costs and information asymmetries that are commonin moderately developed countries. As a result, important price differentials are observed betweenproducing and consuming areas which damages both poor producers and food insecure consumers. Itis then vital for policy makers to understand how the prices of agricultural commodities are formed byaccounting for the existing market imperfections in addition to local demand and supply considerations. To address this issue, we have gathered an unique and diversified set of data for Senegal andintegrated it in a spatially explicit model that simulates the functioning of agricultural markets, that isfully consistent with the economic theory. Our departure point is a local demand and supply modelaround each market having its catchment areas determined by the road network. We estimate the localsupply of agricultural commodities from satellite imagery while the demand is assumed to be a functionof the population living in the area. From this point on, profitable transactions between areas with lowprices to areas with high prices are simulated for different levels of per kilometer transportation costand information flows (derived from call details records i.e. mobile phone data). The simulated prices are then comparedwith the actual millet prices. Despite the parsimony of the model that estimates only two parameters, i.e. the per kilometertransportation cost and the information asymmetry resulting from low levels of mobile phone activitybetween markets, it impressively explains more than 80% of the price differentials observed in the 40markets included in the analysis. In one hand these results can be used in the assessment of the socialwelfare impacts of the further development of
A Model for Estimating Net Prices Facing Postsecondary Students in New York State.
ERIC Educational Resources Information Center
Willie, Nancy A.
The initial stage of a model that simulates net prices facing degree students in New York State postsecondary institutions is described. The Student Support Sources model uses readily available data sources to simulate the processes by which family and student resources and financial aid are allocated to different types of students enrolled at…
ERIC Educational Resources Information Center
Fischer, Richard B.
1986-01-01
Defines key terms and discusses things to consider when setting fees for a continuing education program. These include (1) the organization's philosophy and mission, (2) certain key variables, (3) pricing strategy options, and (4) the test of reasonableness. (CH)
The demise of constant price impact functions and single-time step models of speculation
NASA Astrophysics Data System (ADS)
Challet, Damien
2007-08-01
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions are considered. The solution of the paradox lies in the non-constant nature of real-life price impact functions. A simple model that includes explicit position opening, holding, and closing is briefly introduced and its information ecology discussed, shedding new light on the relevance of the Minority Game to the study of financial markets.
The Conquest of Outer Space--Optional Curriculum Model
ERIC Educational Resources Information Center
Florian, Gabriel; Florian, Aurelia-Daniela; Pufu, Nicolae
2015-01-01
This paper proposes an optional syllabus for the students in the XIIth grade. The proposed theme analyzes the concept of "variable mass" both in terms of classical mechanics and relativistic mechanics. In terms of classical mechanics we refer to the slow motion of a body, whose mass ranges in ascending way (by annealing a mass particle…
Two-echelon competitive integrated supply chain model with price and credit period dependent demand
NASA Astrophysics Data System (ADS)
Pal, Brojeswar; Sankar Sana, Shib; Chaudhuri, Kripasindhu
2016-04-01
This study considers a two-echelon competitive supply chain consisting of two rivaling retailers and one common supplier with trade credit policy. The retailers hope that they can enhance their market demand by offering a credit period to the customers and the supplier also offers a credit period to the retailers. We assume that the market demand of the products of one retailer depends not only on their own market price and offering a credit period to the customers, but also on the market price and offering a credit period of the other retailer. The supplier supplies the product with a common wholesale price and offers the same credit period to the retailers. We study the model under a centralised (integrated) case and a decentralised (Vertical Nash) case and compare them numerically. Finally, we investigate the model by the collected numerical data.
Comparing Price Forecast Accuracy of Natural Gas Models andFutures Markets
Wong-Parodi, Gabrielle; Dale, Larry; Lekov, Alex
2005-06-30
The purpose of this article is to compare the accuracy of forecasts for natural gas prices as reported by the Energy Information Administration's Short-Term Energy Outlook (STEO) and the futures market for the period from 1998 to 2003. The analysis tabulates the existing data and develops a statistical comparison of the error between STEO and U.S. wellhead natural gas prices and between Henry Hub and U.S. wellhead spot prices. The results indicate that, on average, Henry Hub is a better predictor of natural gas prices with an average error of 0.23 and a standard deviation of 1.22 than STEO with an average error of -0.52 and a standard deviation of 1.36. This analysis suggests that as the futures market continues to report longer forward prices (currently out to five years), it may be of interest to economic modelers to compare the accuracy of their models to the futures market. The authors would especially like to thank Doug Hale of the Energy Information Administration for supporting and reviewing this work.
The Stock Price Prediction and Sell-buy Strategy Model by Genetic Network Programming
NASA Astrophysics Data System (ADS)
Mori, Shigeo; Hirasawa, Kotaro; Hu, Jinglu
Various stock prices predicting and sell-buy strategy models have been so far proposed. They are classified as the fundamental analysis using the achievements of the companies and the trend of business, etc., and the technical analysis which carries out the numerical analysis of the movement of stock prices. On the other hand, as one of the methods for data mining which finds out the regularity from a vast quantity of stock price data, Genetic Algorithm (GA) has been so far applied widely. As a concrete example, the optimal values of parameters of stock indices like various moving averages and rates of deviation, etc. is computed by GA, and there have been developed various methods for predicting stock prices and determinig sell-buy strategy based on it. However, it is hard to determine which is the most effective index by the conventional GA. Moreover, the most effective one depends on the brands. So in this paper, a stock price prediction and sell-buy strategy model which searches for the optimal combination of various indices in the technical analysis has been proposed using Genetic Network programming and its effectiveness is confirmed by simulations.
Information-time based futures pricing
NASA Astrophysics Data System (ADS)
Yen, Simon; Wang, Jai Jen
2009-09-01
This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135-155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of Financial Economics 48 (1998) 211-242] to subordinate an information-time based directing process into calendar-time based parent processes. A closed-form futures pricing formula is derived after taking into account the information-time setting and the stochasticity of the spot price, interest rate, and convenience yield. According to the empirical results on the TAIEX and TFETX data from 1998/7/21 to 2003/12/31, the information-time based model performs better than its calendar-time based counterpart and the cost of carry model, especially when the information arrival intensity estimates become larger.
Cost accounting models used for price-setting of health services: an international review.
Raulinajtys-Grzybek, Monika
2014-12-01
The aim of the article was to present and compare cost accounting models which are used in the area of healthcare for pricing purposes in different countries. Cost information generated by hospitals is further used by regulatory bodies for setting or updating prices of public health services. The article presents a set of examples from different countries of the European Union, Australia and the United States and concentrates on DRG-based payment systems as they primarily use cost information for pricing. Differences between countries concern the methodology used, as well as the data collection process and the scope of the regulations on cost accounting. The article indicates that the accuracy of the calculation is only one of the factors that determine the choice of the cost accounting methodology. Important aspects are also the selection of the reference hospitals, precise and detailed regulations and the existence of complex healthcare information systems in hospitals.
Spatial-Temporal Models of Insect Growth, Diffusion and Derivative Pricing
Technology Transfer Automated Retrieval System (TEKTRAN)
Insect derivatives represent an important innovation in specialty crop risk management. An active over-the-counter market in insect derivatives will require a transparent pricing method. The paper develops an econometric model of the spatio-temporal process underlying a particular insect populatio...
Price Responsiveness in the AEO2003 NEMS Residential and Commercial Buildings Sector Models
2003-01-01
This paper describes the demand responses to changes in energy prices in the Annual Energy Outlook 2003 versions of the Residential and Commercial Demand Modules of the National Energy Modeling System (NEMS). It updates a similar paper completed for the Annual Energy Outlook 1999 version of the NEMS.
NASA Astrophysics Data System (ADS)
Xian, Lu; He, Kaijian; Lai, Kin Keung
2016-07-01
In recent years, the increasing level of volatility of the gold price has received the increasing level of attention from the academia and industry alike. Due to the complexity and significant fluctuations observed in the gold market, however, most of current approaches have failed to produce robust and consistent modeling and forecasting results. Ensemble Empirical Model Decomposition (EEMD) and Independent Component Analysis (ICA) are novel data analysis methods that can deal with nonlinear and non-stationary time series. This study introduces a new methodology which combines the two methods and applies it to gold price analysis. This includes three steps: firstly, the original gold price series is decomposed into several Intrinsic Mode Functions (IMFs) by EEMD. Secondly, IMFs are further processed with unimportant ones re-grouped. Then a new set of data called Virtual Intrinsic Mode Functions (VIMFs) is reconstructed. Finally, ICA is used to decompose VIMFs into statistically Independent Components (ICs). The decomposition results reveal that the gold price series can be represented by the linear combination of ICs. Furthermore, the economic meanings of ICs are analyzed and discussed in detail, according to the change trend and ICs' transformation coefficients. The analyses not only explain the inner driving factors and their impacts but also conduct in-depth analysis on how these factors affect gold price. At the same time, regression analysis has been conducted to verify our analysis. Results from the empirical studies in the gold markets show that the EEMD-ICA serve as an effective technique for gold price analysis from a new perspective.
Use of Programmed Review of Information for Costing and Evaluation (PRICE) model at CNES
NASA Astrophysics Data System (ADS)
Roux, J. B.
The bases of the PRICE model, which calculates a cost-mass relation for a given project from data of thousands of other projects are outlined, and its application to the Ariane project is outlined. Ten to 20 descriptors per project define key elements, like manufacturing processes, and regression analysis calculates their coefficients and range. The model assesses physical parameters and others such as time limits. The few differences between model forecasts and actual production costs for Ariane were due to special circumstances.
ERIC Educational Resources Information Center
Katikireddi, Srinivasa Vittal; Hilton, Shona; Bond, Lyndal
2016-01-01
The minimum unit pricing (MUP) alcohol policy debate has been informed by the Sheffield model, a study which predicts impacts of different alcohol pricing policies. This paper explores the Sheffield model's influences on the policy debate by drawing on 36 semi-structured interviews with policy actors who were involved in the policy debate.…
NASA Astrophysics Data System (ADS)
Roşu, M. M.; Tarbă, C. I.; Neagu, C.
2016-11-01
The current models for inventory management are complementary, but together they offer a large pallet of elements for solving complex problems of companies when wanting to establish the optimum economic order quantity for unfinished products, row of materials, goods etc. The main objective of this paper is to elaborate an automated decisional model for the calculus of the economic order quantity taking into account the price regressive rates for the total order quantity. This model has two main objectives: first, to determine the periodicity when to be done the order n or the quantity order q; second, to determine the levels of stock: lighting control, security stock etc. In this way we can provide the answer to two fundamental questions: How much must be ordered? When to Order? In the current practice, the business relationships with its suppliers are based on regressive rates for price. This means that suppliers may grant discounts, from a certain level of quantities ordered. Thus, the unit price of the products is a variable which depends on the order size. So, the most important element for choosing the optimum for the economic order quantity is the total cost for ordering and this cost depends on the following elements: the medium price per units, the stock cost, the ordering cost etc.
Modeling and forecasting foreign exchange daily closing prices with normal inverse Gaussian
NASA Astrophysics Data System (ADS)
Teneng, Dean
2013-09-01
We fit the normal inverse Gaussian(NIG) distribution to foreign exchange closing prices using the open software package R and select best models by Käärik and Umbleja (2011) proposed strategy. We observe that daily closing prices (12/04/2008 - 07/08/2012) of CHF/JPY, AUD/JPY, GBP/JPY, NZD/USD, QAR/CHF, QAR/EUR, SAR/CHF, SAR/EUR, TND/CHF and TND/EUR are excellent fits while EGP/EUR and EUR/GBP are good fits with a Kolmogorov-Smirnov test p-value of 0.062 and 0.08 respectively. It was impossible to estimate normal inverse Gaussian parameters (by maximum likelihood; computational problem) for JPY/CHF but CHF/JPY was an excellent fit. Thus, while the stochastic properties of an exchange rate can be completely modeled with a probability distribution in one direction, it may be impossible the other way around. We also demonstrate that foreign exchange closing prices can be forecasted with the normal inverse Gaussian (NIG) Lévy process, both in cases where the daily closing prices can and cannot be modeled by NIG distribution.
Characterizing limit order prices
NASA Astrophysics Data System (ADS)
Withanawasam, R. M.; Whigham, P. A.; Crack, Timothy Falcon
2013-11-01
A computational model of a limit order book is used to study the effect of different limit order distribution offsets. Reference prices such as same side/contra side best market prices and last traded price are considered in combination with different price offset distributions. We show that when characterizing limit order prices, varying the offset distribution only produces different behavior when the reference price is the contra side best price. Irrespective of the underlying mechanisms used in computing the limit order prices, the shape of the price graph and the behavior of the average order book profile distribution are strikingly similar in all the considered reference prices/offset distributions. This implies that existing averaging methods can cancel variabilities in limit order book shape/attributes and may be misleading.
An Econometric Model of Healthcare Demand With Nonlinear Pricing.
Kunz, Johannes S; Winkelmann, Rainer
2016-04-04
From 2004 to 2012, the German social health insurance levied a co-payment for the first doctor visit in a calendar quarter. We develop a new model for estimating the effect of such a co-payment on the individual number of visits per quarter. The model combines a one-time increase in the otherwise constant hazard rate determining the timing of doctor visits with a difference-in-differences strategy to identify the reform effect. An extended version of the model accounts for a mismatch between reporting period and calendar quarter. Using data from the German Socio-Economic Panel, we do not find an effect of the co-payment on demand for doctor visits. Copyright © 2016 John Wiley & Sons, Ltd.
Aggregate modeling of fast-acting demand response and control under real-time pricing
Chassin, David P.; Rondeau, Daniel
2016-08-24
This paper develops and assesses the performance of a short-term demand response (DR) model for utility load control with applications to resource planning and control design. Long term response models tend to underestimate short-term demand response when induced by prices. This has two important consequences. First, planning studies tend to undervalue DR and often overlook its benefits in utility demand management program development. Second, when DR is not overlooked, the open-loop DR control gain estimate may be too low. This can result in overuse of load resources, control instability and excessive price volatility. Our objective is therefore to develop amore » more accurate and better performing short-term demand response model. We construct the model from first principles about the nature of thermostatic load control and show that the resulting formulation corresponds exactly to the Random Utility Model employed in economics to study consumer choice. The model is tested against empirical data collected from field demonstration projects and is shown to perform better than alternative models commonly used to forecast demand in normal operating conditions. Finally, the results suggest that (1) existing utility tariffs appear to be inadequate to incentivize demand response, particularly in the presence of high renewables, and (2) existing load control systems run the risk of becoming unstable if utilities close the loop on real-time prices.« less
Aggregate modeling of fast-acting demand response and control under real-time pricing
Chassin, David P.; Rondeau, Daniel
2016-08-24
This paper develops and assesses the performance of a short-term demand response (DR) model for utility load control with applications to resource planning and control design. Long term response models tend to underestimate short-term demand response when induced by prices. This has two important consequences. First, planning studies tend to undervalue DR and often overlook its benefits in utility demand management program development. Second, when DR is not overlooked, the open-loop DR control gain estimate may be too low. This can result in overuse of load resources, control instability and excessive price volatility. Our objective is therefore to develop a more accurate and better performing short-term demand response model. We construct the model from first principles about the nature of thermostatic load control and show that the resulting formulation corresponds exactly to the Random Utility Model employed in economics to study consumer choice. The model is tested against empirical data collected from field demonstration projects and is shown to perform better than alternative models commonly used to forecast demand in normal operating conditions. Finally, the results suggest that (1) existing utility tariffs appear to be inadequate to incentivize demand response, particularly in the presence of high renewables, and (2) existing load control systems run the risk of becoming unstable if utilities close the loop on real-time prices.
A Perfect Price Discrimination Market Model with Production, and a (Rational) Convex Program for It
NASA Astrophysics Data System (ADS)
Goel, Gagan; Vazirani, Vijay
Recent results showed PPAD-completeness of the problem of computing an equilibrium for Fisher's market model under additively separable, piecewise-linear, concave utilities. We show that introducing perfect price discrimination in this model renders its equilibrium polynomial time computable. Moreover, its set of equilibria are captured by a convex program that generalizes the classical Eisenberg-Gale program, and always admits a rational solution.
Stochastic Modeling and Analysis of Energy Commodity Spot Price Processes
2014-06-27
model for the value of l = 2 are given. For this purpose, using a combination of direct search method and Nelder- Mead simplex algorithm, we search...find the parameters that maximize (5.7) using a combination of direct search method and the Nelder- Mead simplex optimization algorithm in Matlab. This...use the Nelder- Mead Simplex Method developed in Matlab. Maximizing (5.28) is equivalent to minimizing L(Θ) = 1 2 N∑ k=1 [ 1 2 ∆yT (k)r−10,2(tk|tk−1)∆y
3D Weight Matrices in Modeling Real Estate Prices
NASA Astrophysics Data System (ADS)
Mimis, A.
2016-10-01
Central role in spatial econometric models of real estate data has the definition of the weight matrix by which we capture the spatial dependence between the observations. The weight matrices presented in literature so far, treats space in a two dimensional manner leaving out the effect of the third dimension or in our case the difference in height where the property resides. To overcome this, we propose a new definition of the weight matrix including the third dimensional effect by using the Hadamard product. The results illustrated that the level effect can be absorbed into the new weight matrix.
Regime switches induced by supply-demand equilibrium: a model for power-price dynamics
NASA Astrophysics Data System (ADS)
Mari, Carlo; Tondini, Daniela
2010-11-01
Regime-switching models can be used to describe stochastic movements of electricity prices in deregulated markets. This paper shows that regime-switching dynamics arise quite naturally in an equilibrium context in which the functional form of the supply curve is described by a two-state Markov process. This mechanism is responsible for random switches between regimes and it allows one to describe the main features of the price-formation process. With the interplay between demand and supply, the proposed methodology can be used to capture shortages in electricity generation, forced outages, and peaks in electricity demand. As an example of application, a two-regime model specification is proposed, and it will be shown that the empirical analysis, performed by estimating using the model on the California power market, offers an interesting agreement with observed data.
Adapting mudharabah principle in Islamic option
NASA Astrophysics Data System (ADS)
Suhaimi, Siti Noor Aini binti; Salleh, Hassilah binti
2013-04-01
Most of the options today use the Black-Scholes model as the basis in valuing their price. This conventional model involves the elements that are strictly prohibited in Islam namely riba, gharar and maisir. Hence, this paper introduces a new mathematical model that has been adapted with mudharabah principle to replace the Black-Scholes model. This new model which is more compatible with Islamic values produces a new Islamic option which avoids any form of oppression and injustice to all parties involved.
Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model
Zhu, Qing; Zou, Yingchao; Lai, Kin Keung
2014-01-01
As a typical nonlinear and dynamic system, the crude oil price movement is difficult to predict and its accurate forecasting remains the subject of intense research activity. Recent empirical evidence suggests that the multiscale data characteristics in the price movement are another important stylized fact. The incorporation of mixture of data characteristics in the time scale domain during the modelling process can lead to significant performance improvement. This paper proposes a novel morphological component analysis based hybrid methodology for modeling the multiscale heterogeneous characteristics of the price movement in the crude oil markets. Empirical studies in two representative benchmark crude oil markets reveal the existence of multiscale heterogeneous microdata structure. The significant performance improvement of the proposed algorithm incorporating the heterogeneous data characteristics, against benchmark random walk, ARMA, and SVR models, is also attributed to the innovative methodology proposed to incorporate this important stylized fact during the modelling process. Meanwhile, work in this paper offers additional insights into the heterogeneous market microstructure with economic viable interpretations. PMID:25061614
NASA Astrophysics Data System (ADS)
Kozuki, Naoki; Fuchikami, Nobuko
2003-11-01
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential, where the ‘temperature’ fluctuates slowly. The model generally yields a fat-tailed distribution of the price change. Specifically a Tsallis distribution is obtained if the inverse temperature is χ2-distributed, which qualitatively agrees with intraday data of foreign exchange market. The so-called ‘volatility’, a quantity indicating the risk or activity in financial markets, corresponds to the temperature of markets and its fluctuation leads to intermittency.
Substitution and price elasticity estimates using inter-countrypooled data in a translog cost model
Roy, Joyashree; Sanstad, Alan H.; Sathaye, Jayant A.; Khaddaria,Raman
2006-06-01
Pooled data across several developing countries and the U.S. were used to estimate long-run substitution and price elasticities ina translog framework for the paper, iron and steel, and aggregatemanufacturing industries. While the quality of the estimates variesacross the several industry-specific models, the results suggest highervalues for these elasticities than appear commonly used in integratedassessment models. Estimates of own-price elasticities of energy rangefrom - 0.80 to - 1.76 and are comparable to estimates from previouseconometric studies in the context of developed countries (- 0.77 to -0.87). Substitution elasticities show wider variation across countriesand industries. For energy and capital they range from -1.96 to 9.80, forlabor and energy from 2.61 to 7.11, and for energy and material from -0.26 to 2.07.
Dynamical analysis for a model of asset prices with two delays
NASA Astrophysics Data System (ADS)
Wang, Luxuan; Niu, Ben; Wei, Junjie
2016-04-01
This paper provides a new perspective to understand the mechanism on the market stability or oscillation by investigating a two-dimensional asset price model with two delays. Stability conditions and the existence of Hopf bifurcation are obtained by investigating the characteristic equation. Then an explicit algorithm for determining the criticality of Hopf bifurcation and stability of the bifurcating solutions is derived, using the center manifold reduction method. The global continuation of bifurcating periodic solutions is detected using a global Hopf bifurcation theorem. It is found that delay may induce supercritical Hopf bifurcations, hence bring oscillation into the asset price model. Moreover, when time delay gets larger, the period of oscillation also increases. Finally, some numerical illustrations with Matlab and DDE-Biftool are carried out to support the theoretical analysis.
Factors influencing global antiretroviral procurement prices
2009-01-01
Background Antiretroviral medicines (ARVs) are one of the most costly parts of HIV/AIDS treatment. Many countries are struggling to provide universal access to ARVs for all people living with HIV and AIDS. Although substantial price reductions of ARVs have occurred, especially between 2002 and 2008, achieving sustainable access for the next several decades remains a major challenge for most low- and middle-income countries. The objectives of the present study were twofold: first, to analyze global ARV prices between 2005 and 2008 and associated factors, particularly procurement methods and key donor policies on ARV procurement efficiency; second, to discuss the options of procurement processes and policies that should be considered when implementing or reforming access to ARV programs. Methods An ARV-medicines price-analysis was carried out using the Global Price Reporting Mechanism from the World Health Organization. For a selection of 12 ARVs, global median prices and price variation were calculated. Linear regression models for each ARV were used to identify factors that were associated with lower procurement prices. Logistic regression models were used to identify the characteristics of those countries which procure below the highest and lowest direct manufactured costs. Results Three key factors appear to have an influence on a country's ARV prices: (a) whether the product is generic or not; (b) the socioeconomic status of the country; (c) whether the country is a member of the Clinton HIV/AIDS Initiative. Factors which did not influence procurement below the highest direct manufactured costs were HIV prevalence, procurement volume, whether the country belongs to the least developed countries or a focus country of the United States President's Emergency Plan For AIDS Relief. Conclusion One of the principal mechanisms that can help to lower prices for ARV over the next several decades is increasing procurement efficiency. Benchmarking prices could be one useful
Additive and subtractive scrambling in optional randomized response modeling.
Hussain, Zawar; Al-Sobhi, Mashail M; Al-Zahrani, Bander
2014-01-01
This article considers unbiased estimation of mean, variance and sensitivity level of a sensitive variable via scrambled response modeling. In particular, we focus on estimation of the mean. The idea of using additive and subtractive scrambling has been suggested under a recent scrambled response model. Whether it is estimation of mean, variance or sensitivity level, the proposed scheme of estimation is shown relatively more efficient than that recent model. As far as the estimation of mean is concerned, the proposed estimators perform relatively better than the estimators based on recent additive scrambling models. Relative efficiency comparisons are also made in order to highlight the performance of proposed estimators under suggested scrambling technique.
Early Prostate Cancer: Hedonic Prices Model of Provider-Patient Interactions and Decisions
Jani, Ashesh B. Hellman, Samuel
2008-03-15
Purpose: To determine the relative influence of treatment features and treatment availabilities on final treatment decisions in early prostate cancer. Methods and Materials: We describe and apply a model, based on hedonic prices, to understand provider-patient interactions in prostate cancer. This model included four treatments (observation, external beam radiotherapy, brachytherapy, and prostatectomy) and five treatment features (one efficacy and four treatment complication features). We performed a literature search to estimate (1) the intersections of the 'bid' functions and 'offer' functions with the price function along different treatment feature axes, and (2) the treatments actually rendered in different patient subgroups based on age. We performed regressions to determine the relative weight of each feature in the overall interaction and the relative availability of each treatment modality to explain differences between observed vs. predicted use of different modalities in different patient subpopulations. Results: Treatment efficacy and potency preservation are the major factors influencing decisions for young patients, whereas preservation of urinary and rectal function is much more important for very elderly patients. Referral patterns seem to be responsible for most of the deviations of observed use of different treatments from those predicted by idealized provider-patient interactions. Specifically, prostatectomy is used far more commonly in young patients and radiotherapy and observation used far more commonly in elderly patients than predicted by a uniform referral pattern. Conclusions: The hedonic prices approach facilitated identifying the relative importance of treatment features and quantification of the impact of the prevailing referral pattern on prostate cancer treatment decisions.
Empirical evaluation of the market price of risk using the CIR model
NASA Astrophysics Data System (ADS)
Bernaschi, M.; Torosantucci, L.; Uboldi, A.
2007-03-01
We describe a simple but effective method for the estimation of the market price of risk. The basic idea is to compare the results obtained by following two different approaches in the application of the Cox-Ingersoll-Ross (CIR) model. In the first case, we apply the non-linear least squares method to cross sectional data (i.e., all rates of a single day). In the second case, we consider the short rate obtained by means of the first procedure as a proxy of the real market short rate. Starting from this new proxy, we evaluate the parameters of the CIR model by means of martingale estimation techniques. The estimate of the market price of risk is provided by comparing results obtained with these two techniques, since this approach makes possible to isolate the market price of risk and evaluate, under the Local Expectations Hypothesis, the risk premium given by the market for different maturities. As a test case, we apply the method to data of the European Fixed Income Market.
NASA Astrophysics Data System (ADS)
Heydari, Jafar; Norouzinasab, Yousef
2015-07-01
In this paper, a discount model is proposed to coordinate pricing and ordering decisions in a two-echelon supply chain (SC). Demand is stochastic and price sensitive while lead times are fixed. Decentralized decision making where downstream decides on selling price and order size is investigated. Then, joint pricing and ordering decisions are extracted where both members act as a single entity aim to maximize whole SC profit. Finally, a coordination mechanism based on quantity discount is proposed to coordinate both pricing and ordering decisions simultaneously. The proposed two-level discount policy can be characterized from two aspects: (1) marketing viewpoint: a retail price discount to increase the demand, and (2) operations management viewpoint: a wholesale price discount to induce the retailer to adjust its order quantity and selling price jointly. Results of numerical experiments demonstrate that the proposed policy is suitable to coordinate SC and improve the profitability of SC as well as all SC members in comparison with decentralized decision making.
Age Differences in Consumer Decision Making under Option Framing: From the Motivation Perspective.
Peng, Huamao; Xia, Shiyong; Ruan, Fanglin; Pu, Bingyan
2016-01-01
Option framing effect is the phenomena that participants often accept more options when they are asked to delete undesired options from a full model (subtractive framing) than they do when they are instructed to add desired options to a base model (additive framing). Whether the same effect exists in different age groups is less well known. To explore the roles of age and purchase motivations on the option framing effect for automobiles purchases, this study adopted a 3 (age group: younger, middle-aged, vs. older) × 2 (option framing: additive vs. subtractive) × 2 (focus condition: information vs. emotion) mixed design. To manipulate purchase motivations, participants in the three age groups were instructed to focus on the ratio of utility and price of options (information-focus) or the extent of pleasure induced by the options (emotion-focus) when they made purchase decisions in two framing conditions. The results revealed similar option framing effect across all age groups in the information-focus condition regarding the total price paid for accepted options. In contrast, the framing effect was not found in the emotion-focus condition. In addition, older adults accepted more options and an overall higher price than younger and middle-aged adults in both focus conditions. This difference was more obvious in the emotion-focus condition than in the information-focus condition. Moreover, both the number of accepted options and the total accepted price of the younger group in the information-focus condition were higher than those in the emotion-focus condition, whereas the older and middle-aged groups accepted same number of options and price between two focus conditions. These results imply that purchase motivation is a moderator of the option framing effect and age characteristics linked with motivations must be considered in sales.
Age Differences in Consumer Decision Making under Option Framing: From the Motivation Perspective
Peng, Huamao; Xia, Shiyong; Ruan, Fanglin; Pu, Bingyan
2016-01-01
Option framing effect is the phenomena that participants often accept more options when they are asked to delete undesired options from a full model (subtractive framing) than they do when they are instructed to add desired options to a base model (additive framing). Whether the same effect exists in different age groups is less well known. To explore the roles of age and purchase motivations on the option framing effect for automobiles purchases, this study adopted a 3 (age group: younger, middle-aged, vs. older) × 2 (option framing: additive vs. subtractive) × 2 (focus condition: information vs. emotion) mixed design. To manipulate purchase motivations, participants in the three age groups were instructed to focus on the ratio of utility and price of options (information-focus) or the extent of pleasure induced by the options (emotion-focus) when they made purchase decisions in two framing conditions. The results revealed similar option framing effect across all age groups in the information-focus condition regarding the total price paid for accepted options. In contrast, the framing effect was not found in the emotion-focus condition. In addition, older adults accepted more options and an overall higher price than younger and middle-aged adults in both focus conditions. This difference was more obvious in the emotion-focus condition than in the information-focus condition. Moreover, both the number of accepted options and the total accepted price of the younger group in the information-focus condition were higher than those in the emotion-focus condition, whereas the older and middle-aged groups accepted same number of options and price between two focus conditions. These results imply that purchase motivation is a moderator of the option framing effect and age characteristics linked with motivations must be considered in sales. PMID:27872603
NASA Astrophysics Data System (ADS)
Irmeilyana, Puspita, Fitri Maya; Indrawati
2016-02-01
The pricing for wireless networks is developed by considering linearity factors, elasticity price and price factors. Mixed Integer Nonlinear Programming of wireless pricing model is proposed as the nonlinear programming problem that can be solved optimally using LINGO 13.0. The solutions are expected to give some information about the connections between the acceptance factor and the price. Previous model worked on the model that focuses on bandwidth as the QoS attribute. The models attempt to maximize the total price for a connection based on QoS parameter. The QoS attributes used will be the bandwidth and the end to end delay that affect the traffic. The maximum goal to maximum price is achieved when the provider determine the requirement for the increment or decrement of price change due to QoS change and amount of QoS value.
Modelling and Simulation for Requirements Engineering and Options Analysis
2010-05-01
Defence, 2010 © Sa Majesté la Reine (en droit du Canada), telle que représentée par le ministre de la Défense nationale, 2010 DRDC Toronto CR 2010...externalize their mental model of the assumed solution for critique and correction by others, and whether or not this would assist in ensuring that
Airborne electromagnetic modelling options and their consequences in target definition
NASA Astrophysics Data System (ADS)
Ley-Cooper, Alan Yusen; Viezzoli, Andrea; Guillemoteau, Julien; Vignoli, Giulio; Macnae, James; Cox, Leif; Munday, Tim
2015-10-01
Given the range of geological conditions under which airborne EM surveys are conducted, there is an expectation that the 2D and 3D methods used to extract models that are geologically meaningful would be favoured over 1D inversion and transforms. We do after all deal with an Earth that constantly undergoes, faulting, intrusions, and erosive processes that yield a subsurface morphology, which is, for most parts, dissimilar to a horizontal layered earth. We analyse data from a survey collected in the Musgrave province, South Australia. It is of particular interest since it has been used for mineral prospecting and for a regional hydro-geological assessment. The survey comprises abrupt lateral variations, more-subtle lateral continuous sedimentary sequences and filled palaeovalleys. As consequence, we deal with several geophysical targets of contrasting conductivities, varying geometries and at different depths. We invert the observations by using several algorithms characterised by the different dimensionality of the forward operator. Inversion of airborne EM data is known to be an ill-posed problem. We can generate a variety of models that numerically adequately fit the measured data, which makes the solution non-unique. The application of different deterministic inversion codes or transforms to the same dataset can give dissimilar results, as shown in this paper. This ambiguity suggests the choice of processes and algorithms used to interpret AEM data cannot be resolved as a matter of personal choice and preference. The degree to which models generated by a 1D algorithm replicate/or not measured data, can be an indicator of the data's dimensionality, which perse does not imply that data that can be fitted with a 1D model cannot be multidimensional. On the other hand, it is crucial that codes that can generate 2D and 3D models do reproduce the measured data in order for them to be considered as a plausible solution. In the absence of ancillary information, it could
Developing a goal programming model for ideal/mutual house price
NASA Astrophysics Data System (ADS)
Saiddin, Nor Syuhadah; Zaibidi, Nerda Zura; Sulaiman, Nor Intan Saniah
2015-12-01
One cannot deny the importance of a house as a living need. Unfortunately, the unreasonable house price makes it approximately impossible to be owned, mostly for middle income group. Nowadays, the middle income house buyers have two alternatives, whether to buy it from a private developer or through PR1MA and My First Home scheme, since both parties have their own advantages. Goal programming has been employed to resolve the multi objective problem among parties. Due to the complex decision making in house price determination between the parties, this study purposely modeled the problem using interval goal programming approach. Goal programming and interval goal programming can be differ based on their goal (i.e. the aspire level) which is in the form of interval. This study employed primary data and secondary data, which primary data is acquired from semi-structured interview with private developer, while secondary data is the data obtained from literature review. Initial result shows the satisfactory house price over preferences and needs of the decision makers, which are RM454, 050.00 for the private developer, RM322, 880.00 for the government and range of RM2380.95 to RM245, 100.00 for the house buyer. This suggests the house price range that is satisfied by all parties which is about RM238, 000.95 to RM460, 000.00.The satisfaction might occurred when they are all cooperating, which the way could enlighten the impact of collaboration between the parties. This could be the limitations for this study.
Dhondt, Stijn; Kochan, Bruno; Beckx, Carolien; Lefebvre, Wouter; Pirdavani, Ali; Degraeuwe, Bart; Bellemans, Tom; Int Panis, Luc; Macharis, Cathy; Putman, Koen
2013-01-01
Transportation policy measures often aim to change travel behaviour towards more efficient transport. While these policy measures do not necessarily target health, these could have an indirect health effect. We evaluate the health impact of a policy resulting in an increase of car fuel prices by 20% on active travel, outdoor air pollution and risk of road traffic injury. An integrated modelling chain is proposed to evaluate the health impact of this policy measure. An activity-based transport model estimated movements of people, providing whereabouts and travelled kilometres. An emission- and dispersion model provided air quality levels (elemental carbon) and a road safety model provided the number of fatal and non-fatal traffic victims. We used kilometres travelled while walking or cycling to estimate the time in active travel. Differences in health effects between the current and fuel price scenario were expressed in Disability Adjusted Life Years (DALY). A 20% fuel price increase leads to an overall gain of 1650 (1010-2330) DALY. Prevented deaths lead to a total of 1450 (890-2040) Years Life Gained (YLG), with better air quality accounting for 530 (180-880) YLG, fewer road traffic injuries for 750 (590-910) YLG and active travel for 170 (120-250) YLG. Concerning morbidity, mostly road safety led to 200 (120-290) fewer Years Lived with Disability (YLD), while air quality improvement only had a minor effect on cardiovascular hospital admissions. Air quality improvement and increased active travel mainly had an impact at older age, while traffic safety mainly affected younger and middle-aged people. This modelling approach illustrates the feasibility of a comprehensive health impact assessment of changes in travel behaviour. Our results suggest that more is needed than a policy rising car fuel prices by 20% to achieve substantial health gains. While the activity-based model gives an answer on what the effect of a proposed policy is, the focus on health may make
Al-Mutairi, N.H.; Eltony, M.N.
1995-12-31
This paper estimates the demand for energy in Kuwait for the period 1965-1989 using two econometric models: a cointegration and error correction model (ECM) and a simultaneous-equation model (SEM). The results obtained from both models are similar. It is found that the energy demand is inelastic with respect to price in the short and long run, and while it is elastic in the long run, the energy demand is inelastic with respect to income in the short run. Both models` validation shows that the ECM performed better in replicating the past than the simultaneous model, suggesting the need to use the ECM to identify future prospects for energy demand in Kuwait.
Models to compare management options for a protogynous fish.
Heppell, Selina S; Heppell, Scott A; Coleman, Felicia C; Koenig, Christopher C
2006-02-01
Populations of gag (Mycteroperca microlepis), a hermaphroditic grouper, have experienced a dramatic shift in sex ratio over the past 25 years due to a decline in older age classes. The highly female-skewed sex ratio can be predicted as a consequence of increased fishing mortality that truncates the age distribution, and raises some concern about the overall fitness of the population. Management efforts may need to be directed toward maintenance of sex ratio as well as stock size, with evaluations of recruitment based on sex ratio or male stock size in addition to the traditional female-based stock-recruitment relationship. We used two stochastic, age-structured models to heuristically compare the effects of reducing fishing mortality on different life history stages and the relative impact of reductions in fertilization rates that may occur with highly skewed sex ratios. Our response variables included population size, sex ratio, lost egg fertility, and female spawning stock biomass. Population growth rates were highest for scenarios that reduced mortality for female gag (nearshore closure), while improved sex ratios were obtained most quickly with spawning reserves. The effect of reduced fertility through sex ratio bias was generally low but depended on the management scenario employed. Our results demonstrate the utility of evaluation of fishery management scenarios through model analysis and simulation, the synergistic interaction of life history and response to changes in mortality rates, and the importance of defining management goals.
McIntyre, Di; Ataguba, John E
2012-03-01
South Africa is considering introducing a universal health care system. A key concern for policy-makers and the general public is whether or not this reform is affordable. Modelling the resource and revenue generation requirements of alternative reform options is critical to inform decision-making. This paper considers three reform scenarios: universal coverage funded by increased allocations to health from general tax and additional dedicated taxes; an alternative reform option of extending private health insurance coverage to all formal sector workers and their dependents with the remainder using tax-funded services; and maintaining the status quo. Each scenario was modelled over a 15-year period using a spreadsheet model. Statistical analyses were also undertaken to evaluate the impact of options on the distribution of health care financing burden and benefits from using health services across socio-economic groups. Universal coverage would result in total health care spending levels equivalent to 8.6% of gross domestic product (GDP), which is comparable to current spending levels. It is lower than the status quo option (9.5% of GDP) and far lower than the option of expanding private insurance cover (over 13% of GDP). However, public funding of health services would have to increase substantially. Despite this, universal coverage would result in the most progressive financing system if the additional public funding requirements are generated through a surcharge on taxable income (but not if VAT is increased). The extended private insurance scheme option would be the least progressive and would impose a very high payment burden; total health care payments on average would be 10.7% of household consumption expenditure compared with the universal coverage (6.7%) and status quo (7.5%) options. The least pro-rich distribution of service benefits would be achieved under universal coverage. Universal coverage is affordable and would promote health system equity, but
Sheu, Mei-Ling; Hu, Teh-Wei; Keeler, Theodore E; Ong, Michael; Sung, Hai-Yen
2004-08-01
The objective of this paper is to determine the price sensitivity of smokers in their consumption of cigarettes, using evidence from a major increase in California cigarette prices due to Proposition 10 and the Tobacco Settlement. The study sample consists of individual survey data from Behavioral Risk Factor Survey (BRFS) and price data from the Bureau of Labor Statistics between 1996 and 1999. A zero-inflated negative binomial (ZINB) regression model was applied for the statistical analysis. The statistical model showed that price did not have an effect on reducing the estimated prevalence of smoking. However, it indicated that among smokers the price elasticity was at the level of -0.46 and statistically significant. Since smoking prevalence is significantly lower than it was a decade ago, price increases are becoming less effective as an inducement for hard-core smokers to quit, although they may respond by decreasing consumption. For those who only smoke occasionally (many of them being young adults) price increases alone may not be an effective inducement to quit smoking. Additional underlying behavioral factors need to be identified so that more effective anti-smoking strategies can be developed.
A real options approach to clinical faculty salary structure.
Kahn, Marc J; Long, Hugh W
2012-01-01
One can use the option theory model originally developed to price financial opportunities in security markets to analyze many other economic arrangements such as the salary structures of clinical faculty in an academic medical center practice plan. If one views the underlying asset to be the portion (labeled "salary") of the economic value of the collections made for the care provided patients by the physician, then a salary guarantee can be considered a put option provided the physician, the guarantee having value to the physician only when the actual salary earned is less than the salary guarantee. Similarly, within an incentive plan, a salary cap can be thought of as a call option provided to the practice plan since a salary cap only has value to the practice plan when a physician's earnings exceed the cap. Further, based on analysis of prior earnings, the Black-Scholes options pricing model can be used both to price each option and to determine a financially neutral balance between a salary guarantee and a salary cap by equating the prices of the implied put and call options. We suggest that such analysis is superior to empirical methods for setting clinical faculty salary structure in the academic practice plan setting.
NASA Astrophysics Data System (ADS)
Li, Rui; Wang, Jun
2016-01-01
A financial price model is developed based on the voter interacting system in this work. The Lempel-Ziv complexity is introduced to analyze the complex behaviors of the stock market. Some stock market stylized facts including fat tails, absence of autocorrelation and volatility clustering are investigated for the proposed price model firstly. Then the complexity of fluctuation behaviors of the real stock markets and the proposed price model are mainly explored by Lempel-Ziv complexity (LZC) analysis and multi-scale weighted-permutation entropy (MWPE) analysis. A series of LZC analyses of the returns and the absolute returns of daily closing prices and moving average prices are performed. Moreover, the complexity of the returns, the absolute returns and their corresponding intrinsic mode functions (IMFs) derived from the empirical mode decomposition (EMD) with MWPE is also investigated. The numerical empirical study shows similar statistical and complex behaviors between the proposed price model and the real stock markets, which exhibits that the proposed model is feasible to some extent.
Green, D.J.
1984-04-01
A small scale model of natural gas markets explains regulated gas prices using past changes in residual fuel oil prices. The study examines three different accelerated, complete wellhead gas decontrol scenarios to find the impact of current law, immediate decontrol, and accelerated decontrol. It finds that accelerated decontrol simply shifts price increases forward with minor impact, while the revenue transfers are fairly substantial. A windfall profits tax could capture much of this transfer, but the revenues from such a tax would decrease sharply by the end of the period. 23 references, 4 figures, 8 tables.
Neural Models: An Option to Estimate Seismic Parameters of Accelerograms
NASA Astrophysics Data System (ADS)
Alcántara, L.; García, S.; Ovando-Shelley, E.; Macías, M. A.
2014-12-01
Seismic instrumentation for recording strong earthquakes, in Mexico, goes back to the 60´s due the activities carried out by the Institute of Engineering at Universidad Nacional Autónoma de México. However, it was after the big earthquake of September 19, 1985 (M=8.1) when the project of seismic instrumentation assumes a great importance. Currently, strong ground motion networks have been installed for monitoring seismic activity mainly along the Mexican subduction zone and in Mexico City. Nevertheless, there are other major regions and cities that can be affected by strong earthquakes and have not yet begun their seismic instrumentation program or this is still in development.Because of described situation some relevant earthquakes (e.g. Huajuapan de León Oct 24, 1980 M=7.1, Tehuacán Jun 15, 1999 M=7 and Puerto Escondido Sep 30, 1999 M= 7.5) have not been registered properly in some cities, like Puebla and Oaxaca, and that were damaged during those earthquakes. Fortunately, the good maintenance work carried out in the seismic network has permitted the recording of an important number of small events in those cities. So in this research we present a methodology based on the use of neural networks to estimate significant duration and in some cases the response spectra for those seismic events. The neural model developed predicts significant duration in terms of magnitude, epicenter distance, focal depth and soil characterization. Additionally, for response spectra we used a vector of spectral accelerations. For training the model we selected a set of accelerogram records obtained from the small events recorded in the strong motion instruments installed in the cities of Puebla and Oaxaca. The final results show that neural networks as a soft computing tool that use a multi-layer feed-forward architecture provide good estimations of the target parameters and they also have a good predictive capacity to estimate strong ground motion duration and response spectra.
A dual theory of price and value in a meso-scale economic model with stochastic profit rate
NASA Astrophysics Data System (ADS)
Greenblatt, R. E.
2014-12-01
The problem of commodity price determination in a market-based, capitalist economy has a long and contentious history. Neoclassical microeconomic theories are based typically on marginal utility assumptions, while classical macroeconomic theories tend to be value-based. In the current work, I study a simplified meso-scale model of a commodity capitalist economy. The production/exchange model is represented by a network whose nodes are firms, workers, capitalists, and markets, and whose directed edges represent physical or monetary flows. A pair of multivariate linear equations with stochastic input parameters represent physical (supply/demand) and monetary (income/expense) balance. The input parameters yield a non-degenerate profit rate distribution across firms. Labor time and price are found to be eigenvector solutions to the respective balance equations. A simple relation is derived relating the expected value of commodity price to commodity labor content. Results of Monte Carlo simulations are consistent with the stochastic price/labor content relation.
The Pricing of Information--A Search-Based Approach to Pricing an Online Search Service.
ERIC Educational Resources Information Center
Boyle, Harry F.
1982-01-01
Describes innovative pricing structure consisting of low connect time fee, print fees, and search fees, offered by Chemical Abstracts Service (CAS) ONLINE--an online searching system used to locate chemical substances. Pricing options considered by CAS, the search-based pricing approach, and users' reactions to pricing structures are noted. (EJS)
NASA Astrophysics Data System (ADS)
Chen, Dar-Hsin; Chou, Heng-Chih; Wang, David; Zaabar, Rim
2011-06-01
Most empirical research of the path-dependent, exotic-option credit risk model focuses on developed markets. Taking Taiwan as an example, this study investigates the bankruptcy prediction performance of the path-dependent, barrier option model in the emerging market. We adopt Duan's (1994) [11], (2000) [12] transformed-data maximum likelihood estimation (MLE) method to directly estimate the unobserved model parameters, and compare the predictive ability of the barrier option model to the commonly adopted credit risk model, Merton's model. Our empirical findings show that the barrier option model is more powerful than Merton's model in predicting bankruptcy in the emerging market. Moreover, we find that the barrier option model predicts bankruptcy much better for highly-leveraged firms. Finally, our findings indicate that the prediction accuracy of the credit risk model can be improved by higher asset liquidity and greater financial transparency.
Stochastic modeling of economic injury levels with respect to yearly trends in price commodity.
Damos, Petros
2014-05-01
The economic injury level (EIL) concept integrates economics and biology and uses chemical applications in crop protection only when economic loss by pests is anticipated. The EIL is defined by five primary variables: the cost of management tactic per production unit, the price of commodity, the injury units per pest, the damage per unit injury, and the proportionate reduction of injury averted by the application of a tactic. The above variables are related according to the formula EIL = C/VIDK. The observable dynamic alteration of the EIL due to its different parameters is a major characteristic of its concept. In this study, the yearly effect of the economic variables is assessed, and in particular the influence of the parameter commodity value on the shape of the EIL function. In addition, to predict the effects of the economic variables on the EIL level, yearly commodity values were incorporated in the EIL formula and the generated outcomes were further modelled with stochastic linear autoregressive models having different orders. According to the AR(1) model, forecasts for the five-year period of 2010-2015 ranged from 2.33 to 2.41 specimens per sampling unit. These values represent a threshold that is in reasonable limits to justify future control actions. Management actions as related to productivity and price commodity significantly affect costs of crop production and thus define the adoption of IPM and sustainable crop production systems at local and international levels.
Stochastic Modeling of Economic Injury Levels with Respect to Yearly Trends in Price Commodity
2014-01-01
The economic injury level (EIL) concept integrates economics and biology and uses chemical applications in crop protection only when economic loss by pests is anticipated. The EIL is defined by five primary variables: the cost of management tactic per production unit, the price of commodity, the injury units per pest, the damage per unit injury, and the proportionate reduction of injury averted by the application of a tactic. The above variables are related according to the formula EIL = C/VIDK. The observable dynamic alteration of the EIL due to its different parameters is a major characteristic of its concept. In this study, the yearly effect of the economic variables is assessed, and in particular the influence of the parameter commodity value on the shape of the EIL function. In addition, to predict the effects of the economic variables on the EIL level, yearly commodity values were incorporated in the EIL formula and the generated outcomes were further modelled with stochastic linear autoregressive models having different orders. According to the AR(1) model, forecasts for the five-year period of 2010–2015 ranged from 2.33 to 2.41 specimens per sampling unit. These values represent a threshold that is in reasonable limits to justify future control actions. Management actions as related to productivity and price commodity significantly affect costs of crop production and thus define the adoption of IPM and sustainable crop production systems at local and international levels. PMID:25373206
Agent-based models for latent liquidity and concave price impact.
Mastromatteo, Iacopo; Tóth, Bence; Bouchaud, Jean-Philippe
2014-04-01
We revisit the "ɛ-intelligence" model of Tóth et al. [Phys. Rev. X 1, 021006 (2011)], which was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the current price, as a consequence of the diffusion of the price itself. However, the numerical implementation of Tóth et al. (2011) was criticized as being unrealistic, in particular because all the "intelligence" was conferred to market orders, while limit orders were passive and random. In this work, we study various alternative specifications of the model, for example, allowing limit orders to react to the order flow or changing the execution protocols. By and large, our study lends strong support to the idea that the square-root impact law is a very generic and robust property that requires very few ingredients to be valid. We also show that the transition from superdiffusion to subdiffusion reported in Tóth et al. (2011) is in fact a crossover but that the original model can be slightly altered in order to give rise to a genuine phase transition, which is of interest on its own. We finally propose a general theoretical framework to understand how a nonlinear impact may appear even in the limit where the bias in the order flow is vanishingly small.
Exploring the WTI crude oil price bubble process using the Markov regime switching model
NASA Astrophysics Data System (ADS)
Zhang, Yue-Jun; Wang, Jing
2015-03-01
The sharp volatility of West Texas Intermediate (WTI) crude oil price in the past decade triggers us to investigate the price bubbles and their evolving process. Empirical results indicate that the fundamental price of WTI crude oil appears relatively more stable than that of the market-trading price, which verifies the existence of oil price bubbles during the sample period. Besides, by allowing the WTI crude oil price bubble process to switch between two states (regimes) according to a first-order Markov chain, we are able to statistically discriminate upheaval from stable states in the crude oil price bubble process; and in most of time, the stable state dominates the WTI crude oil price bubbles while the upheaval state usually proves short-lived and accompanies unexpected market events.
Operation of Distributed Generation Under Stochastic Prices
Siddiqui, Afzal S.; Marnay, Chris
2005-11-30
We model the operating decisions of a commercial enterprisethatneeds to satisfy its periodic electricity demand with either on-sitedistributed generation (DG) or purchases from the wholesale market. Whilethe former option involves electricity generation at relatively high andpossibly stochastic costs from a set of capacity-constrained DGtechnologies, the latter implies unlimited open-market transactions atstochastic prices. A stochastic dynamic programme (SDP) is used to solvethe resulting optimisation problem. By solving the SDP with and withoutthe availability of DG units, the implied option values of the DG unitsare obtained.
Incentives for new antibiotics: the Options Market for Antibiotics (OMA) model
2013-01-01
Background Antimicrobial resistance is a growing threat resulting from the convergence of biological, economic and political pressures. Investment in research and development of new antimicrobials has suffered secondary to these pressures, leading to an emerging crisis in antibiotic resistance. Methods Current policies to stimulate antibiotic development have proven inadequate to overcome market failures. Therefore innovative ideas utilizing market forces are necessary to stimulate new investment efforts. Employing the benefits of both the previously described Advanced Market Commitment and a refined Call Options for Vaccines model, we describe herein a novel incentive mechanism, the Options Market for Antibiotics. Results This model applies the benefits of a financial call option to the investment in and purchase of new antibiotics. The goal of this new model is to provide an effective mechanism for early investment and risk sharing while maintaining a credible purchase commitment and incentives for companies to ultimately bring new antibiotics to market. Conclusions We believe that the Options Market for Antibiotics (OMA) may help to overcome some of the traditional market failures associated with the development of new antibiotics. Additional work must be done to develop a more robust mathematical model to pave the way for practical implementation. PMID:24199835
Implementation of power barrier option valuation
NASA Astrophysics Data System (ADS)
Cahyani, Agatha C. P.; Sumarti, Novriana
2015-09-01
Options are financial instruments that can be utilized to reduce risk in stock investment. Barrier options are one of the major types of options actively used in financial markets where its life period depends on the path of the underlying stock prices. The features of the barrier option can be used to modify other types of options. In this research, the barrier option will be implemented into power option, so it is called power barrier option. This option is an extension of the vanilla barrier options where the Call payoff being considered is defined as P C =max (STβ-Kβ,0 ) , and the Put payoff being considered is defined as P P =max (Kβ-STβ,0 ) . Here β > 0 and β ≠ 1, K is the strike price of the option, and ST is the price of the underlying stock at time maturity T. In this paper, we generate the prices of stock using binomial method which is adjusted to the power option. In the conclusion, the price of American power barrier option is more expensive than the price of European power barrier option.
Katikireddi, Srinivasa Vittal; Hilton, Shona; Bond, Lyndal
2016-11-01
The minimum unit pricing (MUP) alcohol policy debate has been informed by the Sheffield model, a study which predicts impacts of different alcohol pricing policies. This paper explores the Sheffield model's influences on the policy debate by drawing on 36 semi-structured interviews with policy actors who were involved in the policy debate. Although commissioned by policy makers, the model's influence has been far broader than suggested by views of 'rational' policy making. While findings from the Sheffield model have been used in instrumental ways, they have arguably been more important in helping debate competing values underpinning policy goals.
NASA Astrophysics Data System (ADS)
Abdullah, Mimi Hafizah; Harun, Hanani Farhah
2014-10-01
Volatility implied by an option pricing model is seen as the market participants' assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis.
2014-03-01
method to the numerical solution of nonlinear and variable coefficient wave equations ,” SIAM, vol. 15, no. 2, pp. 423, Apr. 1973. [3] D. Lee and S. T...DIFFERENT IMPLEMENTATION OPTIONS FOR DENSITY DISCONTINUITY IN SPLIT– STEP FOURIER PARABOLIC EQUATION MODELS by Matthew D. Owens March 2014...FOR DENSITY DISCONTINUITY IN SPLIT–STEP FOURIER PARABOLIC EQUATION MODELS 5. FUNDING NUMBERS 6. AUTHOR(S) Matthew D. Owens 7. PERFORMING
Heterogeneity in hedonic modelling of house prices: looking at buyers' household profiles
NASA Astrophysics Data System (ADS)
Kestens, Yan; Thériault, Marius; Des Rosiers, François
2006-03-01
This paper introduces household-level data into hedonic models in order to measure the heterogeneity of implicit prices regarding household type, age, educational attainment, income, and the previous tenure status of the buyers. Two methods are used for this purpose: a first series of models uses expansion terms, whereas a second series applies Geographically Weighted Regressions. Both methods yield conclusive results, showing that the marginal value given to certain property specifics and location attributes do vary regarding the characteristics of the buyer’s household. Particularly, major findings concern the significant effect of income on the location rent as well as the premium paid by highly-educated households in order to fulfil social homogeneity.
On the choice of GARCH parameters for efficient modelling of real stock price dynamics
NASA Astrophysics Data System (ADS)
Pokhilchuk, K. A.; Savel'ev, S. E.
2016-04-01
We propose two different methods for optimal choice of GARCH(1,1) parameters for the efficient modelling of stock prices by using a particular return series. Using (as an example) stock return data for Intel Corporation, we vary parameters to fit the average volatility as well as fourth (linked to kurtosis of data) and eighth statistical moments and observe pure convergence of our simulated eighth moment to the stock data. Results indicate that fitting higher-order moments of a return series might not be an optimal approach for choosing GARCH parameters. In contrast, the simulated exponent of the Fourier spectrum decay is much less noisy and can easily fit the corresponding decay of the empirical Fourier spectrum of the used return series of Intel stock, allowing us to efficiently define all GARCH parameters. We compare the estimates of GARCH parameters obtained by fitting price data Fourier spectra with the ones obtained from standard software packages and conclude that the obtained estimates here are deeper in the stability region of parameters. Thus, the proposed method of using Fourier spectra of stock data to estimate GARCH parameters results in a more robust and stable stochastic process but with a shorter characteristic autocovariance time.
NASA Astrophysics Data System (ADS)
Choustova, Olga
2008-01-01
We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Through comparing properties of trajectories we come to the conclusion that the only possibility to proceed with real financial data is to apply the stochastic version of the pilot wave theory—the model of Bohm Vigier.
NASA Astrophysics Data System (ADS)
Yang, Z.; Niu, G.; Jiang, X.
2009-12-01
In this paper we develop a single integrated mesoscale meteorological modeling framework that intimately couples a land surface model and an atmospheric model, both of which are equipped with multi-parameterization options. This framework should enable process-based ensemble weather predictions, identification of optimal combinations of process parameterization schemes, identification of critical processes controlling the coupling strength between the land surface and the atmosphere, and quantification of uncertainties in using regional meteorological models to extract high-resolution climate information for policy decision making. We build on the existing Weather, Research and Forecasting (WRF) atmospheric model, which already has multiple parameterization options for atmospheric processes such as convection, radiation, planetary boundary layer, and microphysics. One of our key model development efforts is to couple the WRF model with our newly developed, ensemble representation of the land surface, i.e., the Noah land surface model that was first enhanced with biophysical and hydrological realism and then equipped with multi-parameterization options (Noah-MP) for a wide spectrum of physical and ecological processes. The Noah-MP LSM is capable of generating thousands of process-based combinations of land surface parameterization schemes as opposed to the traditional approach (e.g. BATS, SiB or VIC) that utilizes only a single combination. Offline Noah-MP tests show a great potential of the model in ensemble hydrological predictions. We perform an analysis of the sensitivity to different parameterizations over the conterminous United States using the single integrated mesoscale modeling framework described above. To prove the concept, we present an ensemble of multi-day integrations using the model at 30-km resolution with varying physical representations for both the land surface (runoff process) and the atmosphere (convective process). The lateral boundary
NASA Astrophysics Data System (ADS)
Vicente, Renato; de Toledo, Charles M.; Leite, Vitor B. P.; Caticha, Nestor
2006-02-01
We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics.
Agent-based models for latent liquidity and concave price impact
NASA Astrophysics Data System (ADS)
Mastromatteo, Iacopo; Tóth, Bence; Bouchaud, Jean-Philippe
2014-04-01
We revisit the "ɛ-intelligence" model of Tóth et al. [Phys. Rev. X 1, 021006 (2011), 10.1103/PhysRevX.1.021006], which was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the current price, as a consequence of the diffusion of the price itself. However, the numerical implementation of Tóth et al. (2011) was criticized as being unrealistic, in particular because all the "intelligence" was conferred to market orders, while limit orders were passive and random. In this work, we study various alternative specifications of the model, for example, allowing limit orders to react to the order flow or changing the execution protocols. By and large, our study lends strong support to the idea that the square-root impact law is a very generic and robust property that requires very few ingredients to be valid. We also show that the transition from superdiffusion to subdiffusion reported in Tóth et al. (2011) is in fact a crossover but that the original model can be slightly altered in order to give rise to a genuine phase transition, which is of interest on its own. We finally propose a general theoretical framework to understand how a nonlinear impact may appear even in the limit where the bias in the order flow is vanishingly small.
Katikireddi, Srinivasa Vittal; Hilton, Shona; Bond, Lyndal
2017-01-01
The minimum unit pricing (MUP) alcohol policy debate has been informed by the Sheffield model, a study which predicts impacts of different alcohol pricing policies. This paper explores the Sheffield model’s influences on the policy debate by drawing on 36 semi-structured interviews with policy actors who were involved in the policy debate. Although commissioned by policy makers, the model’s influence has been far broader than suggested by views of ‘rational’ policy making. While findings from the Sheffield model have been used in instrumental ways, they have arguably been more important in helping debate competing values underpinning policy goals. PMID:28111593
A quantum mechanical model for the relationship between stock price and stock ownership
Cotfas, Liviu-Adrian
2012-11-01
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is, only in the case when the owner is unknown. We show that the stock price can be better described by a function indicating at any moment of time the probabilities for the possible values of price if a transaction takes place. This more general description contains partial information on the stock price, but it also contains partial information on the stock owner. By following the analogy with quantum mechanics, we assume that the time evolution of the function describing the stock price can be described by a Schroedinger type equation.
A quantum mechanical model for the relationship between stock price and stock ownership
NASA Astrophysics Data System (ADS)
Cotfas, Liviu-Adrian
2012-11-01
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is, only in the case when the owner is unknown. We show that the stock price can be better described by a function indicating at any moment of time the probabilities for the possible values of price if a transaction takes place. This more general description contains partial information on the stock price, but it also contains partial information on the stock owner. By following the analogy with quantum mechanics, we assume that the time evolution of the function describing the stock price can be described by a Schrödinger type equation.
Mathieu, Johanna L.; Callaway, Duncan S.; Kiliccote, Sila
2011-08-15
Controlling electric loads to deliver power system services presents a number of interesting challenges. For example, changes in electricity consumption of Commercial and Industrial (C&I) facilities are usually estimated using counterfactual baseline models, and model uncertainty makes it difficult to precisely quantify control responsiveness. Moreover, C&I facilities exhibit variability in their response. This paper seeks to understand baseline model error and demand-side variability in responses to open-loop control signals (i.e. dynamic prices). Using a regression-based baseline model, we define several Demand Response (DR) parameters, which characterize changes in electricity use on DR days, and then present a method for computing the error associated with DR parameter estimates. In addition to analyzing the magnitude of DR parameter error, we develop a metric to determine how much observed DR parameter variability is attributable to real event-to-event variability versus simply baseline model error. Using data from 38 C&I facilities that participated in an automated DR program in California, we find that DR parameter errors are large. For most facilities, observed DR parameter variability is likely explained by baseline model error, not real DR parameter variability; however, a number of facilities exhibit real DR parameter variability. In some cases, the aggregate population of C&I facilities exhibits real DR parameter variability, resulting in implications for the system operator with respect to both resource planning and system stability.
Schädler, S; Morio, M; Bartke, S; Rohr-Zänker, R; Finkel, M
2011-03-01
We describe the development of an integrated assessment model which evaluates redevelopment options of large contaminated brownfields and we present the application of the model in a case study. Aiming to support efficient and sustainable revitalization and communication between stakeholders, the presented assessment model integrates three pinnacles of brownfield revitalization: (i) subsurface remediation and site preparation costs, (ii) market-oriented economic appraisal, and (iii) the expected contribution of planned future land use to sustainable community and regional development. For the assessment, focus is set on the early stage of the brownfield redevelopment process, which is characterized by limited data availability and by flexibility in land use planning and development scope. At this stage, revealing the consequences of adjustments and alterations in planning options can foster efficiency in communication between the involved parties and thereby facilitates the brownfield revitalization process. Results from the case-study application indicate that the integrated assessment provides help in the identification of land use options beneficial in both a sustainable and an economical sense. For the study site it is shown on one hand that brownfield redevelopment is not automatically in line with sustainable regional development, and on the other hand it is demonstrated that additional contributions to sustainability are not intrinsically tied to increased costs.
NASA Astrophysics Data System (ADS)
Mínguez, Román; Montero, José-María; Fernández-Avilés, Gema
2013-04-01
Much work has been done in the context of the hedonic price theory to estimate the impact of air quality on housing prices. Research has employed objective measures of air quality, but only slightly confirms the hedonic theory in the best of cases: the implicit price function relating housing prices to air pollution will, ceteris paribus, be negatively sloped. This paper compares the performance of a spatial Durbin model when using both objective and subjective measures of pollution. On the one hand, we design an Air Pollution Indicator based on measured pollution as the objective measure of pollution. On the other hand, the subjective measure of pollution employed to characterize neighborhoods is the percentage of residents who declare that the neighborhood has serious pollution problems, the percentage being referred to as residents' perception of pollution. For comparison purposes, the empirical part of this research focuses on Madrid (Spain). The study employs a proprietary database containing information about the price and 27 characteristics of 11,796 owner-occupied single family homes. As far as the authors are aware, it is the largest database ever used to analyze the Madrid housing market. The results of the study clearly favor the use of subjective air quality measures.
Golden, Shelley D; Farrelly, Matthew C; Luke, Douglas A; Ribisl, Kurt M
2016-01-01
Background About half of all US states have cigarette minimum price laws (MPLs) that require a per cent mark-up on prices, but research suggests they may not be very effective in raising prices. An alternative type of MPL sets a floor price below which packs cannot be sold, and may be more promising. This new type of MPL policy has only been implemented in 1 city, therefore its benefits relative to excise taxes is difficult to assess. Methods We constructed a set of possible state floor price MPL options, and matched them to possible state excise tax hikes designed to produce similar average price increases. Using self-reported price and cigarette consumption data from 23 521 participants in the 2010–2011 Tobacco Use Supplement of the Current Population Survey, we projected changes in pack prices and cigarette consumption following implementation of each paired MPL and tax option, for lower and higher income groups. Results We project that state MPLs set at the average reported pack price would raise prices by $0.33 and reduce cigarette consumption by about 4%; a tax with a similar average price effect would reduce consumption by 2.3%. MPLs and taxes that raise average prices by more than $2.00 would reduce consumption by 15.9% and 13.5%, respectively. In all models, we project that MPLs will reduce income-based smoking disparities more than their comparable excise taxes. Conclusions Floor price cigarette MPLs set at or above what consumers currently report paying could reduce both tobacco use and socioeconomic disparities in smoking. PMID:27697949
Multifractal analysis of implied volatility in index options
NASA Astrophysics Data System (ADS)
Oh, GabJin
2014-06-01
In this paper, we analyze the statistical and the non-linear properties of the log-variations in implied volatility for the CAC40, DAX and S& P500 daily index options. The price of an index option is generally represented by its implied volatility surface, including its smile and skew properties. We utilize a Lévy process model as the underlying asset to deepen our understanding of the intrinsic property of the implied volatility in the index options and estimate the implied volatility surface. We find that the options pricing models with the exponential Lévy model can reproduce the smile or sneer features of the implied volatility that are observed in real options markets. We study the variation in the implied volatility for at-the-money index call and put options, and we find that the distribution function follows a power-law distribution with an exponent of 3.5 ≤ γ ≤ 4.5. Especially, the variation in the implied volatility exhibits multifractal spectral characteristics, and the global financial crisis has influenced the complexity of the option markets.
Animal Models of Secondary Lymphedema: New Approaches in the Search for Therapeutic Options.
Hadrian, Rebecca; Palmes, Daniel
2017-03-01
Secondary lymphedema is still a worldwide problem. Symptomatic approaches to lymphedema therapy have been mainly used, with complete decongestive therapy as the cornerstone. Due to a lack of regenerative therapy, researchers have established various animal models to obtain insights into pathomechanisms and to reveal the best therapeutic option. Since the first reproducible and reliable animal model of lymphedema was reported in dogs, the technique of circumferential excision of lymphatic tissue has been translated mainly to rodents to induce secondary lymphedema. In these models, various promising pharmacological and surgical approaches have been investigated to improve secondary lymphedema therapy. Imaging modalities are crucial to detect the extent of lymphatic dysfunction and decide the best therapy. The gold standard of lymphoscintigraphy is currently limited by poor spatial resolution and lack of quantification. Animal models could help to bridge a gap in improving morphological correlation and quantifying lymphatic functionality. This review summarizes the animal models used in lymphatic research and focuses on new therapeutic options and requirements for imaging modalities to visualize the lymphatic system.
Facing Price Risks in Internet-of-Services Markets
NASA Astrophysics Data System (ADS)
Matros, Raimund; Streitberger, Werner; Koenig, Stefan; Eymann, Torsten
Internet-of-Services markets allow companies to procure computational resources and application services externally and thus to save both internal capital expenditures and operational costs. Despite the advantages of this new paradigm only few work has been done in the field of risk management concerning Internet-of-Services markets. We simulate such a market using a Grid simulator. The results show that market participants are exposed to price risk. Based on our results we identify and assess technical failures which could lead to loss on service consumer's side. We also show that technical failures influence service prices which lead to volatile prices. Both, service provider and service consumer are exposed to this uncertainty and need a way to face it. Therefore we apply a financial option model to overcome price risk.
Price elasticity and pharmaceutical selection: the influence of managed care.
Domino, Marisa Elena; Salkever, David S
2003-07-01
State Medicaid programs are turning increasingly to managed care to control expenditures, although the types of managed care programs in use have changed dramatically. Little is known about the influence of the shifting Medicaid managed care arena on treatment decisions. This paper investigates factors affecting the selection of treatments for depression by providers participating in either of two Medicaid managed care programs. Of particular interest is the influence of medication price on the choice of treatment, since one vehicle through which managed care organizations can reduce total expenditures is by increasing the price sensitivity of participating providers. We take a new approach by phrasing the problem as a discrete choice, using a nested multinomial logit model for the analyses. Contrary to earlier literature, we find some evidence that physicians in both programs do take price into consideration when selecting among treatment options. HMO providers in particular demonstrate increased price sensitivity in the two most commonly prescribed categories of antidepressants.
Modeling HIV/AIDS Drug Price Determinants in Brazil: Is Generic Competition a Myth?
Meiners, Constance; Sagaon-Teyssier, Luis; Hasenclever, Lia; Moatti, Jean-Paul
2011-01-01
Background Brazil became the first developing country to guarantee free and universal access to HIV/AIDS treatment, with antiretroviral drugs (ARVs) being delivered to nearly 190,000 patients. The analysis of ARV price evolution and market dynamics in Brazil can help anticipate issues soon to afflict other developing countries, as the 2010 revision of the World Health Organization guidelines shifts demand towards more expensive treatments, and, at the same time, current evolution of international legislation and trade agreements on intellectual property rights may reduce availability of generic drugs for HIV care. Methods and Findings Our analyses are based on effective prices paid for ARV procurement in Brazil between 1996 and 2009. Data panel structure was exploited to gather ex-ante and ex-post information and address various sources of statistical bias. In-difference estimation offered in-depth information on ARV market characteristics which significantly influence prices. Although overall ARV prices follow a declining trend, changing characteristics in the generic segment help explain recent increase in generic ARV prices. Our results show that generic suppliers are more likely to respond to factors influencing demand size and market competition, while originator suppliers tend to set prices strategically to offset compulsory licensing threats and generic competition. Significance In order to guarantee the long term sustainability of access to antiretroviral treatment, our findings highlight the importance of preserving and stimulating generic market dynamics to sustain developing countries' bargaining power in price negotiations undertaken with originator companies. PMID:21858138
Options of system integrated environment modelling in the predicated dynamic cyberspace
Janková, Martina; Dvořák, Jiří
2015-03-10
In this article there are briefly mentioned some selected options of contemporary conception of cybernetic system models in the corresponding and possible integratable environment with modern system dynamics thinking and all this in the cyberspace of possible projecting of predicted system characteristics. The key to new capabilities of system integration modelling in the considered cyberspace is mainly the ability to improve the environment and the system integration options, all this with the aim of modern control in the hierarchically arranged dynamic cyberspace, e.g. in the currently desired electronic business with information. The aim of this article is to assess generally the trends in the use of modern modelling methods considering the cybernetics applications verified in practice, modern concept of project management and also the potential integration of artificial intelligence in the new projecting and project management of integratable and intelligent models, e.g. with the optimal structures and adaptable behaviour.The article results from the solution of a specific research partial task at the faculty; especially the moments proving that the new economics will be based more and more on information, knowledge system defined cyberspace of modern management, are stressed in the text.
The future flight deck: Modelling dual, single and distributed crewing options.
Stanton, Neville A; Harris, Don; Starr, Alison
2016-03-01
It is argued that the barrier to single pilot operation is not the technology, but the failure to consider the whole socio-technical system. To better understand the socio-technical system we model alternative single pilot operations using Cognitive Work Analysis (CWA) and analyse those models using Social Network Analysis (SNA). Four potential models of single pilot operations were compared to existing two pilot operations. Using SOCA-CAT from CWA, we were able to identify the potential functional loading and interactions between networks of agents. The interactions formed the basis on the SNA. These analyses potentially form the basis for distributed system architecture for the operation of a future aircraft. The findings from the models suggest that distributed crewing option could be at least as resilient, in network architecture terms, as the current dual crewing operations.
Impact of energy prices on agricultural and energy markets: an integrated modeling approach
The accelerated growth in biofuels markets has both created and reinforced linkages between agricultural and energy markets. This study investigates the dynamics in biofuel and agricultural markets under alternative price scenarios for both crude oil and natural gas. Two energy ...
Can hydro-economic river basin models simulate water shadow prices under asymmetric access?
Kuhn, A; Britz, W
2012-01-01
Hydro-economic river basin models (HERBM) based on mathematical programming are conventionally formulated as explicit 'aggregate optimization' problems with a single, aggregate objective function. Often unintended, this format implicitly assumes that decisions on water allocation are made via central planning or functioning markets such as to maximize social welfare. In the absence of perfect water markets, however, individually optimal decisions by water users will differ from the social optimum. Classical aggregate HERBMs cannot simulate that situation and thus might be unable to describe existing institutions governing access to water and might produce biased results for alternative ones. We propose a new solution format for HERBMs, based on the format of the mixed complementarity problem (MCP), where modified shadow price relations express spatial externalities resulting from asymmetric access to water use. This new problem format, as opposed to commonly used linear (LP) or non-linear programming (NLP) approaches, enables the simultaneous simulation of numerous 'independent optimization' decisions by multiple water users while maintaining physical interdependences based on water use and flow in the river basin. We show that the alternative problem format allows the formulation HERBMs that yield more realistic results when comparing different water management institutions.
Predicting inter-season price jumps in the market for temporary water allocations
NASA Astrophysics Data System (ADS)
Plummer, Jonathan; Schreider, Sergei
2015-06-01
The market for temporary water allocations in the Northern Victoria Regulated river system has matured to the point where new instruments to manage risk can be of benefit to water users. One of these instruments could be a series of option contracts issued by the Water Authority. However a serious impediment to the introduction of options is the variation in prices across seasons. Prices jump between the end of one season and the beginning of the next mean that appropriate option strike prices cannot be determined until a period of trading in the new season allows price discovery to take place. This prevents an options market being available at the beginning of the season when it is most useful to irrigators. In this paper we look at winter rainfall for the town of Jamieson, upstream of Lake Eildon and the volume of water in Lake Eildon as predictors of the price of temporary water allocations at the beginning of the irrigation season. We develop a climate driven regression model which allows us to link the inter-seasonal jumps with the biophysical parameters of the system. By better understanding the factors dictating the size of the price jumps between seasons options can be developed that are not restricted to the current season. We also consider the implications of the infrastructure upgrades currently underway and recent policy changes on the market for temporary water allocations. The carryover policy which allows water to be kept for use in subsequent seasons, and the reserve policy, which is designed to allow the delivery of initial allocations and water carried over at the start of the irrigation season each year, are two recent policy innovations. These policies should smooth prices and reduce the jump in prices that have been seen between irrigation seasons.
Modeling of NOx Destruction Options for INEEL Sodium-Bearing Waste Vitrification
Wood, Richard Arthur
2001-09-01
Off-gas NOx concentrations in the range of 1-5 mol% are expected as a result of the proposed vitrification of sodium-bearing waste at the Idaho National Engineering and Environmental Laboratory. An existing kinetic model for staged combustion (originally developed for NOx abatement from the calcination process) was updated for application to vitrification offgas. In addition, two new kinetic models were developed to assess the feasibility of using selective non-catalytic reduction (SNCR) or high-temperature alone for NOx abatement. Each of the models was developed using the Chemkin code. Results indicate that SNCR is a viable option, reducing NOx levels to below 1000 ppmv. In addition, SNCR may be capable of simultaneously reducing CO emissions to below 100 ppmv. Results for using high-temperature alone were not as promising, indicating that a minimum NOx concentration of 3950 ppmv is achievable at 3344°F.
Construction of Discrete Time Shadow Price
Rogala, Tomasz Stettner, Lukasz
2015-12-15
In the paper expected utility from consumption over finite time horizon for discrete time markets with bid and ask prices and strictly concave utility function is considered. The notion of weak shadow price, i.e. an illiquid price, depending on the portfolio, under which the model without bid and ask price is equivalent to the model with bid and ask price is introduced. Existence and the form of weak shadow price is shown. Using weak shadow price usual (called in the paper strong) shadow price is then constructed.
Jager, Yetta; Bevelhimer, Mark S; Chandler, James A.; Lepla, Ken B.; Van Winkle, Webb
2007-01-01
Abstract.- This paper describes a simulation study of reconnection options for white sturgeon Acipenser transmontanus subpopulations in adjacent river segments above and below CJ Strike Dam on the Snake River, Idaho, USA. In contrast to the downstream river segment, the upstream river segment is long and has areas that are suitable for spawning during normal and wet hydrologic conditions. We evaluated demographic and genetic consequences of upstream and downstream passage using different model assumptions about trashrack spacing and density dependent effects on the spawning interval. Our genetic results predict that, although reconnection would introduce new alleles to the upstream subpopulation, it would also preserve alleles from the downstream subpopulation by propagating them in the larger subpopulation above the dam. Our demographic results predict that halving the space between trashracks would have large and unequivocal benefits, whereas the effects of reconnection would be smaller and more sensitive to model assumptions. Simulated upstream passage tended to benefit both subpopulations only in the absence of density dependent limitation. In the presence of density dependence, the combination of halved trashrack spacing and upstream and downstream passage produced the best results. Narrower trashracks kept spawning adults in the upstream segment with spawning habitat, while allowing their progeny to migrate downstream. Screening appears to be the best option for such a species in this configuration of a long river segment acting as a demographic source above a short one acting as a demographic sink.
Valuation of exotic options in the framework of Levy processes
NASA Astrophysics Data System (ADS)
Milev, Mariyan; Georgieva, Svetla; Markovska, Veneta
2013-12-01
In this paper we explore a straightforward procedure to price derivatives by using the Monte Carlo approach when the underlying process is a jump-diffusion. We have compared the Black-Scholes model with one of its extensions that is the Merton model. The latter model is better in capturing the market's phenomena and is comparative to stochastic volatility models in terms of pricing accuracy. We have presented simulations of asset paths and pricing of barrier options for both Geometric Brownian motion and exponential Levy processes as it is the concrete case of the Merton model. A desired level of accuracy is obtained with simple computer operations in MATLAB for efficient computational time.
13 CFR 124.514 - Exercise of 8(a) options and modifications.
Code of Federal Regulations, 2010 CFR
2010-01-01
... Participants. (b) Priced options. The procuring activity contracting officer may exercise a priced option to an... 13 Business Credit and Assistance 1 2010-01-01 2010-01-01 false Exercise of 8(a) options and... Contractual Assistance § 124.514 Exercise of 8(a) options and modifications. (a) Unpriced options....
Modelling mitigation options to reduce diffuse nitrogen water pollution from agriculture.
Bouraoui, Fayçal; Grizzetti, Bruna
2014-01-15
Agriculture is responsible for large scale water quality degradation and is estimated to contribute around 55% of the nitrogen entering the European Seas. The key policy instrument for protecting inland, transitional and coastal water resources is the Water Framework Directive (WFD). Reducing nutrient losses from agriculture is crucial to the successful implementation of the WFD. There are several mitigation measures that can be implemented to reduce nitrogen losses from agricultural areas to surface and ground waters. For the selection of appropriate measures, models are useful for quantifying the expected impacts and the associated costs. In this article we review some of the models used in Europe to assess the effectiveness of nitrogen mitigation measures, ranging from fertilizer management to the construction of riparian areas and wetlands. We highlight how the complexity of models is correlated with the type of scenarios that can be tested, with conceptual models mostly used to evaluate the impact of reduced fertilizer application, and the physically-based models used to evaluate the timing and location of mitigation options and the response times. We underline the importance of considering the lag time between the implementation of measures and effects on water quality. Models can be effective tools for targeting mitigation measures (identifying critical areas and timing), for evaluating their cost effectiveness, for taking into consideration pollution swapping and considering potential trade-offs in contrasting environmental objectives. Models are also useful for involving stakeholders during the development of catchments mitigation plans, increasing their acceptability.
Modeling of waiting times and price changes in currency exchange data
NASA Astrophysics Data System (ADS)
Repetowicz, Przemysław; Richmond, Peter
2004-11-01
A theory which describes the share price evolution at financial markets as a continuous-time random walk (Physica A 287 (2000) 468, Physica A 314 (2002) 749, Eur. Phys. J. B 27 (2002) 273, Physica A 376 (2000) 284) has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density function (pdf) φ(x,t) which uses the concept of a Lévy stable distribution is worked out. The theory is fitted to high-frequency US $/Japanese Yen exchange rate and low-frequency 19th century Irish stock data. The theory has been fitted both to price return and to waiting time data and the adherence to data, in terms of the χ2 test statistic, has been improved when compared to the old theory.
NASA Astrophysics Data System (ADS)
Avci, Mesut
A practical cost and energy efficient model predictive control (MPC) strategy is proposed for HVAC load control under dynamic real-time electricity pricing. The MPC strategy is built based on a proposed model that jointly minimizes the total energy consumption and hence, cost of electricity for the user, and the deviation of the inside temperature from the consumer's preference. An algorithm that assigns temperature set-points (reference temperatures) to price ranges based on the consumer's discomfort tolerance index is developed. A practical parameter prediction model is also designed for mapping between the HVAC load and the inside temperature. The prediction model and the produced temperature set-points are integrated as inputs into the MPC controller, which is then used to generate signal actions for the AC unit. To investigate and demonstrate the effectiveness of the proposed approach, a simulation based experimental analysis is presented using real-life pricing data. An actual prototype for the proposed HVAC load control strategy is then built and a series of prototype experiments are conducted similar to the simulation studies. The experiments reveal that the MPC strategy can lead to significant reductions in overall energy consumption and cost savings for the consumer. Results suggest that by providing an efficient response strategy for the consumers, the proposed MPC strategy can enable the utility providers to adopt efficient demand management policies using real-time pricing. Finally, a cost-benefit analysis is performed to display the economic feasibility of implementing such a controller as part of a building energy management system, and the payback period is identified considering cost of prototype build and cost savings to help the adoption of this controller in the building HVAC control industry.
Bounds for Asian basket options
NASA Astrophysics Data System (ADS)
Deelstra, Griselda; Diallo, Ibrahima; Vanmaele, Michèle
2008-09-01
In this paper we propose pricing bounds for European-style discrete arithmetic Asian basket options in a Black and Scholes framework. We start from methods used for basket options and Asian options. First, we use the general approach for deriving upper and lower bounds for stop-loss premia of sums of non-independent random variables as in Kaas et al. [Upper and lower bounds for sums of random variables, Insurance Math. Econom. 27 (2000) 151-168] or Dhaene et al. [The concept of comonotonicity in actuarial science and finance: theory, Insurance Math. Econom. 31(1) (2002) 3-33]. We generalize the methods in Deelstra et al. [Pricing of arithmetic basket options by conditioning, Insurance Math. Econom. 34 (2004) 55-57] and Vanmaele et al. [Bounds for the price of discrete sampled arithmetic Asian options, J. Comput. Appl. Math. 185(1) (2006) 51-90]. Afterwards we show how to derive an analytical closed-form expression for a lower bound in the non-comonotonic case. Finally, we derive upper bounds for Asian basket options by applying techniques as in Thompson [Fast narrow bounds on the value of Asian options, Working Paper, University of Cambridge, 1999] and Lord [Partially exact and bounded approximations for arithmetic Asian options, J. Comput. Finance 10 (2) (2006) 1-52]. Numerical results are included and on the basis of our numerical tests, we explain which method we recommend depending on moneyness and time-to-maturity.
48 CFR 517.202 - Use of options.
Code of Federal Regulations, 2010 CFR
2010-10-01
... initial contract will be used to evaluate the performance of an emerging small business. (3) Do not use an option if the market price is likely to change substantially and an economic price adjustment...
Price dynamics in political prediction markets
Majumder, Saikat Ray; Diermeier, Daniel; Rietz, Thomas A.; Amaral, Luís A. Nunes
2009-01-01
Prediction markets, in which contract prices are used to forecast future events, are increasingly applied to various domains ranging from political contests to scientific breakthroughs. However, the dynamics of such markets are not well understood. Here, we study the return dynamics of the oldest, most data-rich prediction markets, the Iowa Electronic Presidential Election “winner-takes-all” markets. As with other financial markets, we find uncorrelated returns, power-law decaying volatility correlations, and, usually, power-law decaying distributions of returns. However, unlike other financial markets, we find conditional diverging volatilities as the contract settlement date approaches. We propose a dynamic binary option model that captures all features of the empirical data and can potentially provide a tool with which one may extract true information events from a price time series. PMID:19155442
Anderson, D P; McMurtrie, P; Edge, K-A; Baxter, P W J; Byrom, A E
2016-12-01
Successful pest-mammal eradications from remote islands have resulted in important biodiversity benefits. Near-shore islands can also serve as refuges for native biota but require ongoing effort to maintain low-pest or pest-free status. Three management options are available in the presence of reinvasion risk: (1) control-to-zero density, in which immigration may occur but reinvaders are removed; (2) sustained population suppression (to relatively low numbers); or (3) no action. Biodiversity benefits can result from options one and two. The management challenge is to make evidence-based decisions on the selection of an appropriate objective and to identify a financially feasible control strategy that has a high probability of success. This requires understanding the pest species population dynamics and how it will respond to a range of potential management strategies, each with an associated financial cost. We developed a two-stage modeling approach that consisted of (1) Bayesian inferential modeling to estimate parameters for a model of pest population dynamics and control, and (2) a forward projection model to simulate a range of plausible management scenarios and quantify the probability of obtaining zero density within four years. We applied the model to an ongoing, six-year trapping program to control stoats (Mustela erminea) on Resolution Island, New Zealand. Zero density has not yet been achieved. Results demonstrate that management objectives were impeded by a combination of a highly fecund population, insufficient trap attractiveness, and a substantial proportion of the population that did not enter traps. Immigration is known to occur because the founding population arrived on the island by swimming from the mainland. However, immigration rate during this study was indistinguishable from zero. The forward projection modeling showed that control-to-zero density was feasible but required greater than a two-fold budget increase to intensify the trapping
Modelling Pasture-based Automatic Milking System Herds: Grazeable Forage Options
Islam, M. R.; Garcia, S. C.; Clark, C. E. F.; Kerrisk, K. L.
2015-01-01
One of the challenges to increase milk production in a large pasture-based herd with an automatic milking system (AMS) is to grow forages within a 1-km radius, as increases in walking distance increases milking interval and reduces yield. The main objective of this study was to explore sustainable forage option technologies that can supply high amount of grazeable forages for AMS herds using the Agricultural Production Systems Simulator (APSIM) model. Three different basic simulation scenarios (with irrigation) were carried out using forage crops (namely maize, soybean and sorghum) for the spring-summer period. Subsequent crops in the three scenarios were forage rape over-sown with ryegrass. Each individual simulation was run using actual climatic records for the period from 1900 to 2010. Simulated highest forage yields in maize, soybean and sorghum- (each followed by forage rape-ryegrass) based rotations were 28.2, 22.9, and 19.3 t dry matter/ha, respectively. The simulations suggested that the irrigation requirement could increase by up to 18%, 16%, and 17% respectively in those rotations in El-Niño years compared to neutral years. On the other hand, irrigation requirement could increase by up to 25%, 23%, and 32% in maize, soybean and sorghum based rotations in El-Nino years compared to La-Nina years. However, irrigation requirement could decrease by up to 8%, 7%, and 13% in maize, soybean and sorghum based rotations in La-Nina years compared to neutral years. The major implication of this study is that APSIM models have potentials in devising preferred forage options to maximise grazeable forage yield which may create the opportunity to grow more forage in small areas around the AMS which in turn will minimise walking distance and milking interval and thus increase milk production. Our analyses also suggest that simulation analysis may provide decision support during climatic uncertainty. PMID:25924963
Bolinger, Mark; Wiser, Ryan; Golove, William
2003-08-13
Against the backdrop of increasingly volatile natural gas prices, renewable energy resources, which by their nature are immune to natural gas fuel price risk, provide a real economic benefit. Unlike many contracts for natural gas-fired generation, renewable generation is typically sold under fixed-price contracts. Assuming that electricity consumers value long-term price stability, a utility or other retail electricity supplier that is looking to expand its resource portfolio (or a policymaker interested in evaluating different resource options) should therefore compare the cost of fixed-price renewable generation to the hedged or guaranteed cost of new natural gas-fired generation, rather than to projected costs based on uncertain gas price forecasts. To do otherwise would be to compare apples to oranges: by their nature, renewable resources carry no natural gas fuel price risk, and if the market values that attribute, then the most appropriate comparison is to the hedged cost of natural gas-fired generation. Nonetheless, utilities and others often compare the costs of renewable to gas-fired generation using as their fuel price input long-term gas price forecasts that are inherently uncertain, rather than long-term natural gas forward prices that can actually be locked in. This practice raises the critical question of how these two price streams compare. If they are similar, then one might conclude that forecast-based modeling and planning exercises are in fact approximating an apples-to-apples comparison, and no further consideration is necessary. If, however, natural gas forward prices systematically differ from price forecasts, then the use of such forecasts in planning and modeling exercises will yield results that are biased in favor of either renewable (if forwards < forecasts) or natural gas-fired generation (if forwards > forecasts). In this report we compare the cost of hedging natural gas price risk through traditional gas-based hedging instruments (e
Federal Register 2010, 2011, 2012, 2013, 2014
2010-11-16
... Proposed Rule Change Relating to Cash- Settled Foreign Currency Options With One-Cent Exercise Prices... cleared as securities options notwithstanding that they may have a nominal exercise price such as one cent... and cleared as securities options notwithstanding that they may have a nominal exercise price such...
For the last time: stock options are an expense.
Bodie, Zvi; Kaplan, Robert S; Merton, Robert C
2003-03-01
Should stock options be recorded as an expense on a company's income statement and balance sheet, or should they remain where they are, relegated to footnotes? The extraordinary boom in share prices during the Internet bubble made critics of option expensing look like spoilsports. But since the crash, the debate has returned with a vengeance. And no wonder: The authors believe the case for expensing options is overwhelming. In this article, Nobel Iaureate Robert Merton, one of the inventors of the Black-Scholes option-pricing model; his coauthor on the classic textbook Finance, Zvi Bodie; and Robert Kaplan, creator of the Balanced Scorecard, examine and dismiss the principal claims put forward by those who continue to oppose options expensing. They demonstrate that stock-option grants do indeed have real cash-flow implications that need to be reported. They show that effective ways certainly exist to quantify those implications. They detail the distortions that relegating stock-option accounting to footnotes creates. And they show why reporting option costs should in no way hamper young companies in their efforts to provide incentives. Options are indeed a powerful incentive, the authors agree, and failing to record a transaction that creates such powerful effects is economically indefensible. Worse, it encourages companies to favor options over alternative incentive systems. It is not the proper role of accounting standards, the authors argue, to distort executive and employee compensation by subsidizing one particular form of compensation and no other. Companies should choose compensation methods according to their economic benefits--not the way they are reported.
SimRNAweb: a web server for RNA 3D structure modeling with optional restraints.
Magnus, Marcin; Boniecki, Michał J; Dawson, Wayne; Bujnicki, Janusz M
2016-07-08
RNA function in many biological processes depends on the formation of three-dimensional (3D) structures. However, RNA structure is difficult to determine experimentally, which has prompted the development of predictive computational methods. Here, we introduce a user-friendly online interface for modeling RNA 3D structures using SimRNA, a method that uses a coarse-grained representation of RNA molecules, utilizes the Monte Carlo method to sample the conformational space, and relies on a statistical potential to describe the interactions in the folding process. SimRNAweb makes SimRNA accessible to users who do not normally use high performance computational facilities or are unfamiliar with using the command line tools. The simplest input consists of an RNA sequence to fold RNA de novo. Alternatively, a user can provide a 3D structure in the PDB format, for instance a preliminary model built with some other technique, to jump-start the modeling close to the expected final outcome. The user can optionally provide secondary structure and distance restraints, and can freeze a part of the starting 3D structure. SimRNAweb can be used to model single RNA sequences and RNA-RNA complexes (up to 52 chains). The webserver is available at http://genesilico.pl/SimRNAweb.
Code of Federal Regulations, 2012 CFR
2012-01-01
... (REGULATION V) Pt. 222, App. H Appendix H to Part 222—Appendix H—Model Forms for Risk-Based Pricing and Credit.... Corrections or updates to telephone numbers, mailing addresses, or Web site addresses that may change...
Flexibility and Project Value: Interactions and Multiple Real Options
NASA Astrophysics Data System (ADS)
Čulík, Miroslav
2010-06-01
This paper is focused on a project valuation with embedded portfolio of real options including their interactions. Valuation is based on the criterion of Net Present Value on the simulation basis. Portfolio includes selected types of European-type real options: option to expand, contract, abandon and temporarily shut down and restart a project. Due to the fact, that in reality most of the managerial flexibility takes the form of portfolio of real options, selected types of options are valued not only individually, but also in combination. The paper is structured as follows: first, diffusion models for forecasting of output prices and variable costs are derived. Second, project value is estimated on the assumption, that no real options are present. Next, project value is calculated with the presence of selected European-type options; these options and their impact on project value are valued first in isolation and consequently in different combinations. Moreover, intrinsic value evolution of given real options with respect to the time of exercising is analysed. In the end, results are presented graphically; selected statistics and risk measures (Value at Risk, Expected Shortfall) of the NPV's distributions are calculated and commented.
NASA Astrophysics Data System (ADS)
Canhanga, Betuel; Ni, Ying; Rančić, Milica; Malyarenko, Anatoliy; Silvestrov, Sergei
2017-01-01
After Black-Scholes proposed a model for pricing European Options in 1973, Cox, Ross and Rubinstein in 1979, and Heston in 1993, showed that the constant volatility assumption made by Black-Scholes was one of the main reasons for the model to be unable to capture some market details. Instead of constant volatilities, they introduced stochastic volatilities to the asset dynamic modeling. In 2009, Christoffersen empirically showed "why multifactor stochastic volatility models work so well". Four years later, Chiarella and Ziveyi solved the model proposed by Christoffersen. They considered an underlying asset whose price is governed by two factor stochastic volatilities of mean reversion type. Applying Fourier transforms, Laplace transforms and the method of characteristics they presented a semi-analytical formula to compute an approximate price for American options. The huge calculation involved in the Chiarella and Ziveyi approach motivated the authors of this paper in 2014 to investigate another methodology to compute European Option prices on a Christoffersen type model. Using the first and second order asymptotic expansion method we presented a closed form solution for European option, and provided experimental and numerical studies on investigating the accuracy of the approximation formulae given by the first order asymptotic expansion. In the present paper we will perform experimental and numerical studies for the second order asymptotic expansion and compare the obtained results with results presented by Chiarella and Ziveyi.
In Search of Ideal Information Pricing.
ERIC Educational Resources Information Center
Hawkins, Donald T.
1989-01-01
Reviews some of the models used for pricing online information services and discusses some of the implications of these pricing algorithms. Topics discussed include online versus print pricing; charges for the retrieval process; charges for the retrieved information; telecommunications charges; and the pricing policies of Chemical Abstracts…
Leopold, Christine; Mantel-Teeuwisse, Aukje Katja; Seyfang, Leonhard; Vogler, Sabine; de Joncheere, Kees; Laing, Richard Ogilvie; Leufkens, Hubert
2012-01-01
Objectives: This study aims to examine the impact of external price referencing (EPR) on on-patent medicine prices, adjusting for other factors that may affect price levels such as sales volume, exchange rates, gross domestic product (GDP) per capita, total pharmaceutical expenditure (TPE), and size of the pharmaceutical industry. Methods: Price data of 14 on-patent products, in 14 European countries in 2007 and 2008 were obtained from the Pharmaceutical Price Information Service of the Austrian Health Institute. Based on the unit ex-factory prices in EURO, scaled ranks per country and per product were calculated. For the regression analysis the scaled ranks per country and product were weighted; each country had the same sum of weights but within a country the weights were proportional to its sales volume in the year (data obtained from IMS Health). Taking the scaled ranks, several statistical analyses were performed by using the program “R”, including a multiple regression analysis (including variables such as GDP per capita and national industry size). Results: This study showed that on average EPR as a pricing policy leads to lower prices. However, the large variation in price levels among countries using EPR confirmed that the price level is not only driven by EPR. The unadjusted linear regression model confirms that applying EPR in a country is associated with a lower scaled weighted rank (p=0.002). This interaction persisted after inclusion of total pharmaceutical expenditure per capita and GDP per capita in the final model. Conclusions: The study showed that for patented products, prices are in general lower in case the country applied EPR. Nevertheless substantial price differences among countries that apply EPR could be identified. Possible explanations could be found through a correlation between pharmaceutical industry and the scaled price ranks. In conclusion, we found that implementing external reference pricing could lead to lower prices. PMID
A spectral transform dynamical core option within the Community Atmosphere Model (CAM4)
Evans, Katherine J; Mahajan, Salil; Branstetter, Marcia L; McClean, Julie L.; Caron, Julie M.; Maltrud, Matthew E.; Hack, James J; Bader, David C; Neale, Rich
2014-01-01
A spectral transform dynamical core with an 85 spectral truncation resolution (T85) within the Community Atmosphere Model (CAM), version 4, is evaluated within the recently released Community Earth System Model, version 1.0 (CESM) global climate model. The spectral dynamical core option provides a well-known base within the climate model community from which to assess climate behavior and statistics, and its relative computational efficiency for smaller computing platforms allows it to be extended to perform climate length simulations using high-resolution configurations in the near term. To establish the characteristics of the CAM4 T85, an ensemble of simulations covering the present day observational period using forced sea surface temperatures and prescribed sea-ice extent are evaluated. Overall, the T85 ensemble attributes and biases are similar to a companion ensemble of simulations using the one degree finite volume (FV1) dynamical core, relative to observed and model derived datasets. Notable improvements with T85 compared to FV1 include the representation of wintertime Arctic sea level pressure and summer precipitation over the Western Indian subcontinent. The mean and spatial patterns of the land surface temperature trends over the AMIP period are generally well simulated with the T85 ensemble relative to observations, however the model is not able to capture the extent nor magnitude of changes in temperature extremes over the boreal summer, where the changes are most dramatic. Biases in the wintertime Arctic surface temperature and annual mean surface stress fields persist with T85 as with the CAM3 version of T85.
Optimal Pricing and Advertising Policies for New Product Oligopoly Models. Revision.
1981-08-01
The problem of characterizing an optimal pricing and advertising policy over time is an important question in the field of marketing as well as in the...the effects of the learning curve phenomenon and market saturation are most pronounced. We isider first the monopoly case with linear advertising cost...Another sur- prising result i that, after the market is at least half saturated, a pulse of advertising must be preceded by a significant drop in
NASA Astrophysics Data System (ADS)
Rounaghi, Mohammad Mahdi; Abbaszadeh, Mohammad Reza; Arashi, Mohammad
2015-11-01
One of the most important topics of interest to investors is stock price changes. Investors whose goals are long term are sensitive to stock price and its changes and react to them. In this regard, we used multivariate adaptive regression splines (MARS) model and semi-parametric splines technique for predicting stock price in this study. The MARS model as a nonparametric method is an adaptive method for regression and it fits for problems with high dimensions and several variables. semi-parametric splines technique was used in this study. Smoothing splines is a nonparametric regression method. In this study, we used 40 variables (30 accounting variables and 10 economic variables) for predicting stock price using the MARS model and using semi-parametric splines technique. After investigating the models, we select 4 accounting variables (book value per share, predicted earnings per share, P/E ratio and risk) as influencing variables on predicting stock price using the MARS model. After fitting the semi-parametric splines technique, only 4 accounting variables (dividends, net EPS, EPS Forecast and P/E Ratio) were selected as variables effective in forecasting stock prices.
Numerical modelling to assess maintenance strategy management options for a small tidal inlet
NASA Astrophysics Data System (ADS)
Shaeri, Saeed; Tomlinson, Rodger; Etemad-Shahidi, Amir; Strauss, Darrell
2017-03-01
Small tidal inlets are found to be more sensitive to anthropogenic alteration than their larger counterparts. Such alterations, although typically supported by technical design reports, sometimes require amendments or modification. One of the most suitable tools to conduct the necessary studies in this regard is numerical modelling, since the behaviour of the inlet system in response to proposed remedial actions, can easily be identified. In this paper, various alternative proposals are investigated to determine the most practical and viable option to mitigate the need for ongoing maintenance at a typical small, jettied tidal inlet. The main tool to investigate the alternatives is the hydro-sedimentological modelling of the inlet system, which was performed using the Delft3D software package. The proposed alternative entrance modifications were based upon structural alterations of the inlet system (such as a jetty extension or submerged weir) and non-structural scenarios (such as a change of the time of the dredging campaign or the deposition location of the dredged material). It was concluded that whilst a detailed study is inevitable in order to achieve a comprehensive design plan, based upon the results of this study the construction of a submerged weir at the entrance channel can satisfy the needs of most of the stakeholders, with justifiable costs over a longer period.
Expensing options solves nothing.
Sahlman, William A
2002-12-01
The use of stock options for executive compensation has become a lightning rod for public anger, and it's easy to see why. Many top executives grew hugely rich on the back of the gains they made on their options, profits they've been able to keep even as the value they were supposed to create disappeared. The supposed scam works like this: Current accounting regulations let companies ignore the cost of option grants on their income statements, so they can award valuable option packages without affecting reported earnings. Not charging the cost of the grants supposedly leads to overstated earnings, which purportedly translate into unrealistically high share prices, permitting top executives to realize big gains when they exercise their options. If an accounting anomaly is the problem, then the solution seems obvious: Write off executive share options against the current year's revenues. The trouble is, Sahlman writes, expensing option grants won't give us a more accurate view of earnings, won't add any information not already included in the financial statements, and won't even lead to equal treatment of different forms of executive pay. Far worse, expensing evades the real issue, which is whether compensation (options and other-wise) does what it's supposed to do--namely, help a company recruit, retain, and provide the right people with appropriate performance incentives. Any performance-based compensation system has the potential to encourage cheating. Only ethical management, sensible governance, adequate internal control systems, and comprehensive disclosure will save the investor from disaster. If, Sahlman warns, we pass laws that require the expensing of options, thinking that's fixed the fundamental flaws in corporate America's accounting, we will have missed a golden opportunity to focus on the much more extensive defects in the present system.
2009-03-01
performs poorly. According to Elder & Westra, companies like Walt Disney Co., AT&T and Sprint Corporation are some of the few companies who decided to... Expansion Option (platform technologies, acquisitions, open architecture) Contraction Option (outsourcing, alliances) Compound...TELCOM should consider one or more of the following real options: option to wait; option to execute; or expansion option. The option to wait would
... Speech Pathology Occupational Therapy Art Therapy Recreational therapy Neuropsychology Home Care Options Advanced Care Planning Palliative Care ... Speech Pathology Occupational Therapy Art Therapy Recreational therapy Neuropsychology Home Care Options Advanced Care Planning Palliative Care ...
NASA Astrophysics Data System (ADS)
Yoo, Jin Woo
Counties. The spatial-lag (SLM), the spatial error (SEM) and the spatial error component (SEC) models were compared. A geographically weighted regression (GWR) model is estimated to study the spatial heterogeneity of the marginal implicit prices of ACE impact within each county. New hybrid spatial hedonic models, the GWR-SEC and a modified GWR-SEM, are estimated such that both spatial autocorrelation and heterogeneity are accounted. The results show that the coefficient of land under easement contract varies spatially within one county, but not within the other county studied. Also, ACE's are found to have both positive and negative impacts on the values of nearby residential properties. Among global spatial models, the SEM fit better than the SLM and the SEC. Statistical goodness of fit measures showed that the GWR-SEC model fit better than the GWR or the GWR-SEC model. Finally, the GWR-SEC showed spatial autocorrelation is stronger in one county than in the other county.
Jallow, B.P.
1996-12-31
Results of the 1993 Greenhouse Gas Emissions Inventory of The Gambia showed net CO{sub 2} emissions of over (1.66 x 10{sup 6} tons) and 1% was due to uptake by plantations (0.01 x 10{sup 6} tons). This is a clear indication that there is need to identify changes in the land-use policy, law and tenure that discourages forest clearing at the same time significantly influencing the sustainable distribution of land among forestry, rangeland and livestock, and agriculture. About 11% of the total area of The Gambia is either fallow or barren flats that once supported vegetation and hence is still capable of supporting vegetation. The US Country Study Programme has provided the Government of The Gambia through the National Climate Committee funds to conduct Assessment of Mitigation Options to Reduce Greenhouse Gas Emissions. The Forestry Sector is one area for which assessment is being conducted. The assessment is expected to end in September 1996. The Comprehensive Mitigation Analysis Process (COMAP) is one of the Models supplied to the National Climate Committee by the Lawrence Berkeley Laboratory, on behalf of the US Country Study Programme, and is being used to conduct the analysis in The Gambia.
Promoting self-directed learning using a menu of assessment options: the investment model.
Rangachari, P K
2006-12-01
Undergraduate science students took an Inquiry course in their second (sophomore) year. The course was designed to explore the social life of scientific knowledge. They were given a set of eight assessment options: personal logs, targeted oral examinations, commentaries, mini-lectures, individual explorations, research proposals, book reviews, and problem-solving exercises. Each option had a specific maximum mark (percentage or grade point) associated with it. Students were permitted to select any set of options to obtain their total grade for the course. From the student's perspective, the course provided a valuable learning experience and enabled them to recognize the complexities involved in the process of generating scientific information and making it useful and relevant to the public. The opportunity given to select their own assessment options enhanced their learning. For me, as the sole instructor managing 51 students, the experience was rewarding.
NASA Astrophysics Data System (ADS)
Yang, Z.
2011-12-01
Noah-MP, which improves over the standard Noah land surface model, is unique among all land surface models in that it has multi-parameterization options (hence Noah-MP), capable of producing thousands of parameterization schemes, in addition to its improved physical realism (multi-layer snowpack, groundwater dynamics, and vegetation dynamics). All these features are critical for ensemble hydrological simulations and climate predictions at intraseasonal to decadal timescales. This talk will focus on evaluation of the Noah-MP simulations of energy, water and carbon balances for different sub-basins in the Mississippi River in comparison with various observations. The analysis is performed on daily and monthly scales spanning from January 2000 to December 2009. We will show how different runoff schemes in Noah-MP affect the scatter patterns between runoff and water table depth and between gross primary productivity and total water storage change, a type of analysis that would help us identify the relationships between key water storage terms (groundwater, soil moisture, snow) and fluxes (GPP, sensible heat, evapotranspiration, runoff). Similarly, we want to see how other options affect the patterns, such as the beta parameter (i.e. the soil moisture parameter controlling transpiration of plants), the Ball-Berry and Jarvis options for stomatal resistance, and the dynamic vegetation options (on or off). We will compare the water storage simulations from Noah-MP, observations and other model estimates, which would help determine the strengths and limitations of the Noah-MP groundwater and hydrological schemes.
Price-cap Regulation, Uncertainty and the Price Evolution of New Pharmaceuticals.
Shajarizadeh, Ali; Hollis, Aidan
2015-08-01
This paper examines the effect of the regulations restricting price increases on the evolution of pharmaceutical prices. A novel theoretical model shows that this policy leads firms to price new drugs with uncertain demand above the expected value initially. Price decreases after drug launch are more likely, the higher the uncertainty. We empirically test the model's predictions using data from the Canadian pharmaceutical market. The level of uncertainty is shown to play a crucial role in drug pricing strategies.
Optimal dynamic pricing for deteriorating items with reference-price effects
NASA Astrophysics Data System (ADS)
Xue, Musen; Tang, Wansheng; Zhang, Jianxiong
2016-07-01
In this paper, a dynamic pricing problem for deteriorating items with the consumers' reference-price effect is studied. An optimal control model is established to maximise the total profit, where the demand not only depends on the current price, but also is sensitive to the historical price. The continuous-time dynamic optimal pricing strategy with reference-price effect is obtained through solving the optimal control model on the basis of Pontryagin's maximum principle. In addition, numerical simulations and sensitivity analysis are carried out. Finally, some managerial suggestions that firm may adopt to formulate its pricing policy are proposed.
Piantadosi, Steven T.; Hayden, Benjamin Y.
2015-01-01
Economists often model choices as if decision-makers assign each option a scalar value variable, known as utility, and then select the option with the highest utility. It remains unclear whether as-if utility models describe real mental and neural steps in choice. Although choices alone cannot prove the existence of a utility stage, utility transformations are often taken to provide the most parsimonious or psychologically plausible explanation for choice data. Here, we show that it is possible to mathematically transform a large set of common utility-stage two-option choice models (specifically ones in which dimensions are can be decomposed into additive functions) into a heuristic model (specifically, a dimensional prioritization heuristic) that has no utility computation stage. We then show that under a range of plausible assumptions, both classes of model predict similar neural responses. These results highlight the difficulties in using neuroeconomic data to infer the existence of a value stage in choice. PMID:25914613
NASA Technical Reports Server (NTRS)
Bui, Trong T.
1993-01-01
New turbulence modeling options recently implemented for the 3D version of Proteus, a Reynolds-averaged compressible Navier-Stokes code, are described. The implemented turbulence models include: the Baldwin-Lomax algebraic model, the Baldwin-Barth one-equation model, the Chien k-epsilon model, and the Launder-Sharma k-epsilon model. Features of this turbulence modeling package include: well documented and easy to use turbulence modeling options, uniform integration of turbulence models from different classes, automatic initialization of turbulence variables for calculations using one- or two-equation turbulence models, multiple solid boundaries treatment, and fully vectorized L-U solver for one- and two-equation models. Good agreements are obtained between the computational results and experimental data. Sensitivity of the compressible turbulent solutions with the method of y(+) computation, the turbulent length scale correction, and some compressibility corrections are examined in detail. Test cases show that the highly optimized one- and two-equation turbulence models can be used in routine 3D Navier-Stokes computations with no significant increase in CPU time as compared with the Baldwin-Lomax algebraic model.
NASA Technical Reports Server (NTRS)
Bui, Trong T.
1993-01-01
New turbulence modeling options recently implemented for the 3-D version of Proteus, a Reynolds-averaged compressible Navier-Stokes code, are described. The implemented turbulence models include: the Baldwin-Lomax algebraic model, the Baldwin-Barth one-equation model, the Chien k-epsilon model, and the Launder-Sharma k-epsilon model. Features of this turbulence modeling package include: well documented and easy to use turbulence modeling options, uniform integration of turbulence models from different classes, automatic initialization of turbulence variables for calculations using one- or two-equation turbulence models, multiple solid boundaries treatment, and fully vectorized L-U solver for one- and two-equation models. Validation test cases include the incompressible and compressible flat plate turbulent boundary layers, turbulent developing S-duct flow, and glancing shock wave/turbulent boundary layer interaction. Good agreement is obtained between the computational results and experimental data. Sensitivity of the compressible turbulent solutions with the method of y(sup +) computation, the turbulent length scale correction, and some compressibility corrections are examined in detail. The test cases show that the highly optimized one-and two-equation turbulence models can be used in routine 3-D Navier-Stokes computations with no significant increase in CPU time as compared with the Baldwin-Lomax algebraic model.
Using the Cancer Risk Management Model to evaluate colorectal cancer screening options for Canada
Coldman, A.J.; Phillips, N.; Brisson, J.; Flanagan, W.; Wolfson, M.; Nadeau, C.; Fitzgerald, N.; Miller, A.B.
2015-01-01
Background Several screening methods for colorectal cancer (crc) are available, and some have been shown by randomized trials to be effective. In the present study, we used a well-developed population health simulation model to compare the risks and benefits of a variety of screening scenarios. Tests considered were the fecal occult blood test (fobt), the fecal immunochemical test (fit), flexible sigmoidoscopy, and colonoscopy. Outcomes considered included years of life gained, crc cases and deaths prevented, and direct health system costs. Methods A natural history model of crc was implemented and calibrated to specified targets within the framework of the Cancer Risk Management Model (crmm) from the Canadian Partnership Against Cancer. The crmm-crc permits users to enter their own parameter values or to use program-specified base values. For each of 23 screening scenarios, we used the crmm-crc to run 10 million replicate simulations. Results Using base parameter values and some user-specified values in the crmm-crc, and comparing our screening scenarios with no screening, all screening scenarios were found to reduce the incidence of and mortality from crc. The fobt was the least effective test; it was not associated with lower net cost. Colonoscopy screening was the most effective test; it had net costs comparable to those for several other strategies considered, but required more than 3 times the colonoscopy resources needed by other approaches. After colonoscopy, strategies based on the fit were predicted to be the most effective. In sensitivity analyses performed for the fobt and fit screening strategies, fobt parameter values associated with high-sensitivity formulations were associated with a substantial increase in test effectiveness. The fit was more cost-effective at the 50 ng/mL threshold than at the 100 ng/mL threshold. Conclusions The crmm-crc provides a sophisticated and flexible environment in which to evaluate crc control options. All screening
Xiong, Xiong; Nan, Ding; Yang, Yang; Yongjie, Zhang
2015-01-01
This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10%) or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures.
2015-01-01
This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10%) or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures. PMID:26571135
Felder, Stefan
2004-12-01
Drug price differences across national markets as they exist in the EU are often justified by the concept of Ramsey prices: with fixed costs for R&D, the optimal mark-ups on marginal costs are inversely related to the price elasticity in the individual markets. This well-known result prevails if consumer moral hazard is taken into account. Contrary to the situation without moral hazard, the uniform price does not necessarily dominate discriminatory pricing in welfare terms. The two-part tariff is a better alternative as it allows governments to address moral hazard. A uniform price combined with lump-payments reflecting differences in the willingness to pay and the moral hazard in member states appears to be an attractive option for a common EU drug market.
NASA Astrophysics Data System (ADS)
Giri, B. C.; Maiti, T.
2013-05-01
This article develops a single-manufacturer and single-retailer supply chain model under two-level permissible delay in payments when the manufacturer follows a lot-for-lot policy in response to the retailer's demand. The manufacturer offers a trade credit period to the retailer with the contract that the retailer must share a fraction of the profit earned during the trade credit period. On the other hand, the retailer provides his customer a partial trade credit which is less than that of the manufacturer. The demand at the retailer is assumed to be dependent on the selling price and the trade credit period offered to the customers. The average net profit of the supply chain is derived and an algorithm for finding the optimal solution is developed. Numerical examples are given to demonstrate the coordination policy of the supply chain and examine the sensitivity of key model-parameters.
NASA Astrophysics Data System (ADS)
Liu, Zhiyuan; Meng, Qiang
2014-05-01
This paper focuses on modelling the network flow equilibrium problem on a multimodal transport network with bus-based park-and-ride (P&R) system and congestion pricing charges. The multimodal network has three travel modes: auto mode, transit mode and P&R mode. A continuously distributed value-of-time is assumed to convert toll charges and transit fares to time unit, and the users' route choice behaviour is assumed to follow the probit-based stochastic user equilibrium principle with elastic demand. These two assumptions have caused randomness to the users' generalised travel times on the multimodal network. A comprehensive network framework is first defined for the flow equilibrium problem with consideration of interactions between auto flows and transit (bus) flows. Then, a fixed-point model with unique solution is proposed for the equilibrium flows, which can be solved by a convergent cost averaging method. Finally, the proposed methodology is tested by a network example.
The Basic Economics of CD-ROM Pricing.
ERIC Educational Resources Information Center
Erkkila, John E.
1991-01-01
This explanation of how the basic economic model of pricing applies to the CD-ROM industry considers the supply and demand sides of the market and compares three distinct pricing strategies: (1) pricing to maximize profits; (2) average cost pricing; and (3) marginal cost pricing. (EAM)
Pitt, Allison; Bendavid, Eran
2017-01-01
Introduction There are large differences in the burden and health implications of obesity by race and gender in the US. It is unclear to what extent policies modifying caloric consumption change the distribution of the burden of obesity and related health outcomes. Meat is a large component of the American diet. We investigate how changing meat prices (that may result from policies or from exogenous factors that reduce supply) might impact the burden of obesity by race and gender. Methods We construct a microsimulation model that evaluates the 15-year body-mass index (BMI) and mortality impact of changes in meat price (5, 10, 25, and 50% increase) in the US adult population stratified by age, gender, race, and BMI. Results Under each price change evaluated, relative to the status quo, white males, black males, and black females are expected to realize more dramatic reduction in 2030 obesity prevalence than white females. Life expectancy gains are also projected to differ by subpopulation, with black males far less likely to benefit from an increase in meat prices than other groups. Conclusions Changing meat prices has considerable potential to affect population health differently by race and gender. In designing interventions that alter the price of foods to consumers, it is not sufficient to assess health effects based solely on the population as a whole, since differential effects across subpopulations may be substantial. PMID:28045931
NASA Astrophysics Data System (ADS)
Berg, Matthew; Hartley, Brian; Richters, Oliver
2015-01-01
By synthesizing stock-flow consistent models, input-output models, and aspects of ecological macroeconomics, a method is developed to simultaneously model monetary flows through the financial system, flows of produced goods and services through the real economy, and flows of physical materials through the natural environment. This paper highlights the linkages between the physical environment and the economic system by emphasizing the role of the energy industry. A conceptual model is developed in general form with an arbitrary number of sectors, while emphasizing connections with the agent-based, econophysics, and complexity economics literature. First, we use the model to challenge claims that 0% interest rates are a necessary condition for a stationary economy and conduct a stability analysis within the parameter space of interest rates and consumption parameters of an economy in stock-flow equilibrium. Second, we analyze the role of energy price shocks in contributing to recessions, incorporating several propagation and amplification mechanisms. Third, implied heat emissions from energy conversion and the effect of anthropogenic heat flux on climate change are considered in light of a minimal single-layer atmosphere climate model, although the model is only implicitly, not explicitly, linked to the economic model.
Electric retail market options: The customer perspective
Hadley, S.W.; Hillsman, E.L.
1995-07-01
This report describes various options that are now available for retail electric customers, or that may become available during the next few years as the electric utility industry restructures. These options include different ways of meeting demand for energy services, different providers of service or points of contact with providers, and different pricing structures for purchased services. Purpose of this document is to examine these options from the customer`s perspective: how might being a retail electric customer in 5--10 years differ from now? Seizing opportunities to reduce cost of electric service is likely to entail working with different service providers; thus, transaction costs are involved. Some of the options considered are speculative. Some transitional options include relocation, customer-built/operated transmission lines, municipalization, self-generation, and long-term contracts with suppliers. All these may change or diminish in a restructured industry. Brokers seem likely to become more common unless restructuring takes the form of mandatory poolcos (wholesale). Some options appear robust, ie, they are likely to become more common regardless of how restructuring is accomplished: increased competition among energy carriers (gas vs electric), real-time pricing, etc. This report identified some of the qualitative differences among the various options. For customers using large amounts of electricity, different alternatives are likely to affect greatly service price, transaction costs, tailoring service to customer preferences, and risks for customer. For retail customers using small amounts of electricity, there may be little difference among the options except service price.
Carbon accounting of forest bioenergy: from model calibrations to policy options (Invited)
NASA Astrophysics Data System (ADS)
Lamers, P.
2013-12-01
knowledge in the field by comparing different state-of-the-art temporal forest carbon modeling efforts, and discusses whether or to what extent a deterministic ';carbon debt' accounting is possible and appropriate. It concludes upon the possible scientific and eventually political choices in temporal carbon accounting for regulatory frameworks including alternative options to address unintentional carbon losses within forest ecosystems/bioenergy systems.
Vernon, John A; Hughen, W Keener; Johnson, Scott J
2005-05-01
In the face of significant real healthcare cost inflation, pressured budgets, and ongoing launches of myriad technology of uncertain value, payers have formalized new valuation techniques that represent a barrier to entry for drugs. Cost-effectiveness analysis predominates among these methods, which involves differencing a new technological intervention's marginal costs and benefits with a comparator's, and comparing the resulting ratio to a payer's willingness-to-pay threshold. In this paper we describe how firms are able to model the feasible range of future product prices when making in-licensing and developmental Go/No-Go decisions by considering payers' use of the cost-effectiveness method. We illustrate this analytic method with a simple deterministic example and then incorporate stochastic assumptions using both analytic and simulation methods. Using this strategic approach, firms may reduce product development and in-licensing risk.
Federal Register 2010, 2011, 2012, 2013, 2014
2010-04-07
... Change Relating to Cash-Settled Foreign Currency Options With One-Cent Exercise Prices April 1, 2010... and cleared as securities options notwithstanding that they may have a nominal exercise price such as... nominal exercise price such as one cent.\\2\\ In its capacity as a ``derivatives clearing...
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-10
... Effectiveness of Proposed Rule Change Relating to Options for Which the Premium and Exercise Price Are Expressed... OCC's By-Laws and Rules to accommodate options for which the premium and exercise price are expressed..., Article I.A.5 (definition of ``Aggregate Exercise Price'') and OCC Rule 805(d)(2) to accommodate...
Bond, Lyndal; Hilton, Shona
2014-01-01
Background: Novel policy interventions may lack evaluation-based evidence. Considerations to introduce minimum unit pricing (MUP) of alcohol in the UK were informed by econometric modelling (the ‘Sheffield model’). We aim to investigate policy stakeholders’ views of the utility of modelling studies for public health policy. Methods: In-depth qualitative interviews with 36 individuals involved in MUP policy debates (purposively sampled to include civil servants, politicians, academics, advocates and industry-related actors) were conducted and thematically analysed. Results: Interviewees felt familiar with modelling studies and often displayed detailed understandings of the Sheffield model. Despite this, many were uneasy about the extent to which the Sheffield model could be relied on for informing policymaking and preferred traditional evaluations. A tension was identified between this preference for post hoc evaluations and a desire for evidence derived from local data, with modelling seen to offer high external validity. MUP critics expressed concern that the Sheffield model did not adequately capture the ‘real life’ world of the alcohol market, which was conceptualized as a complex and, to some extent, inherently unpredictable system. Communication of modelling results was considered intrinsically difficult but presenting an appropriate picture of the uncertainties inherent in modelling was viewed as desirable. There was general enthusiasm for increased use of econometric modelling to inform future policymaking but an appreciation that such evidence should only form one input into the process. Conclusion: Modelling studies are valued by policymakers as they provide contextually relevant evidence for novel policies, but tensions exist with views of traditional evaluation-based evidence. PMID:24367068
NASA Astrophysics Data System (ADS)
Shah, Nita H.; Shah, Digeshkumar B.; Patel, Dushyantkumar G.
2015-07-01
This study aims at formulating an integrated supplier-buyer inventory model when market demand is variable price-sensitive trapezoidal and the supplier offers a choice between discount in unit price and permissible delay period for settling the accounts due against the purchases made. This type of trade credit is termed as 'net credit'. In this policy, if the buyer pays within offered time M1, then the buyer is entitled for a cash discount; otherwise the full account must be settled by the time M2; where M2 > M1 ⩾ 0. The goal is to determine the optimal selling price, procurement quantity, number of transfers from the supplier to the buyer and payment time to maximise the joint profit per unit time. An algorithm is worked out to obtain the optimal solution. A numerical example is given to validate the proposed model. The managerial insights based on sensitivity analysis are deduced.
Natural gas and CO2 price variation: impact on the relative cost-efficiency of LNG and pipelines
Ulvestad, Marte; Overland, Indra
2012-01-01
This article develops a formal model for comparing the cost structure of the two main transport options for natural gas: liquefied natural gas (LNG) and pipelines. In particular, it evaluates how variations in the prices of natural gas and greenhouse gas emissions affect the relative cost-efficiency of these two options. Natural gas is often promoted as the most environmentally friendly of all fossil fuels, and LNG as a modern and efficient way of transporting it. Some research has been carried out into the local environmental impact of LNG facilities, but almost none into aspects related to climate change. This paper concludes that at current price levels for natural gas and CO2 emissions the distance from field to consumer and the volume of natural gas transported are the main determinants of transport costs. The pricing of natural gas and greenhouse emissions influence the relative cost-efficiency of LNG and pipeline transport, but only to a limited degree at current price levels. Because more energy is required for the LNG process (especially for fuelling the liquefaction process) than for pipelines at distances below 9100 km, LNG is more exposed to variability in the price of natural gas and greenhouse gas emissions up to this distance. If the prices of natural gas and/or greenhouse gas emission rise dramatically in the future, this will affect the choice between pipelines and LNG. Such a price increase will be favourable for pipelines relative to LNG. PMID:24683269
Natural gas and CO2 price variation: impact on the relative cost-efficiency of LNG and pipelines.
Ulvestad, Marte; Overland, Indra
2012-06-01
THIS ARTICLE DEVELOPS A FORMAL MODEL FOR COMPARING THE COST STRUCTURE OF THE TWO MAIN TRANSPORT OPTIONS FOR NATURAL GAS: liquefied natural gas (LNG) and pipelines. In particular, it evaluates how variations in the prices of natural gas and greenhouse gas emissions affect the relative cost-efficiency of these two options. Natural gas is often promoted as the most environmentally friendly of all fossil fuels, and LNG as a modern and efficient way of transporting it. Some research has been carried out into the local environmental impact of LNG facilities, but almost none into aspects related to climate change. This paper concludes that at current price levels for natural gas and CO2 emissions the distance from field to consumer and the volume of natural gas transported are the main determinants of transport costs. The pricing of natural gas and greenhouse emissions influence the relative cost-efficiency of LNG and pipeline transport, but only to a limited degree at current price levels. Because more energy is required for the LNG process (especially for fuelling the liquefaction process) than for pipelines at distances below 9100 km, LNG is more exposed to variability in the price of natural gas and greenhouse gas emissions up to this distance. If the prices of natural gas and/or greenhouse gas emission rise dramatically in the future, this will affect the choice between pipelines and LNG. Such a price increase will be favourable for pipelines relative to LNG.
NASA Astrophysics Data System (ADS)
Nisa Fadlilah F., I.; Mukhaiyar, Utriweni; Fahmi, Fauzia
2015-12-01
The observations at a certain location may be linearly influenced by the previous times of observations at that location and neighbor locations, which could be analyzed by Generalized STAR(1,1). In this paper, the weekly red-chili prices secondary-data of five main traditional markets in Bandung are used as case study. The purpose of GSTAR(1,1) model is to forecast the next time red-chili prices at those markets. The model is identified by sample space-time ACF and space-time PACF, and model parameters are estimated by least square estimation method. Theoretically, the errors' independency assumption could simplify the parameter estimation's problem. However, practically that assumption is hard to satisfy since the errors may be correlated each other's. In red-chili prices modeling, it is considered that the process has time-correlated errors, i.e. martingale difference process, instead of follow normal distribution. Here, we do some simulations to investigate the behavior of errors' assumptions. Although some of results show that the behavior of the errors' model are not always followed the martingale difference process, it does not corrupt the goodness of GSTAR(1,1) model to forecast the red-chili prices at those five markets.
On three-level problem of competitive pricing
NASA Astrophysics Data System (ADS)
Plyasunov, A.; Panin, A.
2016-10-01
We propose a new pricing model that are designed for the study of competitive pricing. As pricing strategies we use the uniform and discriminatory pricing. We formulate the model as a three-level quadratic programming problem with integer and boolean variables. To solve few cooperative formulations of this model we develop polynomial-time algorithms.
NASA Technical Reports Server (NTRS)
Kanning, G.
1975-01-01
A digital computer program written in FORTRAN is presented that implements the system identification theory for deterministic systems using input-output measurements. The user supplies programs simulating the mathematical model of the physical plant whose parameters are to be identified. The user may choose any one of three options. The first option allows for a complete model simulation for fixed input forcing functions. The second option identifies up to 36 parameters of the model from wind tunnel or flight measurements. The third option performs a sensitivity analysis for up to 36 parameters. The use of each option is illustrated with an example using input-output measurements for a helicopter rotor tested in a wind tunnel.
Third-Degree Price Discrimination Revisited
ERIC Educational Resources Information Center
Kwon, Youngsun
2006-01-01
The author derives the probability that price discrimination improves social welfare, using a simple model of third-degree price discrimination assuming two independent linear demands. The probability that price discrimination raises social welfare increases as the preferences or incomes of consumer groups become more heterogeneous. He derives the…
Huber, K; Zenner, L; Bicout, D J
2011-02-28
The poultry red mite Dermanyssus gallinae is a major pest and widespread ectoparasite of laying hens and other domestic and wild birds. Under optimal conditions, D. gallinae can complete its lifecycle in less than 10 days, leading to rapid proliferation of populations in poultry systems. This paper focuses on developing a theoretical model framework to describe the population dynamics of D. gallinae. This model is then used to test the efficacy and residual effect of different control options for managing D. gallinae. As well as allowing comparison between treatment options, the model also allows comparison of treatment efficacies to different D. gallinae life stages. Three different means for controlling D. gallinae populations were subjected to the model using computer simulations: mechanical cleaning (killing once at a given time all accessible population stages), sanitary clearance (starving the mite population for a given duration, e.g. between flocks) and acaricide treatment (killing a proportion of nymphs and adults during the persistence of the treatment). Simulations showed that mechanical cleaning and sanitary clearance alone could not eradicate the model D. gallinae population, although these methods did delay population establishment. In contrast, the complete eradication of the model D. gallinae population was achieved by several successive acaricide treatments in close succession, even when a relatively low treatment level was used.
Estimating Hedonic Price Indices for Ground Vehicles
2015-06-01
2015 9 Alternative Formulation: The “ Pure Price” Model Assume that each vehicle model is characterized by An initial unit price An initial quality... pure price model gives stable and credible estimates, but requires one iffy assumption That unobservable quality growth is roughly constant by...Fill the 1994–95 gap; extend beyond 2011 Bootstrap to reduce the variance of the pure price model estimates as well Explore models with no lot
Federal Register 2010, 2011, 2012, 2013, 2014
2010-02-04
... also contain information and analysis of FLEX Options trading patterns, and index price volatility and... analysis of FLEX Options trading patterns, and index price volatility and underlying share trading activity... Proposed Rule Change To Establish a Pilot Program To Modify FLEX Option Exercise Settlement Values...
Zhang, Yani; Pham, Binh; Eckstein, Miguel P
2004-05-01
Previous studies have evaluated the effect of the new still image compression standard JPEG 2000 using nontask based image quality metrics, i.e., peak-signal-to-noise-ratio (PSNR) for nonmedical images. In this paper, the effect of JPEG 2000 encoder options was investigated using the performance of human and model observers (nonprewhitening matched filter with an eye filter, square-window Hotelling, Laguerre-Gauss Hotelling and channelized Hotelling model observer) for clinically relevant visual tasks. Two tasks were investigated: the signal known exactly but variable task (SKEV) and the signal known statistically task (SKS). Test images consisted of real X-ray coronary angiograms with simulated filling defects (signals) inserted in one of the four simulated arteries. The signals varied in size and shape. Experimental results indicated that the dependence of task performance on the JPEG 2000 encoder options was similar for all model and human observers. Model observer performance in the more tractable and computationally economic SKEV task can be used to reliably estimate performance in the complex but clinically more realistic SKS task. JPEG 2000 encoder settings different from the default ones resulted in greatly improved model and human observer performance in the studied clinically relevant visual tasks using real angiography backgrounds.
NASA Astrophysics Data System (ADS)
Zarindast, Atousa; Seyed Hosseini, Seyed Mohamad; Pishvaee, Mir Saman
2016-11-01
Robust supplier selection problem, in a scenario-based approach has been proposed, when the demand and exchange rates are subject to uncertainties. First, a deterministic multi-objective mixed integer linear programming is developed; then, the robust counterpart of the proposed mixed integer linear programming is presented using the recent extension in robust optimization theory. We discuss decision variables, respectively, by a two-stage stochastic planning model, a robust stochastic optimization planning model which integrates worst case scenario in modeling approach and finally by equivalent deterministic planning model. The experimental study is carried out to compare the performances of the three models. Robust model resulted in remarkable cost saving and it illustrated that to cope with such uncertainties, we should consider them in advance in our planning. In our case study different supplier were selected due to this uncertainties and since supplier selection is a strategic decision, it is crucial to consider these uncertainties in planning approach.
Boyer, B.D.; Hartzell, J.W.; Lider, S.; Robinson, G.E.; Baratta, A.J. . Dept. of Nuclear Engineering.); Roscioli, A.J. )
1993-08-01
The effects of condensation steam quenching in modeling two-phase flow phenomena during a nuclear reactor transient are studied. The RETRAN-02-MOD002 code, with three field equations and a nonequilibrium pressurizer model option, and the TRAC-BF1 code, with six field equations and a nonequilibrium pressurizer model option, and the TRAC-BF1 code, with six field equations, predicted plant response to a boiling water reactor plant test of a main steam isolation valve closure without safety relief valve opening. The basic RETRAN-02-MOD002 field equations cannot model steam quenching by condensation. However, by activating the nonequilibrium modeling option of the basic RETRAN-02-MOD002 code and by inputting appropriate interfacial heat transfer coefficients, steam quenching by condensation was calculated. This approach gave results closer to those obtained with the test data. The two TRAC-BF1 models used two different methods of tracking water level to approximate the condensation quenching effect. Because the void fraction changes too gradually, the calculation without the TRAC two-phase water level tracking option overquenched the pressure and filled the vessel with too much water. However, because the void fraction changes virtually instantaneously (as it does in the plant), the TRAC two-phase water level tracking option's prediction of the quenching of the pressure was 50% closer to the data than was any RETRAN-02-MOD002 calculation, and it followed the water level almost as well as the RETRAN-02-MOD002 best-estimate case. Both codes overpredicted the pressure spike.
Smaldino, Paul E.; Richerson, Peter J.
2012-01-01
Most research on decision making has focused on how human or animal decision makers choose between two or more options, posed in advance by the researchers. The mechanisms by which options are generated for most decisions, however, are not well understood. Models of sequential search have examined the trade-off between continued exploration and choosing one’s current best option, but still cannot explain the processes by which new options are generated. We argue that understanding the origins of options is a crucial but untapped area for decision making research. We explore a number of factors which influence the generation of options, which fall broadly into two categories: psycho-biological and socio-cultural. The former category includes factors such as perceptual biases and associative memory networks. The latter category relies on the incredible human capacity for culture and social learning, which doubtless shape not only our choices but the options available for choice. Our intention is to start a discussion that brings us closer toward understanding the origins of options. PMID:22514515
Rehman, Nasir Shashiashvili, Malkhaz
2009-06-15
The classical Garman-Kohlhagen model for the currency exchange assumes that the domestic and foreign currency risk-free interest rates are constant and the exchange rate follows a log-normal diffusion process.In this paper we consider the general case, when exchange rate evolves according to arbitrary one-dimensional diffusion process with local volatility that is the function of time and the current exchange rate and where the domestic and foreign currency risk-free interest rates may be arbitrary continuous functions of time. First non-trivial problem we encounter in time-dependent case is the continuity in time argument of the value function of the American put option and the regularity properties of the optimal exercise boundary. We establish these properties based on systematic use of the monotonicity in volatility for the value functions of the American as well as European options with convex payoffs together with the Dynamic Programming Principle and we obtain certain type of comparison result for the value functions and corresponding exercise boundaries for the American puts with different strikes, maturities and volatilities.Starting from the latter fact that the optimal exercise boundary curve is left continuous with right-hand limits we give a mathematically rigorous and transparent derivation of the significant early exercise premium representation for the value function of the American foreign exchange put option as the sum of the European put option value function and the early exercise premium.The proof essentially relies on the particular property of the stochastic integral with respect to arbitrary continuous semimartingale over the predictable subsets of its zeros. We derive from the latter the nonlinear integral equation for the optimal exercise boundary which can be studied by numerical methods.
A New Availability-Payment Model for Pricing Performance-Based Logistics Contracts
2014-06-17
Petri net ) that produces availability and cost measures. The model is used to explore the optimum availability assessment window (length of time...model developed in this report uses an affine controller to drive a discrete event simulator ( Petri net ) that produces availability and cost measures...Integration Architecture ......................................................... 6 Figure 2. Petri Net Representation of the System
A systems model and potential leverage points for base load electric generating options
Brownson, D.A.; Hanson, D.J.; Price, L.G.; Sebo, D.E.
1993-09-01
The mission and structure of electric utilities may change significantly to meet the challenges on the next several decades. In addition, providing electrical energy in an environmentally responsible manner will continue to be a major challenge. The methods of supplying electrical power may change dramatically in the future as utilities search for ways to improve the availability and reliability of electrical power systems. The role of large, base load generating capacity to supply the bulk of a utility`s electrical power is evolving, but it will continue to be important for many years to come. The objective of this study is to examine the systems structure of five base load capacity options available to a utility and identify areas where technological improvements could produce significant changes in their systems. These improvements would enhance the likelihood that these options would be selected for providing future electrical capacity. Technology improvements are identified and discussed, but it was beyond the scope of this work to develop strategies for specific Idaho National Engineering Laboratory involvement.
NASA Astrophysics Data System (ADS)
Wu, Feng
This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed
Younes, Mohammad K; Nopiah, Z M; Basri, N E Ahmad; Basri, H; Abushammala, Mohammed F M; Younes, Mohammed Y
2016-09-01
Solid waste prediction is crucial for sustainable solid waste management. The collection of accurate waste data records is challenging in developing countries. Solid waste generation is usually correlated with economic, demographic and social factors. However, these factors are not constant due to population and economic growth. The objective of this research is to minimize the land requirements for solid waste disposal for implementation of the Malaysian vision of waste disposal options. This goal has been previously achieved by integrating the solid waste forecasting model, waste composition and the Malaysian vision. The modified adaptive neural fuzzy inference system (MANFIS) was employed to develop a solid waste prediction model and search for the optimum input factors. The performance of the model was evaluated using the root mean square error (RMSE) and the coefficient of determination (R(2)). The model validation results are as follows: RMSE for training=0.2678, RMSE for testing=3.9860 and R(2)=0.99. Implementation of the Malaysian vision for waste disposal options can minimize the land requirements for waste disposal by up to 43%.
Analysis of housing price by means of STAR models with neighbourhood effects: a Bayesian approach
NASA Astrophysics Data System (ADS)
Beamonte, Asuncion; Gargallo, Pilar; Salvador, Manuel
2010-06-01
In this paper, we extend the Bayesian methodology introduced by Beamonte et al. (Stat Modelling 8:285-311, 2008) for the estimation and comparison of spatio-temporal autoregressive models (STAR) with neighbourhood effects, providing a more general treatment that uses larger and denser nets for the number of spatial and temporal influential neighbours and continuous distributions for their smoothing weights. This new treatment also reduces the computational time and the RAM necessities of the estimation algorithm in Beamonte et al. (Stat Modelling 8:285-311, 2008). The procedure is illustrated by an application to the Zaragoza (Spain) real estate market, improving the goodness of fit and the outsampling behaviour of the model thanks to a more flexible estimation of the neighbourhood parameters.
Ozaki, Vitor A.; Ghosh, Sujit K.; Goodwin, Barry K.; Shirota, Ricardo
2009-01-01
This article presents a statistical model of agricultural yield data based on a set of hierarchical Bayesian models that allows joint modeling of temporal and spatial autocorrelation. This method captures a comprehensive range of the various uncertainties involved in predicting crop insurance premium rates as opposed to the more traditional ad hoc, two-stage methods that are typically based on independent estimation and prediction. A panel data set of county-average yield data was analyzed for 290 counties in the State of Paraná (Brazil) for the period of 1990 through 2002. Posterior predictive criteria are used to evaluate different model specifications. This article provides substantial improvements in the statistical and actuarial methods often applied to the calculation of insurance premium rates. These improvements are especially relevant to situations where data are limited. PMID:19890450
Analysis of the Pricing Process in Electricity Market using Multi-Agent Model
NASA Astrophysics Data System (ADS)
Shimomura, Takahiro; Saisho, Yuichi; Fujii, Yasumasa; Yamaji, Kenji
Many electric utilities world-wide have been forced to change their ways of doing business, from vertically integrated mechanisms to open market systems. We are facing urgent issues about how we design the structures of power market systems. In order to settle down these issues, many studies have been made with market models of various characteristics and regulations. The goal of modeling analysis is to enrich our understanding of fundamental process that may appear. However, there are many kinds of modeling methods. Each has drawback and advantage about validity and versatility. This paper presents two kinds of methods to construct multi-agent market models. One is based on game theory and another is based on reinforcement learning. By comparing the results of the two methods, they can advance in validity and help us figure out potential problems in electricity markets which have oligopolistic generators, demand fluctuation and inelastic demand. Moreover, this model based on reinforcement learning enables us to consider characteristics peculiar to electricity markets which have plant unit characteristics, seasonable and hourly demand fluctuation, real-time regulation market and operating reserve market. This model figures out importance of the share of peak-load-plants and the way of designing operating reserve market.
Teacher Training in South Africa: The Integrated Model as Viable Option
ERIC Educational Resources Information Center
Steyn, H. J.; Mentz, E.
2008-01-01
This article contributes to the debate regarding the preferred model for teacher education to provide for teacher shortages. The models commonly referred to are the consecutive model, the integrated model and the concurrent model for teacher training. The aim of this article is to determine if the integrated model for teacher education is an…
Uranium price forecasting methods
Fuller, D.M.
1994-03-01
This article reviews a number of forecasting methods that have been applied to uranium prices and compares their relative strengths and weaknesses. The methods reviewed are: (1) judgemental methods, (2) technical analysis, (3) time-series methods, (4) fundamental analysis, and (5) econometric methods. Historically, none of these methods has performed very well, but a well-thought-out model is still useful as a basis from which to adjust to new circumstances and try again.
An analytic network process model for municipal solid waste disposal options
Khan, Sheeba Faisal, Mohd Nishat
2008-07-01
The aim of this paper is to present an evaluation method that can aid decision makers in a local civic body to prioritize and select appropriate municipal solid waste disposal methods. We introduce a hierarchical network (hiernet) decision structure and apply the analytic network process (ANP) super-matrix approach to measure the relative desirability of disposal alternatives using value judgments as the input of the various stakeholders. ANP is a flexible analytical program that enables decision makers to find the best possible solution to complex problems by breaking down a problem into a systematic network of inter-relationships among the various levels and attributes. This method therefore may not only aid in selecting the best alternative but also helps decision makers to understand why an alternative is preferred over the other options.
Invariance in the recurrence of large returns and the validation of models of price dynamics.
Chang, Lo-Bin; Geman, Stuart; Hsieh, Fushing; Hwang, Chii-Ruey
2013-08-01
Starting from a robust, nonparametric definition of large returns ("excursions"), we study the statistics of their occurrences, focusing on the recurrence process. The empirical waiting-time distribution between excursions is remarkably invariant to year, stock, and scale (return interval). This invariance is related to self-similarity of the marginal distributions of returns, but the excursion waiting-time distribution is a function of the entire return process and not just its univariate probabilities. Generalized autoregressive conditional heteroskedasticity (GARCH) models, market-time transformations based on volume or trades, and generalized (Lévy) random-walk models all fail to fit the statistical structure of excursions.
Invariance in the recurrence of large returns and the validation of models of price dynamics
NASA Astrophysics Data System (ADS)
Chang, Lo-Bin; Geman, Stuart; Hsieh, Fushing; Hwang, Chii-Ruey
2013-08-01
Starting from a robust, nonparametric definition of large returns (“excursions”), we study the statistics of their occurrences, focusing on the recurrence process. The empirical waiting-time distribution between excursions is remarkably invariant to year, stock, and scale (return interval). This invariance is related to self-similarity of the marginal distributions of returns, but the excursion waiting-time distribution is a function of the entire return process and not just its univariate probabilities. Generalized autoregressive conditional heteroskedasticity (GARCH) models, market-time transformations based on volume or trades, and generalized (Lévy) random-walk models all fail to fit the statistical structure of excursions.
Solar PV Manufacturing Cost Model Group: Installed Solar PV System Prices (Presentation)
Goodrich, A. C.; Woodhouse, M.; James, T.
2011-02-01
EERE's Solar Energy Technologies Program is charged with leading the Secretary's SunShot Initiative to reduce the cost of electricity from solar by 75% to be cost competitive with conventional energy sources without subsidy by the end of the decade. As part of this Initiative, the program has funded the National Renewable Energy Laboratory (NREL) to develop module manufacturing and solar PV system installation cost models to ensure that the program's cost reduction targets are carefully aligned with current and near term industry costs. The NREL cost analysis team has leveraged the laboratories' extensive experience in the areas of project finance and deployment, as well as industry partnerships, to develop cost models that mirror the project cost analysis tools used by project managers at leading U.S. installers. The cost models are constructed through a "bottoms-up" assessment of each major cost element, beginning with the system's bill of materials, labor requirements (type and hours) by component, site-specific charges, and soft costs. In addition to the relevant engineering, procurement, and construction costs, the models also consider all relevant costs to an installer, including labor burdens and overhead rates, supply chain costs, and overhead and materials inventory costs, and assume market-specific profits.
JSTOR: The Development of a Cost-Driven, Value-Based Pricing Model.
ERIC Educational Resources Information Center
Guthrie, Kevin M.
JSTOR (Journal STORage project) began as a project of The Andrew W. Mellon Foundation designed to help libraries address growing persistent space problems. JSTOR was established as an independent not-for-profit organization with its own Board of Trustees in August 1995. This paper summarizes how JSTOR's economic model was developed, lessons…
Evaluating Policy Options for Biofuel Land Use Change
NASA Astrophysics Data System (ADS)
Witcover, J.; Yeh, S.; Msangi, S.
2012-12-01
The use of biofuels leads to global land use change (LUC) through increased land competition. LUC poses risks such as increased greenhouse gas emissions and food prices, that policymakers must balance against biofuel objectives. This paper examines policy approaches to lower LUC risk from biofuels. We propose a three-pronged policy approach: (1) promoting feedstocks that rely less on land; (2) reducing LUC risk for land-using feedstocks; and (3) stimulating investments that increase land productivity and environmental protection. We illustrate possibilities for model-based evaluation of LUC policy design options using two linked partial economic equilibrium simulation models (BEPAM/IMPACT). While the modeling addresses only a subset of mitigation options presented (including an 'iLUC factor'), it illustrates how this approach can shed light on the geographical distribution and magnitude of LUC resulting from specific policy designs.
The accelerated growth in biofuels markets has both created and reinforced linkages between agricultural and energy markets. This study investigates the dynamics in agricultural and biofuel markets under alternative price scenarios for both crude oil and natural gas. Two energy ...
Financial price dynamics and agent-based models as inspired by Benoit Mandelbrot
NASA Astrophysics Data System (ADS)
LeBaron, Blake
2016-12-01
This short note draws some connections between Mandelbrot‗s empirical legacy, and the interdisciplinary work that followed in finance. Much of this work is now labeled econophysics, but some has always been more in the realm of economics than physics. In a few areas the overlap is even becoming quite complete as in market microstructure. I will also give some ideas about the various successes and failures in this area, and some directions for the future of agent- based modeling in particular.
Statistical techniques for modeling extreme price dynamics in the energy market
NASA Astrophysics Data System (ADS)
Mbugua, L. N.; Mwita, P. N.
2013-02-01
Extreme events have large impact throughout the span of engineering, science and economics. This is because extreme events often lead to failure and losses due to the nature unobservable of extra ordinary occurrences. In this context this paper focuses on appropriate statistical methods relating to a combination of quantile regression approach and extreme value theory to model the excesses. This plays a vital role in risk management. Locally, nonparametric quantile regression is used, a method that is flexible and best suited when one knows little about the functional forms of the object being estimated. The conditions are derived in order to estimate the extreme value distribution function. The threshold model of extreme values is used to circumvent the lack of adequate observation problem at the tail of the distribution function. The application of a selection of these techniques is demonstrated on the volatile fuel market. The results indicate that the method used can extract maximum possible reliable information from the data. The key attraction of this method is that it offers a set of ready made approaches to the most difficult problem of risk modeling.
2011-06-24
Practitioners at all levels can plan their future career options through the NHS Nursing Career Framework interactive tool. The tool builds on the pathway-based framework set out in the post-registration career framework for nurses. Career pathways are outlined under each branch and the specialties within the branches, and cover topics including clinical careers, management and moving into education or research.
Hospital health care: pricing and quality control in a spatial model with asymmetry of information.
Levaggi, Rosella
2005-12-01
The cost of hospital care depends on the quality of the service, on the personal characteristics of the patient, on the effort of the medical staff and on information asymmetry. In this article the cost minimizing properties of alternative payment systems will be discussed in a context where hospitals can observe patient severity and compete according to the rules of Hotelling's spatial competition. The scheme is designed from the standpoint of a purchaser that sets up a contract with several providers for services of a given quality at the least possible cost. Patients' severity cannot be observed and quality cannot be verified, but the latter can be inferred through the choice of patients. The model shows that in the health care market, prospective payments and yardstick competition are weak instruments for cost containment; incentive compatible schemes are, at least from a theoretical point of view, better instruments especially in a context where the purchaser can use signals relating to the variables it cannot observe. Cost inflation has two components: the information rent paid to the provider and inefficiency. In our model the information rent is used by the provider to get more patients to his hospital; spatial competition can then be used to curb the cost of providing hospital care.
NASA Astrophysics Data System (ADS)
Hu, Haixin
This dissertation consists of two parts. The first part studies the sample selection and spatial models of housing price index using transaction data on detached single-family houses of two California metropolitan areas from 1990 through 2008. House prices are often spatially correlated due to shared amenities, or when the properties are viewed as close substitutes in a housing submarket. There have been many studies that address spatial correlation in the context of housing markets. However, none has used spatial models to construct housing price indexes at zip code level for the entire time period analyzed in this dissertation to the best of my knowledge. In this paper, I study a first-order autoregressive spatial model with four different weighing matrix schemes. Four sets of housing price indexes are constructed accordingly. Gatzlaff and Haurin (1997, 1998) study the sample selection problem in housing index by using Heckman's two-step method. This method, however, is generally inefficient and can cause multicollinearity problem. Also, it requires data on unsold houses in order to carry out the first-step probit regression. Maximum likelihood (ML) method can be used to estimate a truncated incidental model which allows one to correct for sample selection based on transaction data only. However, convergence problem is very prevalent in practice. In this paper I adopt Lewbel's (2007) sample selection correction method which does not require one to model or estimate the selection model, except for some very general assumptions. I then extend this method to correct for spatial correlation. In the second part, I analyze the U.S. gasoline market with a disequilibrium model that allows lagged-latent variables, endogenous prices, and panel data with fixed effects. Most existing studies (see the survey of Espey, 1998, Energy Economics) of the gasoline market assume equilibrium. In practice, however, prices do not always adjust fast enough to clear the market
[Drug prices: how they are established and existing price control systems].
Rovira Forns, Joan
2015-03-01
Price is one of the main barriers of access to medicines. It is therefore important to understand how prices are formed and what factors determine the amount, as well as what interventions and regulations are the most appropriate considering their effects on access, innovation, local production and other potential objectives of drug policy. Economic analysis has developed a set of market models that can explain the behavior of prices, although actual markets diverge substantially from the theoretical models. Price regulation is justified by the so-called "market failures." Price regulation based on the cost of production, the most traditional form of price control, has fallen into disuse in favor of systems of international reference pricing and value-based pricing.
NASA Astrophysics Data System (ADS)
Maitani, Tatsuyuki; Tezuka, Tetsuo
The electric power market of Japan has been locally monopolized for a long time. But, like many countries, Japan is moving forward with the deregulation of its electric power industry so that any power generation company could sell electric power in the market. The power price, however, will fluctuate inevitably to balance the power supply and demand. A new appropriate market design is indispensable when introducing new market mechanisms in the electric power market to avoid undesirable results of the market. The first stage of deregulation will be the competition between an existing large-scaled power utility and a new power generation company. In this paper we have investigated the wholesale market with competition of these two power companies based on a simulation model approach. Under the competitive situation the effects of exogenous disturbance may bring serious results and we estimated the influence on the market when the price of fossil fuel rises. The conclusion of this study is that several types of Nash equilibriums have been found in the market: the larger the new power generation company becomes, the higher the electricity price under the Nash equilibriums rises. Because of the difference in their structure of generation capacity, the existing large-scaled power utility gets more profit while the new power generation company loses its profit when the price of fossil fuel rises.
NASA Astrophysics Data System (ADS)
Kleanthous, Savvas; Savvides, Chrysanthos; Christofides, Ioannis; Hadjimitsis, Diofantos G.; Themistocleous, Kyriacos; Achilleos, Constantia; Akylas, Evangelos; Demetriadou, Chrystalla; Christodoulides, Pavlos; Douros, Ioannis; Moussiopoulos, Nicolas; Panayiotou, Charalambos; Gregoris, Charalambous; Fedra, Kurt; Kubat, Milan; Mihalopoulos, Nicolaos
2013-08-01
The LIFE+ Project PM3: Particulate Monitoring, Modeling, Management is coordinated by the Department of Labour Inspection in Cyprus and funded in part by LIFE+ Environment Policy & Governance. The project aims at the analysis of dust emissions, transport, and control options for Cyprus, as well as at the identification of "natural" contributions (Directive 2008/50/EC). The ultimate objective is to provide inputs for the design of a dust management plan to improve compliance to EC Directives and minimise impacts to human health and environment. This paper presents a short analysis of historical monitoring data and their patterns as well as a description of a dynamic dust entrainment model. The pyrogenic PM10 emissions combined with the wind driven emissions, are subject to a two phase non-linear multi-criteria emission control optimization procedure. The resulting emission scenarios with an hourly resolution provide input to the Comprehensive Air quality Model with extensions (CAMx) 3D fate and transport model, implemented for the 4,800 km master domain and embedded subdomains (270 km around the island of Cyprus and embedded smaller city domains of up to 30 km down to street canyon modeling). The models test the feasibility of candidate emission control solutions over a range of weather conditions. Model generated patterns of local emissions and long-range transport are discussed compared with the monitoring data, remote sensing (MODIS derived AOT), and the chemical analysis of dust samples.
External referencing and pharmaceutical price negotiation.
Garcia Mariñoso, Begoña; Jelovac, Izabela; Olivella, Pau
2011-06-01
External referencing (ER) imposes a price cap for pharmaceuticals, based on prices of identical or comparable products in foreign countries. Suppose a foreign country (F) negotiates prices with a pharmaceutical firm, whereas a home country (H) can either negotiate prices independently or implement ER, based on the foreign price. We show that country H prefers ER if copayments in H are relatively high. This preference is reinforced when H's population is small. Irrespective of relative country sizes, ER by country H harms country F. Our model is inspired by the wide European experience with this cost-containment policy. Namely, in Europe, drug authorization and price negotiations are carried out by separate agencies. We confirm our main results in two extensions. The first one allows for therapeutic competition between drugs. In the second one, drug authorization and price negotiation take place in a single agency.
Pricing financial derivatives with neural networks
NASA Astrophysics Data System (ADS)
Morelli, Marco J.; Montagna, Guido; Nicrosini, Oreste; Treccani, Michele; Farina, Marco; Amato, Paolo
2004-07-01
Neural network algorithms are applied to the problem of option pricing and adopted to simulate the nonlinear behavior of such financial derivatives. Two different kinds of neural networks, i.e. multi-layer perceptrons and radial basis functions, are used and their performances compared in detail. The analysis is carried out both for standard European options and American ones, including evaluation of the Greek letters, necessary for hedging purposes. Detailed numerical investigation show that, after a careful phase of training, neural networks are able to predict the value of options and Greek letters with high accuracy and competitive computational time.
NASA Astrophysics Data System (ADS)
Zhang, Wei; Bi, Zhengzheng; Shen, Dehua
2017-02-01
This paper investigates the impact of investor structure on the price-volume relationship by simulating a continuous double auction market. Connected with the underlying mechanisms of the price-volume relationship, i.e., the Mixture of Distribution Hypothesis (MDH) and the Sequential Information Arrival Hypothesis (SIAH), the simulation results show that: (1) there exists a strong lead-lag relationship between the return volatility and trading volume when the number of informed investors is close to the number of uninformed investors in the market; (2) as more and more informed investors entering the market, the lead-lag relationship becomes weaker and weaker, while the contemporaneous relationship between the return volatility and trading volume becomes more prominent; (3) when the informed investors are in absolute majority, the market can achieve the new equilibrium immediately. Therefore, we can conclude that the investor structure is a key factor in affecting the price-volume relationship.
Consumer expectations for future gasoline prices
Not Available
1983-05-01
A key finding of this study is that consumer expectations respond to the volatility in retail gasoline prices. Historical price trends can be characterized as a series of rapid steps separated by varying periods of relative stability. The behavorial models investigated here imply that consumer response to downward steps is constrained by the effect of the longer-term (less volatile) trends. The response to upward steps is, however, essentially unconstrained in that it can be driven directly through the short-term price trend. The rough trajectory by which retail gasoline prices have climbed historically thus appears to sustain relatively high consumer expectations for future price levels. In a second point of divergence, analytical efforts also generally employ real price trends. While arguably the basis for decision-making by business planners and analysts, it does not necessarily hold that consumers discount nominal price trends for expected inflation rates in developing their year-ahead price forecasts. An initial review of the SRC data for expected real price increases (expected prices adjusted for the expected inflation rate) identified no consistent relationships, and generally lower correlations, with historical trends in real prices.
Appliance Efficiency Standards and Price Discrimination
Spurlock, Cecily Anna
2013-05-08
I explore the effects of two simultaneous changes in minimum energy efficiency and ENERGY STAR standards for clothes washers. Adapting the Mussa and Rosen (1978) and Ronnen (1991) second-degree price discrimination model, I demonstrate that clothes washer prices and menus adjusted to the new standards in patterns consistent with a market in which firms had been price discriminating. In particular, I show evidence of discontinuous price drops at the time the standards were imposed, driven largely by mid-low efficiency segments of the market. The price discrimination model predicts this result. On the other hand, in a perfectly competition market, prices should increase for these market segments. Additionally, new models proliferated in the highest efficiency market segment following the standard changes. Finally, I show that firms appeared to use different adaptation strategies at the two instances of the standards changing.
Applying Real Options for Evaluating Investments in ERP Systems
NASA Astrophysics Data System (ADS)
Nakagane, Jun; Sekozawa, Teruji
This paper intends to verify effectiveness of real options approach for evaluating investments in Enterprise Resource Planning systems (ERP) and proves how important it is to disclose shadow options potentially embedded in ERP investment. The net present value (NPV) method is principally adopted to evaluate the value of ERP. However, the NPV method assumes no uncertainties exist in the object. It doesn't satisfy the current business circumstances which are filled with dynamic issues. Since the 1990s the effectiveness of option pricing models for Information System (IS) investment to solve issues in the NPV method has been discussed in the IS literature. This paper presents 3 business cases to review the practical advantages of such techniques for IS investments, especially ERP investments. The first case is EDI development. We evaluate the project by a new approach with lighting one of shadow options, EDI implementation. In the second case we reveal an ERP investment has an “expanding option” in a case of eliminating redundancy. The third case describes an option to contract which is deliberately slotted in ERP development to prepare transferring a manufacturing facility.
Strategy as a portfolio of real options.
Luehrman, T A
1998-01-01
In financial terms, a business strategy is much more like a series of options than like a single projected cash flow. Executing a strategy almost always involves making a sequence of major decisions. Some actions are taken immediately while others are deliberately deferred so that managers can optimize their choices as circumstances evolve. While executives readily grasp the analogy between strategy and real options, until recently the mechanics of option pricing was so complex that few companies found it practical to use when formulating strategy. But advances in both computing power and our understanding of option pricing over the last 20 years now make it feasible to apply real-options thinking to strategic decision making. To analyze a strategy as a portfolio of related real options, this article exploits a framework presented by the author in "Investment Opportunities as Real Options: Getting Started on the Numbers" (HBR July-August 1998). That article explained how to get from discounted-cash-flow value to option value for a typical project; in other words, it was about reaching a number. This article extends that framework, exploring how, once you've worked out the numbers, you can use option pricing to improve decision making about the sequence and timing of a portfolio of strategic investments. Timothy Luehrman shows executives how to plot their strategies in two-dimensional "option space," giving them a way to "draw" a strategy in terms that are neither wholly strategic nor wholly financial, but some of both. Such pictures inject financial discipline and new insight into how a company's future opportunities can be actively cultivated and harvested.
Customer Strategies for Responding to Day-Ahead Market HourlyElectricity Pricing
Goldman, Chuck; Hopper, Nicole; Bharvirkar, Ranjit; Neenan,Bernie; Boisvert, Dick; Cappers, Peter; Pratt, Donna; Butkins, Kim
2005-08-25
Real-time pricing (RTP) has been advocated as an economically efficient means to send price signals to customers to promote demand response (DR) (Borenstein 2002, Borenstein 2005, Ruff 2002). However, limited information exists that can be used to judge how effectively RTP actually induces DR, particularly in the context of restructured electricity markets. This report describes the second phase of a study of how large, non-residential customers' adapted to default-service day-ahead hourly pricing. The customers are located in upstate New York and served under Niagara Mohawk, A National Grid Company (NMPC)'s SC-3A rate class. The SC-3A tariff is a type of RTP that provides firm, day-ahead notice of hourly varying prices indexed to New York Independent System Operator (NYISO) day-ahead market prices. The study was funded by the California Energy Commission (CEC)'s PIER program through the Demand Response Research Center (DRRC). NMPC's is the first and longest-running default-service RTP tariff implemented in the context of retail competition. The mix of NMPC's large customers exposed to day-ahead hourly prices is roughly 30% industrial, 25% commercial and 45% institutional. They have faced periods of high prices during the study period (2000-2004), thereby providing an opportunity to assess their response to volatile hourly prices. The nature of the SC-3A default service attracted competitive retailers offering a wide array of pricing and hedging options, and customers could also participate in demand response programs implemented by NYISO. The first phase of this study examined SC-3A customers' satisfaction, hedging choices and price response through in-depth customer market research and a Constant Elasticity of Substitution (CES) demand model (Goldman et al. 2004). This second phase was undertaken to answer questions that remained unresolved and to quantify price response to a higher level of granularity. We accomplished these objectives with a second customer
Moeller, Antje; Ask, Kjetil; Warburton, David; Gauldie, Jack; Kolb, Martin
2008-01-01
Different animal models of pulmonary fibrosis have been developed to investigate potential therapies for idiopathic pulmonary fibrosis (IPF). The most common is the bleomycin model in rodents (mouse, rat and hamster). Over the years, numerous agents have been shown to inhibit fibrosis in this model. However, to date none of these compounds are used in the clinical management of IPF and none has shown a comparable antifibrotic effect in humans. We performed a systematic review of publications on drug efficacy studies in the bleomycin model to evaluate the value of this model regarding transferability to clinical use. Between 1980 and 2006 we identified 246 experimental studies describing beneficial antifibrotic compounds in the bleomycin model. In 221 of the studies we found enough details about the timing of drug application to allow inter-study comparison. 211 of those used a preventive regimen (drug given ≤ day 7 after last bleomycin application), only 10 were therapeutic trials (> 7 days after last bleomycin application). It is critical to distinguish between drugs interfering with the inflammatory and early fibrogenic response from those preventing progression of fibrosis, the latter likely much more meaningful for clinical application. All potential antifibrotic compounds should be evaluated in the phase of established fibrosis rather than in the early period of bleomycin-induced inflammation for assessment of its antifibrotic properties. Further care should be taken in extrapolation of drugs successfully tested in the bleomycin model due to partial reversibility of bleomycin induced fibrosis over time. The use of alternative and more robust animal models, which better reflect human IPF, is warranted. PMID:17936056
Evaluating Domestic Hot Water Distribution System Options with Validated Analysis Models
Weitzel, E.; Hoeschele, E.
2014-09-01
A developing body of work is forming that collects data on domestic hot water consumption, water use behaviors, and energy efficiency of various distribution systems. Transient System Simulation Tool (TRNSYS) is a full distribution system developed that has been validated using field monitoring data and then exercised in a number of climates to understand climate impact on performance. In this study, the Building America team built upon previous analysis modeling work to evaluate differing distribution systems and the sensitivities of water heating energy and water use efficiency to variations of climate, load, distribution type, insulation and compact plumbing practices. Overall, 124 different TRNSYS models were simulated. The results of this work are useful in informing future development of water heating best practices guides as well as more accurate (and simulation time efficient) distribution models for annual whole house simulation programs.
Assessment of coastal management options by means of multilayered ecosystem models
NASA Astrophysics Data System (ADS)
Nobre, Ana M.; Ferreira, João G.; Nunes, João P.; Yan, Xiaojun; Bricker, Suzanne; Corner, Richard; Groom, Steve; Gu, Haifeng; Hawkins, Anthony J. S.; Hutson, Rory; Lan, Dongzhao; Silva, João D. Lencart e.; Pascoe, Philip; Telfer, Trevor; Zhang, Xuelei; Zhu, Mingyuan
2010-03-01
This paper presents a multilayered ecosystem modelling approach that combines the simulation of the biogeochemistry of a coastal ecosystem with the simulation of the main forcing functions, such as catchment loading and aquaculture activities. This approach was developed as a tool for sustainable management of coastal ecosystems. A key feature is to simulate management scenarios that account for changes in multiple uses and enable assessment of cumulative impacts of coastal activities. The model was applied to a coastal zone in China with large aquaculture production and multiple catchment uses, and where management efforts to improve water quality are under way. Development scenarios designed in conjunction with local managers and aquaculture producers include the reduction of fish cages and treatment of wastewater. Despite the reduction in nutrient loading simulated in three different scenarios, inorganic nutrient concentrations in the bay were predicted to exceed the thresholds for poor quality defined by Chinese seawater quality legislation. For all scenarios there is still a Moderate High to High nutrient loading from the catchment, so further reductions might be enacted, together with additional decreases in fish cage culture. The model predicts that overall, shellfish production decreases by 10%-28% using any of these development scenarios, principally because shellfish growth is being sustained by the substances to be reduced for improvement of water quality. The model outcomes indicate that this may be counteracted by zoning of shellfish aquaculture at the ecosystem level in order to optimize trade-offs between productivity and environmental effects. The present case study exemplifies the value of multilayered ecosystem modelling as a tool for Integrated Coastal Zone Management and for the adoption of ecosystem approaches for marine resource management. This modelling approach can be applied worldwide, and may be particularly useful for the application of
Evaluation of shelter ventilation by model tests. Option 2. Final report, August 1983-September 1984
Krishnakumar, C.K.; Schafer, C.K.; Henninger, R.H.; Fields, S.F.
1984-09-01
Wind tunnel tests were carried out using models of fallout shelters to determine correlations between shelter ventilation rate, area and distribution of wall openings, wind speed and its direction relative to the orientation of the shelter. Models of bermed shelters with five different opening configurations were used. A simple correlation was formulated between the shelter ventilation rate, the total area of windward openings, the ratio of leeward to windward opening areas and the velocity of the approach wind. Results were compared with those projected from available correlations for general type buildings. Originator provided keywords include: Flow visualization and Relative wind angle.
Addition of a 5/cm Spectral Resolution Band Model Option to LOWTRAN5.
1980-10-01
FORM I. REPORT NUMBER .GOVT ACCESSION NO. 3 . RECIPIENT’S CATALCI UMISER ARI-RR-232 -9 1 0. T Ct IIIM INNY S TYPE OF REPORT & PERIOD COVERED I ddition of...5r/TPAN (2) the addition of temperature dependent ecular absorption coefficients,’ and ( 3 ) the use of a multi-parameter, Dp 71pForentz band model for...LOWTRA.I5 and LOWTRAN5(IMOD) ..... 2-10 2.8 Comparison of LOWTRAN5 Models to Measurements 2-16 3 . MODIFICATIONS TO LOWTRAN5
ERIC Educational Resources Information Center
McCabe, Mark J.; Snyder, Christopher M.; Fagin, Anna
2013-01-01
Economists have built a theory to understand markets in which, rather than selling directly to buyers, suppliers sell through a platform, which controls prices on both sides. The theory has been applied to understand markets ranging from telephony, to credit cards, to media. In this paper, we apply the theory to the market for scholarly journals,…
Bird, S.P.
1980-09-01
The simulation code, SOLSTEP, was developed at the Pacific Northwest Laboratory to facilitate the evaluation of proposed designs for solar thermal power plants. It allows the user to analyze the thermodynamic and economic performance of a conceptual design for several field size-storage capacity configurations. This feature makes it possible to study the levelized energy cost of a proposed concept over a range of plant capacity factors. The thermodynamic performance is analyzed on a time step basis using actual recorded meteorological and insolation data for specific geographic locations. The flexibility of the model enables the user to analyze both central and distributed generation concepts using either thermal or electric storage systems. The thermodynamic and economic analyses view the plant in a macroscopic manner as a combination of component subsystems. In the thermodynamic simulation, concentrator optical performance is modeled as a function of solar position; other aspects of collector performance can optionally be treated as functions of ambient air temperature, wind speed, and component power level. The power conversion model accounts for the effects of ambient air temperature, partial load operation, auxiliary power demands, and plant standby and startup energy requirements. The code was designed in a modular fashion to provide efficient evaluations of the collector system, total plant, and system economics. SOLSTEP has been used to analyze a variety of solar thermal generic concepts involving several collector types and energy conversion and storage subsystems. The code's straightforward models and modular nature facilitated simple and inexpensive parametric studies of solar thermal power plant performance.
A Mathematical Model that Simulates Control Options for African Swine Fever Virus (ASFV)
Barongo, Mike B.; Bishop, Richard P; Fèvre, Eric M; Knobel, Darryn L; Ssematimba, Amos
2016-01-01
A stochastic model designed to simulate transmission dynamics of African swine fever virus (ASFV) in a free-ranging pig population under various intervention scenarios is presented. The model was used to assess the relative impact of the timing of the implementation of different control strategies on disease-related mortality. The implementation of biosecurity measures was simulated through incorporation of a decay function on the transmission rate. The model predicts that biosecurity measures implemented within 14 days of the onset of an epidemic can avert up to 74% of pig deaths due to ASF while hypothetical vaccines that confer 70% immunity when deployed prior to day 14 of the epidemic could avert 65% of pig deaths. When the two control measures are combined, the model predicts that 91% of the pigs that would have otherwise succumbed to the disease if no intervention was implemented would be saved. However, if the combined interventions are delayed (defined as implementation from > 60 days) only 30% of ASF-related deaths would be averted. In the absence of vaccines against ASF, we recommend early implementation of enhanced biosecurity measures. Active surveillance and use of pen-side diagnostic assays, preferably linked to rapid dissemination of this data to veterinary authorities through mobile phone technology platforms are essential for rapid detection and confirmation of ASF outbreaks. This prediction, although it may seem intuitive, rationally confirms the importance of early intervention in managing ASF epidemics. The modelling approach is particularly valuable in that it determines an optimal timing for implementation of interventions in controlling ASF outbreaks. PMID:27391689
A Mathematical Model that Simulates Control Options for African Swine Fever Virus (ASFV).
Barongo, Mike B; Bishop, Richard P; Fèvre, Eric M; Knobel, Darryn L; Ssematimba, Amos
2016-01-01
A stochastic model designed to simulate transmission dynamics of African swine fever virus (ASFV) in a free-ranging pig population under various intervention scenarios is presented. The model was used to assess the relative impact of the timing of the implementation of different control strategies on disease-related mortality. The implementation of biosecurity measures was simulated through incorporation of a decay function on the transmission rate. The model predicts that biosecurity measures implemented within 14 days of the onset of an epidemic can avert up to 74% of pig deaths due to ASF while hypothetical vaccines that confer 70% immunity when deployed prior to day 14 of the epidemic could avert 65% of pig deaths. When the two control measures are combined, the model predicts that 91% of the pigs that would have otherwise succumbed to the disease if no intervention was implemented would be saved. However, if the combined interventions are delayed (defined as implementation from > 60 days) only 30% of ASF-related deaths would be averted. In the absence of vaccines against ASF, we recommend early implementation of enhanced biosecurity measures. Active surveillance and use of pen-side diagnostic assays, preferably linked to rapid dissemination of this data to veterinary authorities through mobile phone technology platforms are essential for rapid detection and confirmation of ASF outbreaks. This prediction, although it may seem intuitive, rationally confirms the importance of early intervention in managing ASF epidemics. The modelling approach is particularly valuable in that it determines an optimal timing for implementation of interventions in controlling ASF outbreaks.
ERIC Educational Resources Information Center
Jones-White, Daniel R.; Radcliffe, Peter M.; Lorenz, Linda M.; Soria, Krista M.
2014-01-01
While the literature on postsecondary student success identifies important academic and social factors associated with student outcomes, one question that persists concerns the influence of financial aid. We use the National Student Clearinghouse's StudentTracker service to develop a more complete model of student success that accommodates…
Federal Register 2010, 2011, 2012, 2013, 2014
2012-09-14
... indicative \\6\\ values for three categories of ``customized'' options. The first category of options is all... category includes options with strike prices expressed in percentage terms. Values for such options would be expressed in percentage terms and would be theoretical values.\\8\\ \\6\\ ``Indicative'' values...
Three essays on access pricing
NASA Astrophysics Data System (ADS)
Sydee, Ahmed Nasim
In the first essay, a theoretical model is developed to determine the time path of optimal access price in the telecommunications industry. Determining the optimal access price is an important issue in the economics of telecommunications. Setting a high access price discourages potential entrants; a low access price, on the other hand, amounts to confiscation of private property because the infrastructure already built by the incumbent is sunk. Furthermore, a low access price does not give the incumbent incentives to maintain the current network and to invest in new infrastructures. Much of the existing literature on access pricing suffers either from the limitations of a static framework or from the assumption that all costs are avoidable. The telecommunications industry is subject to high stranded costs and, therefore, to address this issue a dynamic model is imperative. This essay presents a dynamic model of one-way access pricing in which the compensation involved in deregulatory taking is formalized and then analyzed. The short run adjustment after deregulatory taking has occurred is carried out and discussed. The long run equilibrium is also analyzed. A time path for the Ramsey price is shown as the correct dynamic price of access. In the second essay, a theoretical model is developed to determine the time path of optimal access price for an infrastructure that is characterized by congestion and lumpy investment. Much of the theoretical literature on access pricing of infrastructure prescribes that the access price be set at the marginal cost of the infrastructure. In proposing this rule of access pricing, the conventional analysis assumes that infrastructure investments are infinitely divisible so that it makes sense to talk about the marginal cost of investment. Often it is the case that investments in infrastructure are lumpy and can only be made in large chunks, and this renders the marginal cost concept meaningless. In this essay, we formalize a model of
Høgåsen, H R; Er, C; Di Nardo, A; Dalla Villa, P
2013-11-01
Since 1991, Italian free-roaming dogs have been under government protection and euthanasia is restricted by law. Management measures are regulated at the regional level and include: kennelling, adoptions, conversion of stray dogs into block dogs, and population control of owned dogs. "Block dogs" are free-roaming dogs that have been collected by the veterinary services, microchipped, sterilised, vaccinated, and released under the responsibility of the local municipalities. The present paper describes a cost-benefit model for different management options and applies it to two provinces in Abruzzo, central Italy. The model considers welfare, nuisance and direct costs to the municipality. Welfare is quantified based on the expert opinions of 60 local veterinarians, who were asked to assign a score for each dog category according to the five freedoms: freedom from pain, physical discomfort, disease, fear, and freedom to express normal behaviour. Nuisance was assessed only for comparisons between management options, using the number of free-roaming dogs per inhabitant as a proxy indicator. A community dog population model was constructed to predict the effect of management on the different subpopulations of dogs during a ten-year period. It is a user-friendly deterministic model in Excel, easily adaptable to different communities to assess the impact of their dog management policy on welfare, nuisance and direct monetary cost. We present results for Teramo and Pescara provinces. Today's management system is compared to alternative models, which evaluate the effect of specific interventions. These include either a 10% yearly increase in kennel capacity, an increase in adoptions from kennels, a doubling of the capture of stray dogs, or a stabilisation of the owned dog population. Results indicate that optimal management decisions are complex because welfare, nuisance and monetary costs may imply conflicting interventions. Nevertheless, they clearly indicate that
Process Options Description for Vitrification Flowsheet Model of INEEL Sodium Bearing Waste
Nichols, Todd Travis; Taylor, Dean Dalton; Lauerhass, Lance; Barnes, Charles Marshall
2001-02-01
The purpose of this document is to provide the technical information to Savannah River Site (SRS) personnel that is required for the development of a basic steady-state process simulation of the vitrification treatment train of sodium bearing waste (SBW) at Idaho National Engineering and nvironmental Laboratory (INEEL). INEEL considers simulation to have an important role in the integration/optimization of treatment process trains for the High Level Waste (HLW) Program. This project involves a joint Technical Task Plan (TTP ID77WT31, Subtask C) between SRS and INEEL. The work scope of simulation is different at the two sites. This document addresses only the treatment of SBW at INEEL. The simulation model(s) is to be built by SRS for INEEL in FY-2001.
Thermal control of high energy nuclear waste, space option. [mathematical models
NASA Technical Reports Server (NTRS)
Peoples, J. A.
1979-01-01
Problems related to the temperature and packaging of nuclear waste material for disposal in space are explored. An approach is suggested for solving both problems with emphasis on high energy density waste material. A passive cooling concept is presented which utilized conduction rods that penetrate the inner core. Data are presented to illustrate the effectiveness of the rods and the limit of their capability. A computerized thermal model is discussed and developed for the cooling concept.
Exploring Water Management Options with SIWA: A Simple, Coupled Human-Water-Climate Model
NASA Astrophysics Data System (ADS)
Motesharrei, S.; Gustafson, K. C.; Zhao, F.; Rivas, J.; Zeng, N.; Miralles-Wilhelm, F.; Kalnay, E.
2013-12-01
Water is, and has always been, a critical resource for survival of civilizations and a key to prosperity of societies. Over the past several decades, demand for freshwater has increased significantly due to growth of both population and consumption. Such soaring demands have put serious strain on freshwater sources at many regions of the world, and climate change can only worsen the uncertainty in availability of needed freshwater. Therefore, it is essential to study the water system in conjunction with the Earth system and the Human system. Most importantly, we need to understand effectiveness of various managerial decisions on the water system, since efficient policy making is the only viable solution for sustaining water sources and supply (reservoir) at any water-scarce region of the world. We have developed a SImple WAter model (SIWA) that is integrated with the human system and the earth system through bidirectional feedbacks. Policies are introduced as drivers of the model so that the effect of each policy on the system can be measured as we change its level. We have applied our model to two data-rich watersheds in the United States: Phoenix AMA watershed and the Potomac River Basin. The latter receives plenty of precipitation while the former is rather dry. Model is trained with the data from 1900-2010, and then projections are made for the next several decades. Historical data were recovered from the records at the US National Archives. We have also used remotely sensed satellite data in conjunction with data from local municipalities. Response of the system to six different short and long term policies are presented under three different climate scenarios. We show that it is possible to guarantee the freshwater supply and sustain the freshwater sources through a proper set of policy choices for any specific region.
Evaluating Domestic Hot Water Distribution System Options With Validated Analysis Models
Weitzel, E.; Hoeschele, M.
2014-09-01
A developing body of work is forming that collects data on domestic hot water consumption, water use behaviors, and energy efficiency of various distribution systems. A full distribution system developed in TRNSYS has been validated using field monitoring data and then exercised in a number of climates to understand climate impact on performance. This study builds upon previous analysis modelling work to evaluate differing distribution systems and the sensitivities of water heating energy and water use efficiency to variations of climate, load, distribution type, insulation and compact plumbing practices. Overall 124 different TRNSYS models were simulated. Of the configurations evaluated, distribution losses account for 13-29% of the total water heating energy use and water use efficiency ranges from 11-22%. The base case, an uninsulated trunk and branch system sees the most improvement in energy consumption by insulating and locating the water heater central to all fixtures. Demand recirculation systems are not projected to provide significant energy savings and in some cases increase energy consumption. Water use is most efficient with demand recirculation systems, followed by the insulated trunk and branch system with a central water heater. Compact plumbing practices and insulation have the most impact on energy consumption (2-6% for insulation and 3-4% per 10 gallons of enclosed volume reduced). The results of this work are useful in informing future development of water heating best practices guides as well as more accurate (and simulation time efficient) distribution models for annual whole house simulation programs.
Distance to Store, Food Prices, and Obesity in Urban Food Deserts
Ghosh-Dastidar, Bonnie; Cohen, Deborah; Hunter, Gerald; Zenk, Shannon N.; Huang, Christina; Beckman, Robin; Dubowitz, Tamara
2014-01-01
Background Lack of access to healthy foods may explain why residents of low-income neighborhoods and African Americans in the U.S. have high rates of obesity. The findings on where people shop and how that may influence health are mixed. However, multiple policy initiatives are underway to increase access in communities that currently lack healthy options. Few studies have simultaneously measured obesity, distance, and prices of the store used for primary food shopping. Purpose To examine the relationship among distance to store, food prices, and obesity. Methods The Pittsburgh Hill/Homewood Research on Eating, Shopping, and Health study conducted baseline interviews with 1,372 households between May and December 2011 in two low-income, majority African American neighborhoods without a supermarket. Audits of 16 stores where participants reported doing their major food shopping were conducted. Data were analyzed between February 2012 and February 2013. Results Distance to store and prices were positively associated with obesity (p<0.05). When distance to store and food prices were jointly modeled, only prices remained significant (p<0.01), with higher prices predicting a lower likelihood of obesity. Although low- and high-price stores did not differ in availability, they significantly differed in their display and marketing of junk foods relative to healthy foods. Conclusions Placing supermarkets in food deserts to improve access may not be as important as simultaneously offering better prices for healthy foods relative to junk foods, actively marketing healthy foods, and enabling consumers to resist the influence of junk food marketing. PMID:25217097
ERIC Educational Resources Information Center
Chressanthis, George A.; Chressanthis, June D.
1994-01-01
Provides regression-based empirical evidence of the effects of variations in exchange rate risk on 1985 library prices of the top-ranked 99 journals in economics. The relationship between individual journal prices and library prices is shown, and other factors associated with increases and decreases in library journal prices are given. (Contains…
Cai, Yan; Wu, Jie; Li, Zhiyong; Long, Quan
2016-01-01
We propose a coupled mathematical modelling system to investigate glioblastoma growth in response to dynamic changes in chemical and haemodynamic microenvironments caused by pre-existing vessel co-option, remodelling, collapse and angiogenesis. A typical tree-like architecture network with different orders for vessel diameter is designed to model pre-existing vasculature in host tissue. The chemical substances including oxygen, vascular endothelial growth factor, extra-cellular matrix and matrix degradation enzymes are calculated based on the haemodynamic environment which is obtained by coupled modelling of intravascular blood flow with interstitial fluid flow. The haemodynamic changes, including vessel diameter and permeability, are introduced to reflect a series of pathological characteristics of abnormal tumour vessels including vessel dilation, leakage, angiogenesis, regression and collapse. Migrating cells are included as a new phenotype to describe the migration behaviour of malignant tumour cells. The simulation focuses on the avascular phase of tumour development and stops at an early phase of angiogenesis. The model is able to demonstrate the main features of glioblastoma growth in this phase such as the formation of pseudopalisades, cell migration along the host vessels, the pre-existing vasculature co-option, angiogenesis and remodelling. The model also enables us to examine the influence of initial conditions and local environment on the early phase of glioblastoma growth. PMID:26934465
Cai, Yan; Wu, Jie; Li, Zhiyong; Long, Quan
2016-01-01
We propose a coupled mathematical modelling system to investigate glioblastoma growth in response to dynamic changes in chemical and haemodynamic microenvironments caused by pre-existing vessel co-option, remodelling, collapse and angiogenesis. A typical tree-like architecture network with different orders for vessel diameter is designed to model pre-existing vasculature in host tissue. The chemical substances including oxygen, vascular endothelial growth factor, extra-cellular matrix and matrix degradation enzymes are calculated based on the haemodynamic environment which is obtained by coupled modelling of intravascular blood flow with interstitial fluid flow. The haemodynamic changes, including vessel diameter and permeability, are introduced to reflect a series of pathological characteristics of abnormal tumour vessels including vessel dilation, leakage, angiogenesis, regression and collapse. Migrating cells are included as a new phenotype to describe the migration behaviour of malignant tumour cells. The simulation focuses on the avascular phase of tumour development and stops at an early phase of angiogenesis. The model is able to demonstrate the main features of glioblastoma growth in this phase such as the formation of pseudopalisades, cell migration along the host vessels, the pre-existing vasculature co-option, angiogenesis and remodelling. The model also enables us to examine the influence of initial conditions and local environment on the early phase of glioblastoma growth.
NASA Astrophysics Data System (ADS)
Efstratiadis, Andreas; Nalbantis, Ioannis; Rozos, Evangelos; Koutsoyiannis, Demetris
2010-05-01
In mixed natural and artificialized river basins, many complexities arise due to anthropogenic interventions in the hydrological cycle, including abstractions from surface water bodies, groundwater pumping or recharge and water returns through drainage systems. Typical engineering approaches adopt a multi-stage modelling procedure, with the aim to handle the complexity of process interactions and the lack of measured abstractions. In such context, the entire hydrosystem is separated into natural and artificial sub-systems or components; the natural ones are modelled individually, and their predictions (i.e. hydrological fluxes) are transferred to the artificial components as inputs to a water management scheme. To account for the interactions between the various components, an iterative procedure is essential, whereby the outputs of the artificial sub-systems (i.e. abstractions) become inputs to the natural ones. However, this strategy suffers from multiple shortcomings, since it presupposes that pure natural sub-systems can be located and that sufficient information is available for each sub-system modelled, including suitable, i.e. "unmodified", data for calibrating the hydrological component. In addition, implementing such strategy is ineffective when the entire scheme runs in stochastic simulation mode. To cope with the above drawbacks, we developed a generalized modelling framework, following a network optimization approach. This originates from the graph theory, which has been successfully implemented within some advanced computer packages for water resource systems analysis. The user formulates a unified system which is comprised of the hydrographical network and the typical components of a water management network (aqueducts, pumps, junctions, demand nodes etc.). Input data for the later include hydraulic properties, constraints, targets, priorities and operation costs. The real-world system is described through a conceptual graph, whose dummy properties
Stargardt disease: clinical features, molecular genetics, animal models and therapeutic options
Tanna, Preena; Strauss, Rupert W; Fujinami, Kaoru; Michaelides, Michel
2017-01-01
Stargardt disease (STGD1; MIM 248200) is the most prevalent inherited macular dystrophy and is associated with disease-causing sequence variants in the gene ABCA4. Significant advances have been made over the last 10 years in our understanding of both the clinical and molecular features of STGD1, and also the underlying pathophysiology, which has culminated in ongoing and planned human clinical trials of novel therapies. The aims of this review are to describe the detailed phenotypic and genotypic characteristics of the disease, conventional and novel imaging findings, current knowledge of animal models and pathogenesis, and the multiple avenues of intervention being explored. PMID:27491360
Renewable Power Options for Electrical Generation on Kaua'i: Economics and Performance Modeling
Burman, K.; Keller, J.; Kroposki, B.; Lilienthal, P.; Slaughter, R.; Glassmire, J.
2011-11-01
The Hawaii Clean Energy Initiative (HCEI) is working with a team led by the U.S. Department of Energy's (DOE) National Renewable Energy Laboratory (NREL) to assess the economic and technical feasibility of increasing the contribution of renewable energy in Hawaii. This part of the HCEI project focuses on working with Kaua'i Island Utility Cooperative (KIUC) to understand how to integrate higher levels of renewable energy into the electric power system of the island of Kaua'i. NREL partnered with KIUC to perform an economic and technical analysis and discussed how to model PV inverters in the electrical grid.
Cashin, Cheryl; Phuong, Nguyen Khanh; Shain, Ryan; Oanh, Tran Thi Mai; Thuy, Nguyen Thi
2015-01-01
Vietnam is currently considering a revision of its 2008 Health Insurance Law, including the regulation of provider payment methods. This study uses a simple spreadsheet-based, micro-simulation model to analyse the potential impacts of different provider payment reform scenarios on resource allocation across health care providers in three provinces in Vietnam, as well as on the total expenditure of the provincial branches of the public health insurance agency (Provincial Social Security [PSS]). The results show that currently more than 50% of PSS spending is concentrated at the provincial level with less than half at the district level. There is also a high degree of financial risk on district hospitals with the current fund-holding arrangement. Results of the simulation model show that several alternative scenarios for provider payment reform could improve the current payment system by reducing the high financial risk currently borne by district hospitals without dramatically shifting the current level and distribution of PSS expenditure. The results of the simulation analysis provided an empirical basis for health policy-makers in Vietnam to assess different provider payment reform options and make decisions about new models to support health system objectives.
Babad, H. R.; Nokes, D. J.; Gay, N. J.; Miller, E.; Morgan-Capner, P.; Anderson, R. M.
1995-01-01
Measles incidence in England and Wales has fallen to an all-time low. Attention is now focused on preventing local outbreaks, and, in the long run, on the elimination of indigenous measles. A realistic age-structured (RAS) mathematical model of measles transmission is used to reconstruct the impact of measles vaccination in England and Wales from 1968 to the present and to evaluate the merits of future policy options. In general, the predictions of the model show good agreement with long-term age stratified case reports and seroprevalence surveys. The model underestimates the proportion of cases that are notified in 0-2-year-old children. However, recent work suggests a high degree of misdiagnosis in this age group. Projections on the basis of the existing vaccination strategy in the UK suggest that the present level of measles vaccine coverage will be insufficient to eliminate small seasonal outbreaks of measles. This result is, however, sensitive to the assumed level of vaccine efficacy. Explorations of a variety of changes to current vaccination strategy favour a 2-dose schedule with the second dose administered at age 4 years irrespective of vaccination history. A vaccination campaign in school-age children, to reduce deficits in herd immunity, would accelerate progress towards measles elimination. PMID:7705494
NASA Astrophysics Data System (ADS)
Niu, Guo-Yue; Yang, Zong-Liang; Mitchell, Kenneth E.; Chen, Fei; Ek, Michael B.; Barlage, Michael; Kumar, Anil; Manning, Kevin; Niyogi, Dev; Rosero, Enrique; Tewari, Mukul; Xia, Youlong
2011-06-01
This first paper of the two-part series describes the objectives of the community efforts in improving the Noah land surface model (LSM), documents, through mathematical formulations, the augmented conceptual realism in biophysical and hydrological processes, and introduces a framework for multiple options to parameterize selected processes (Noah-MP). The Noah-MP's performance is evaluated at various local sites using high temporal frequency data sets, and results show the advantages of using multiple optional schemes to interpret the differences in modeling simulations. The second paper focuses on ensemble evaluations with long-term regional (basin) and global scale data sets. The enhanced conceptual realism includes (1) the vegetation canopy energy balance, (2) the layered snowpack, (3) frozen soil and infiltration, (4) soil moisture-groundwater interaction and related runoff production, and (5) vegetation phenology. Sample local-scale validations are conducted over the First International Satellite Land Surface Climatology Project (ISLSCP) Field Experiment (FIFE) site, the W3 catchment of Sleepers River, Vermont, and a French snow observation site. Noah-MP shows apparent improvements in reproducing surface fluxes, skin temperature over dry periods, snow water equivalent (SWE), snow depth, and runoff over Noah LSM version 3.0. Noah-MP improves the SWE simulations due to more accurate simulations of the diurnal variations of the snow skin temperature, which is critical for computing available energy for melting. Noah-MP also improves the simulation of runoff peaks and timing by introducing a more permeable frozen soil and more accurate simulation of snowmelt. We also demonstrate that Noah-MP is an effective research tool by which modeling results for a given process can be interpreted through multiple optional parameterization schemes in the same model framework.
Sitzenfrei, R; Rauch, W
2014-01-01
The impact of climate change, water scarcity, land use change, population growth and also population shrinking can only be predicted with uncertainties. Especially for assets with a long planning horizon this is a critical part for planning and design. One solution is to make centralized organized water infrastructure with a long-planning horizon resilient and adaptive. For existing centralized infrastructure such a transition would be to increasingly implement decentralized measures. But such a transition can cause severe impacts on existing centralized infrastructure. Low flow conditions in urban drainage systems can cause sediment deposition, and for water supply systems water age problems may occur. This work focuses on city-scale analysis for assessing the impact of such measures. For that a coupled model for integrated city-scale analysis is applied and further developed. In addition, a geographic information system (GIS)-based approach for sensitivity analysis is enhanced and also implemented in that model. The developed approach is applied to assess the water infrastructure of an alpine case study. With the obtained results it is demonstrated how the planning process is enhanced by indicating where and where not to implement decentralized measures in an existing water infrastructure.
Process Options Description for Vitrification Flowsheet Model of INEEL Sodium Bearing Waste
Nichols, T.T.; Taylor, D.D.; Lauerhass, L.; Barnes, C.M.
2002-02-21
The technical information required for the development of a basic steady-state process simulation of the vitrification treatment train of sodium bearing waste (SBW) at Idaho National Engineering and Environmental Laboratory (INEEL) is presented. The objective of the modeling effort is to provide the predictive capability required to optimize an entire treatment train and assess system-wide impacts of local changes at individual unit operations, with the aim of reducing the schedule and cost of future process/facility design efforts. All the information required a priori for engineers to construct and link unit operation modules in a commercial software simulator to represent the alternative treatment trains is presented. The information is of a mid- to high-level nature and consists of the following: (1) a description of twenty-four specific unit operations--their operating conditions and constraints, primary species and key outputs, and the initial modeling approaches that will be used in the first year of the simulation's development; (2) three potential configurations of the unit operations (trains) and their interdependencies via stream connections; and (3) representative stream compositional makeups.
Rao, Mayuree; Afshin, Ashkan; Singh, Gitanjali; Mozaffarian, Dariush
2013-01-01
Objective To conduct a systematic review and meta-analysis of prices of healthier versus less healthy foods/diet patterns while accounting for key sources of heterogeneity. Data sources MEDLINE (2000–2011), supplemented with expert consultations and hand reviews of reference lists and related citations. Design Studies reviewed independently and in duplicate were included if reporting mean retail price of foods or diet patterns stratified by healthfulness. We extracted, in duplicate, mean prices and their uncertainties of healthier and less healthy foods/diet patterns and rated the intensity of health differences for each comparison (range 1–10). Prices were adjusted for inflation and the World Bank purchasing power parity, and standardised to the international dollar (defined as US$1) in 2011. Using random effects models, we quantified price differences of healthier versus less healthy options for specific food types, diet patterns and units of price (serving, day and calorie). Statistical heterogeneity was quantified using I2 statistics. Results 27 studies from 10 countries met the inclusion criteria. Among food groups, meats/protein had largest price differences: healthier options cost $0.29/serving (95% CI $0.19 to $0.40) and $0.47/200 kcal ($0.42 to $0.53) more than less healthy options. Price differences per serving for healthier versus less healthy foods were smaller among grains ($0.03), dairy (−$0.004), snacks/sweets ($0.12) and fats/oils ($0.02; p<0.05 each) and not significant for soda/juice ($0.11, p=0.64). Comparing extremes (top vs bottom quantile) of food-based diet patterns, healthier diets cost $1.48/day ($1.01 to $1.95) and $1.54/2000 kcal ($1.15 to $1.94) more. Comparing nutrient-based patterns, price per day was not significantly different (top vs bottom quantile: $0.04; p=0.916), whereas price per 2000 kcal was $1.56 ($0.61 to $2.51) more. Adjustment for intensity of differences in healthfulness yielded similar results. Conclusions
NASA Astrophysics Data System (ADS)
Pan, Wei; Wang, Xianjia; Zhong, Yong-guang; Yu, Lean; Jie, Cao; Ran, Lun; Qiao, Han; Wang, Shouyang; Xu, Xianhao
2012-06-01
Data communication service has an important influence on e-commerce. The key challenge for the users is, ultimately, to select a suitable provider. However, in this article, we do not focus on this aspect but the viewpoint and decision-making of providers for order allocation and pricing policy when orders exceed service capacity. It is a multiple criteria decision-making problem such as profit and cancellation ratio. Meanwhile, we know realistic situations in which much of the input information is uncertain. Thus, it becomes very complex in a real-life environment. In this situation, fuzzy sets theory is the best tool for solving this problem. Our fuzzy model is formulated in such a way as to simultaneously consider the imprecision of information, price sensitive demand, stochastic variables, cancellation fee and the general membership function. For solving the problem, a new fuzzy programming is developed. Finally, a numerical example is presented to illustrate the proposed method. The results show that it is effective for determining the suitable order set and pricing policy of provider in data communication service with different quality of service (QoS) levels.
ERIC Educational Resources Information Center
Engelhardt, Lucas M.
2015-01-01
In this article, the author presents a price-takers' market simulation geared toward principles-level students. This simulation demonstrates that price-taking behavior is a natural result of the conditions that create perfect competition. In trials, there is a significant degree of price convergence in just three or four rounds. Students find this…
ERIC Educational Resources Information Center
Alden, Lori
2003-01-01
In this article, the author discusses the educational frozen price game she developed to teach the basic economic principle of price allocation. In addition to demonstrating the advantages of price allocation, the game also illustrates such concepts as opportunity costs, cost benefit comparisons, and the trade-off between efficiency and equity.…
NASA Technical Reports Server (NTRS)
Chamberlain, R. G.; Aster, R. W.; Firnett, P. J.; Miller, M. A.
1985-01-01
Improved Price Estimation Guidelines, IPEG4, program provides comparatively simple, yet relatively accurate estimate of price of manufactured product. IPEG4 processes user supplied input data to determine estimate of price per unit of production. Input data include equipment cost, space required, labor cost, materials and supplies cost, utility expenses, and production volume on industry wide or process wide basis.
1981-01-01
equilibrium theory to include spatially and tempor- ally separated economic activities. Takayama and Judge (156) provide an historical sketch of...nonprice rationing in financial markets (72). The degree to which such activity limits the usefulness of the spatial equilibrium model is mitigated by a...15th ed. S.v. "Operations Research," by Russell L. Ackoff. 55. Enke, Stephen. " Equilibrium Among Spatially Separated Markets: Solution by Electric
Sheep Model for Uterine Transplantation: The Best Option Before Starting a Human Program
Andraus, Wellington; Ejzenberg, Dani; dos Santos, Rafael Miyashiro Nunes; Mendes, Luana Regina Baratelli Carelli; Arantes, Rubens Macedo; Baracat, Edmund Chada; D’Albuquerque, Luiz Augusto Carneiro
2017-01-01
OBJECTIVE: This study reports the first four cases of a uterine transplant procedure conducted in sheep in Latin America. The aim of this study was to evaluate the success of uterine transplantation in sheep. METHOD: The study was conducted at Laboratory of Medical Investigation 37 (LIM 37) at the University of São Paulo School of Medicine. Four healthy mature ewes weighing 40-60 kg were used as both the donor and recipient for a transplant within the same animal (auto-transplant). Institutional guidelines for the care of experimental animals were followed. RESULTS: The first two cases of auto-transplant were performed to standardize the technique. After complete uterine mobilization and isolation of the blood supply, the unilateral vascular pedicle was sectioned and anastomosed on the external iliac vessels. After standardization, the protocol was implemented. Procurement surgery was performed without complications or bleeding. After isolation of uterine arteries and veins as well as full mobilization of the uterus, ligation of the distal portion of the internal iliac vessels was performed with subsequent division and end-to-side anastomosis of the external iliac vessels. After vaginal anastomosis, the final case presented with arterial thrombosis in the left uterine artery. The left uterine artery anastomosis was re-opened and flushed with saline solution to remove the clot from the artery lumen. Anastomosis was repeated with restoration of blood flow for a few minutes before another uterine artery thrombosis appeared on the same side. All four animals were alive after the surgical procedure and were euthanized after the experimental period. CONCLUSION: We describe the success of four uterine auto-transplants in sheep models. PMID:28355364
NASA Astrophysics Data System (ADS)
Park, S.; Park, S. K.
2015-04-01
Snow albedo plays a critical role in calculating the energy budget, but parameterization of the snow surface albedo is still under great uncertainty. It varies with snow grain size, snow cover thickness, snow age, forest shading factor and other variables. Snow albedo of forest is typically lower than that of short vegetation; thus snow albedo is dependent on the spatial distributions of characteristic land cover and on the canopy density and structure. In the Noah land surface model with multiple physics options (Noah-MP), almost all vegetation types in East Asia during winter have the minimum values of leaf area index (LAI) and stem area index (SAI), which are too low and do not consider the vegetation types. Because LAI and SAI are represented in terms of photosynthetic activeness, the vegetation effect rarely exerts on the surface albedo in winter in East Asia with only these parameters. Thus, we investigated the vegetation effects on the snow-covered albedo from observations and evaluated the model improvement by considering such effect. We found that calculation of albedo without proper reflection of the vegetation effect is mainly responsible for the large positive bias in winter. Therefore, we developed new parameters, called leaf index (LI) and stem index (SI), which properly manage the effect of vegetation structure on the winter albedo. As a result, the Noah-MP's performance in albedo has been significantly improved - RMSE is reduced by approximately 73%.
Implied adjusted volatility functions: Empirical evidence from Australian index option market
NASA Astrophysics Data System (ADS)
Harun, Hanani Farhah; Hafizah, Mimi
2015-02-01
This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is investigated in the context of Standard and Poor/Australian Stock Exchange (S&P/ASX) 200 index options over the course of 2001-2010, which covers the global financial crisis in the mid-2007 until the end of 2008. Both in- and out-of-sample resulted in approximately similar pricing error along the different Leland models. Results indicate that symmetric and asymmetric models of both moneyness ratio and logarithmic transformation of moneyness provide the overall best result in both during and post-crisis periods. We find that in the different period of interval (pre-, during and post-crisis) is subject to a different implied adjusted volatility function which best explains the index options. Hence, it is tremendously important to identify the intervals beforehand in investigating the implied adjusted volatility function.
Systems, not pills: The options market for antibiotics seeks to rejuvenate the antibiotic pipeline.
Brogan, David M; Mossialos, Elias
2016-02-01
Over the past decade, there has been a growing recognition of the increasing growth of antibiotic resistant bacteria and a relative decline in the production of novel antibacterial therapies. The combination of these two forces poses a potentially grave threat to global health, in both developed and developing countries. Current market forces do not provide appropriate incentives to stimulate new antibiotic development, thus we propose a new incentive mechanism: the Options Market for Antibiotics. This mechanism, modelled on the principle of financial call options, allows payers to buy the right, in early stages of development, to purchase antibiotics at a discounted price if and when they ever make it to market approval. This paper demonstrates the effect of such a model on the expected Net Present Value of a typical antibacterial project. As part of an integrated strategy to confront the impending antibiotic crisis, the Options Market for Antibiotics may effectively stimulate corporate and public investment into antibiotic research and development.
A closed-form solution for the price of cross-commodity electricity derivatives
NASA Astrophysics Data System (ADS)
Tsitakis, D.; Xanthopoulos, S.; Yannacopoulos, A. N.
2006-11-01
We present a method for the valuation of two types of cross-commodity electricity options, European spark spread options and locational spread options. Since the underlying assets here are non-tradeable, the methodology of Black-Scholes-Merton cannot be directly applied. Nevertheless, assuming only absence of arbitrage we provide a closed-form analytic formula for the price of the derivatives in the case where the spot prices of the underlying process follow an exponential Ornstein-Uhlenbeck process.
Bridgeman, Victoria L; Vermeulen, Peter B; Foo, Shane; Bilecz, Agnes; Daley, Frances; Kostaras, Eleftherios; Nathan, Mark R; Wan, Elaine; Frentzas, Sophia; Schweiger, Thomas; Hegedus, Balazs; Hoetzenecker, Konrad; Renyi-Vamos, Ferenc; Kuczynski, Elizabeth A; Vasudev, Naveen S; Larkin, James; Gore, Martin; Dvorak, Harold F; Paku, Sandor; Kerbel, Robert S; Dome, Balazs; Reynolds, Andrew R
2017-02-01
Anti-angiogenic therapies have shown limited efficacy in the clinical management of metastatic disease, including lung metastases. Moreover, the mechanisms via which tumours resist anti-angiogenic therapies are poorly understood. Importantly, rather than utilizing angiogenesis, some metastases may instead incorporate pre-existing vessels from surrounding tissue (vessel co-option). As anti-angiogenic therapies were designed to target only new blood vessel growth, vessel co-option has been proposed as a mechanism that could drive resistance to anti-angiogenic therapy. However, vessel co-option has not been extensively studied in lung metastases, and its potential to mediate resistance to anti-angiogenic therapy in lung metastases is not established. Here, we examined the mechanism of tumour vascularization in 164 human lung metastasis specimens (composed of breast, colorectal and renal cancer lung metastasis cases). We identified four distinct histopathological growth patterns (HGPs) of lung metastasis (alveolar, interstitial, perivascular cuffing, and pushing), each of which vascularized via a different mechanism. In the alveolar HGP, cancer cells invaded the alveolar air spaces, facilitating the co-option of alveolar capillaries. In the interstitial HGP, cancer cells invaded the alveolar walls to co-opt alveolar capillaries. In the perivascular cuffing HGP, cancer cells grew by co-opting larger vessels of the lung. Only in the pushing HGP did the tumours vascularize by angiogenesis. Importantly, vessel co-option occurred with high frequency, being present in >80% of the cases examined. Moreover, we provide evidence that vessel co-option mediates resistance to the anti-angiogenic drug sunitinib in preclinical lung metastasis models. Assuming that our interpretation of the data is correct, we conclude that vessel co-option in lung metastases occurs through at least three distinct mechanisms, that vessel co-option occurs frequently in lung metastases, and that vessel
Watters, G M; Hill, S L; Hinke, J T; Matthews, J; Reid, K
2013-06-01
Decision-makers charged with implementing ecosystem-based management (EBM) rely on scientists to predict the consequences of decisions relating to multiple, potentially conflicting, objectives. Such predictions are inherently uncertain, and this can be a barrier to decision-making. The Convention on the Conservation of Antarctic Marine Living Resources requires managers of Southern Ocean fisheries to sustain the productivity of target stocks, the health and resilience of the ecosystem, and the performance of the fisheries themselves. The managers of the Antarctic krill fishery in the Scotia Sea and southern Drake Passage have requested advice on candidate management measures consisting of a regional catch limit and options for subdividing this among smaller areas. We developed a spatially resolved model that simulates krill-predator-fishery interactions and reproduces a plausible representation of past dynamics. We worked with experts and stakeholders to identify (1) key uncertainties affecting our ability to predict ecosystem state; (2) illustrative reference points that represent the management objectives; and (3) a clear and simple way of conveying our results to decision-makers. We developed four scenarios that bracket the key uncertainties and evaluated candidate management measures in each of these scenarios using multiple stochastic simulations. The model emphasizes uncertainty and simulates multiple ecosystem components relating to diverse objectives. We summarize the potentially complex results as estimates of the risk that each illustrative objective will not be achieved (i.e., of the state being outside the range specified by the reference point). This approach allows direct comparisons between objectives. It also demonstrates that a candid appraisal of uncertainty, in the form of risk estimates, can be an aid, rather than a barrier, to understanding and using ecosystem model predictions. Management measures that reduce coastal fishing, relative to
NASA Technical Reports Server (NTRS)
Pels, Eric; Verhoef, Erik T.
2003-01-01
Conventional economic wisdom suggests that congestion pricing would be an appropriate response to cope with the growing congestion levels currently experienced at many airports. Several characteristics of aviation markets, however, may make naive congestion prices equal to the value of marginal travel delays a non-optimal response. This paper has developed a model of airport pricing that captures a number of these features. The model in particular reflects that airlines typically have market power and are engaged in oligopolistic competition at different sub-markets; that part of external travel delays that aircraft impose are internal to an operator and hence should not be accounted for in congestion tolls. We presented an analytical treatment for a simple bi-nodal symmetric network, which through the use of 'hyper-networks' would be readily applicable to dynamic problems (in discrete time) such as peak - off-peak differences, and some numerical exercises for the same symmetric network, which was only designed to illustrate the possible comparative static impacts of tolling, in addition to marginal equilibrium conditions as could be derived for the general model specification. Some main conclusions are that second-best optimal tolls are typically lower than what would be suggested by congestion costs alone and may even be negative, and that the toll as derived by Brueckner (2002) may not lead to an increase in total welfare. While Brueckner (2002) has made clear that congestion tolls on airports may be smaller than expected when congestion costs among aircraft are internal for a firm, our analysis adds to this that a further downward adjustment may be in order due to market power. The presence of market power (which causes prices to exceed marginal costs) may cause the pure congestion toll to be suboptimal, because the resulting decrease in demand is too high (the pure congestion tall does not take into account the decrease in consumer surplus). The various
Evaluation of Foreign Investment in Power Plants using Real Options
NASA Astrophysics Data System (ADS)
Kato, Moritoshi; Zhou, Yicheng
This paper proposes new methods for evaluating foreign investment in power plants under market uncertainty using a real options approach. We suppose a thermal power plant project in a deregulated electricity market. One of our proposed methods is that we calculate the cash flow generated by the project in a reference year using actual market data to incorporate periodic characteristics of energy prices into a yearly cash flow model. We make the stochastic yearly cash flow model with the initial value which is the cash flow in the reference year, and certain trend and volatility. Then we calculate the real options value (ROV) of the project which has abandonment options using the yearly cash flow model. Another our proposed method is that we evaluate foreign currency/domestic currency exchange rate risk by representing ROV in foreign currency as yearly pay off and exchanging it to ROV in domestic currency using a stochastic exchange rate model. We analyze the effect of the heat rate and operation and maintenance costs of the power plant on ROV, and evaluate exchange rate risk through numerical examples. Our proposed method will be useful for the risk management of foreign investment in power plants.
Mechanisms from models--actual effects from real life: the zero-calorie drink-break option.
Booth, D A
1988-01-01
Animal and human laboratory models show that the suppression of appetite by a modest amount of readily assimilable energy, such as a caloric sweetener, is not likely to last longer than an hour. The transience of their satiating effect constitutes a mechanism whereby the sugars, starch, alcohol and fats in drinks and the snackfoods eaten with them could add to energy intake which is subsequently uncompensated and so contributes to weight gain. Conversely, if those in the habit of consuming such energy-containing drinks and accompaniments avoided such items or replaced them by low-calorie substitutes, this might help in weight reduction and even perhaps in prevention of obesity. The effectiveness of this "zero-calorie drink-break option" can be tested by correlating separately reported real-life eating habits and weight changes across people whose circumstances are similar. The existing field data indicate that the fatter a person is the more likely they are to use the conventional undifferentiated sugar-substitution strategies and also that these usually do not help weight reduction.
Crabbe, M J C
2009-12-01
Climate change will have serious effects on the planet and on its ecosystems. Currently, mitigation efforts are proving ineffectual in reducing anthropogenic CO2 emissions. Coral reefs are the most sensitive ecosystems on the planet to climate change, and here we review modelling a number of geoengineering options, and their potential influence on coral reefs. There are two categories of geoengineering, shortwave solar radiation management and longwave carbon dioxide removal. The first set of techniques only reduce some, but not all, effects of climate change, while possibly creating other problems. They also do not affect CO2 levels and therefore fail to address the wider effects of rising CO2, including ocean acidification, important for coral reefs. Solar radiation is important to coral growth and survival, and solar radiation management is not in general appropriate for this ecosystem. Longwave carbon dioxide removal techniques address the root cause of climate change, rising CO2 concentrations, they have relatively low uncertainties and risks. They are worthy of further research and potential implementation, particularly carbon capture and storage, biochar, and afforestation methods, alongside increased mitigation of atmospheric CO2 concentrations.
Huttin, Christine C
2012-01-01
This paper aims to propose a new methodological agenda for new price measurement for medical services; it is based on a cost sensitivity index coming from series of pilot studies on physicians, in order to provide adjustment methods to household surveys for health care expenditure budgets. The use of stated-revealed preference models with inclusion of stated preference studies is proposed with an example on a physician cost sensitivity study in Europe; it could also help the ISPOR task for force best practices in conjoint study designs.
American option valuation under time changed tempered stable Lévy processes
NASA Astrophysics Data System (ADS)
Gong, Xiaoli; Zhuang, Xintian
2017-01-01
Given that the underlying assets in financial markets exhibit stylized facts such as leptokurtosis, asymmetry, clustering properties and heteroskedasticity effect, this paper presents a novel model for pricing American option under the assumptions that the stock price processes are governed by time changed tempered stable Lévy process. As this model is constructed by introducing random time changes into tempered stable (TS) processes which specially refer to normal tempered stable (NTS) distribution as well as classical tempered stable (CTS) distribution, it permits infinite jumps as well as capturing random varying time in stochastic volatility, consequently taking into account the empirical facts such as leptokurtosis, skewness and volatility clustering behaviors. We employ the Fourier-cosine technique to calculate American option and propose the improved Particle Swarm optimization (IPSO) intelligent algorithm for model calibration. To demonstrate the advantage of the constructed model, we carry out empirical research on American index option in financial markets across wide ranges of models, with the time changing normal tempered stable distribution model yielding a superior performance than others.
On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis
NASA Astrophysics Data System (ADS)
Slim, Skander
2016-12-01
This paper investigates the performance of time-changed Lévy processes with distinct sources of return volatility variation for modeling cross-sectional option prices on the CAC40 index during the subprime crisis. Specifically, we propose a multi-factor stochastic volatility model: one factor captures the diffusion component dynamics and two factors capture positive and negative jump variations. In-sample and out-of-sample tests show that our full-fledged model significantly outperforms nested lower-dimensional specifications. We find that all three sources of return volatility variation, with different persistence, are needed to properly account for market pricing dynamics across moneyness, maturity and volatility level. Besides, the model estimation reveals negative risk premium for both diffusive volatility and downward jump intensity whereas a positive risk premium is found to be attributed to upward jump intensity.
Open Automated Demand Response Dynamic Pricing Technologies and Demonstration
Ghatikar, Girish; Mathieu, Johanna L.; Piette, Mary Ann; Koch, Ed; Hennage, Dan
2010-08-02
This study examines the use of OpenADR communications specification, related data models, technologies, and strategies to send dynamic prices (e.g., real time prices and peak prices) and Time of Use (TOU) rates to commercial and industrial electricity customers. OpenADR v1.0 is a Web services-based flexible, open information model that has been used in California utilities' commercial automated demand response programs since 2007. We find that data models can be used to send real time prices. These same data models can also be used to support peak pricing and TOU rates. We present a data model that can accommodate all three types of rates. For demonstration purposes, the data models were generated from California Independent System Operator's real-time wholesale market prices, and a California utility's dynamic prices and TOU rates. Customers can respond to dynamic prices by either using the actual prices, or prices can be mapped into"operation modes," which can act as inputs to control systems. We present several different methods for mapping actual prices. Some of these methods were implemented in demonstration projects. The study results demonstrate show that OpenADR allows interoperability with existing/future systems/technologies and can be used within related dynamic pricing activities within Smart Grid.
Brown, Timothy T; Robinson, James C
2016-06-01
Reference pricing (RP) theories predict different outcomes when reference prices are fixed (exogenous) versus being a function of market prices (MPs) (endogenous). Exogenous RP results in MPs at both high-price and low-price firms converging towards the reference price from above and below, respectively. Endogenous RP results in MPs at both high-price and low-price firms decreasing, with low-price firms acting strategically to decrease the reference price in order to gain market share. We extend these models to a hospital context focusing on insurer and consumer payments. Under exogenous RP, insurer and consumer payments to low-price hospitals increase, and insurer payments to high-price hospitals decrease, but predictions regarding consumer payments are ambiguous for high-price hospitals. Under endogenous RP, insurer payments to high-price and low-price hospitals decrease, and consumer payments to low-price hospitals decrease, but predictions regarding consumer payments are ambiguous for high-price hospitals. We test these predictions with difference-in-differences specifications using 2008-2013 data on patients undergoing joint replacement. For 2 years following RP implementation, insurer payments to high-price and low-price hospitals moved downward, consistent with endogenous RP. However, when the reference price was not reset to account for changes in MPs, insurer payments to low-price hospitals reverted to pre-implementation levels, consistent with exogenous RP. Copyright © 2015 John Wiley & Sons, Ltd.
NASA Astrophysics Data System (ADS)
Huang, Shupei; An, Haizhong; Gao, Xiangyun; Huang, Xuan
2015-09-01
The aim of this research is to investigate the multiscale dynamic linkages between crude oil price and the stock market in China at the sector level. First, the Haar à trous wavelet transform is implemented to extract multiscale information from the original time series. Furthermore, we incorporate the vector autoregression model to estimate the dynamic relationship pairing the Brent oil price and each sector stock index at each scale. There is a strong evidence showing that there are bidirectional Granger causality relationships between most of the sector stock indices and the crude oil price in the short, medium and long terms, except for those in the health, utility and consumption sectors. In fact, the impacts of the crude oil price shocks vary for different sectors over different time horizons. More precisely, the energy, information, material and telecommunication sector stock indices respond to crude oil price shocks negatively in the short run and positively in the medium and long runs, terms whereas the finance sector responds positively over all three time horizons. Moreover, the Brent oil price shocks have a stronger influence on the stock indices of sectors other than the health, optional and utility sectors in the medium and long terms than in the short term. The results obtained suggest implication of this paper as that the investment and policymaking decisions made during different time horizons should be based on the information gathered from each corresponding time scale.
NASA Technical Reports Server (NTRS)
Lee, C. M.; Stone, B.
1982-01-01
In 1977 NASA published Shuttle Reimbursement Policies for Civil U.S. Government, DOD and Commercial and Foreign Users. These policies were based on the principle of total cost recovery over a period of time with a fixed flat price for initial period to time to enhance transition. This fixed period was to be followed with annual adjustments thereafter, NASA is establishing a new price for 1986 and beyond. In order to recover costs, that price must be higher than the initial fixed price through FY 1985. NASA intends to remain competitive. Competitive posture includes not only price, but other factors such as assured launch, reliability, and unique services. NASA's pricing policy considers all these factors.
NASA Astrophysics Data System (ADS)
Palanivel, M.; Uthayakumar, R.
2015-07-01
This paper deals with an economic order quantity (EOQ) model for non-instantaneous deteriorating items with price and advertisement dependent demand pattern under the effect of inflation and time value of money over a finite planning horizon. In this model, shortages are allowed and partially backlogged. The backlogging rate is dependent on the waiting time for the next replenishment. This paper aids the retailer in minimising the total inventory cost by finding the optimal interval and the optimal order quantity. An algorithm is designed to find the optimum solution of the proposed model. Numerical examples are given to demonstrate the results. Also, the effect of changes in the different parameters on the optimal total cost is graphically presented and the implications are discussed in detail.
Unit Price Scaling Trends for Chemical Products
Qi, Wei; Sathre, Roger; William R. Morrow, III; Shehabi, Arman
2015-08-01
To facilitate early-stage life-cycle techno-economic modeling of emerging technologies, here we identify scaling relations between unit price and sales quantity for a variety of chemical products of three categories - metal salts, organic compounds, and solvents. We collect price quotations for lab-scale and bulk purchases of chemicals from both U.S. and Chinese suppliers. We apply a log-log linear regression model to estimate the price discount effect. Using the median discount factor of each category, one can infer bulk prices of products for which only lab-scale prices are available. We conduct out-of-sample tests showing that most of the price proxies deviate from their actual reference prices by a factor less than ten. We also apply the bootstrap method to determine if a sample median discount factor should be accepted for price approximation. We find that appropriate discount factors for metal salts and for solvents are both -0.56, while that for organic compounds is -0.67 and is less representative due to greater extent of product heterogeneity within this category.
NASA Technical Reports Server (NTRS)
Aster, R. W.; Chamberlain, R. G.; Zendejas, S. C.; Lee, T. S.; Malhotra, S.
1986-01-01
Company-wide or process-wide production simulated. Price Estimation Guidelines (IPEG) program provides simple, accurate estimates of prices of manufactured products. Simplification of SAMIS allows analyst with limited time and computing resources to perform greater number of sensitivity studies. Although developed for photovoltaic industry, readily adaptable to standard assembly-line type of manufacturing industry. IPEG program estimates annual production price per unit. IPEG/PC program written in TURBO PASCAL.
Gilbert, C. L.; Morgan, C. W.
2010-01-01
The high food prices experienced over recent years have led to the widespread view that food price volatility has increased. However, volatility has generally been lower over the two most recent decades than previously. Variability over the most recent period has been high but, with the important exception of rice, not out of line with historical experience. There is weak evidence that grains price volatility more generally may be increasing but it is too early to say. PMID:20713400
Milk: the new white gold? Milk production options for smallholder farmers in Southern Mali.
de Ridder, N; Sanogo, O M; Rufino, M C; van Keulen, H; Giller, K E
2015-07-01
Until the turn of the century, farmers in West Africa considered cotton to be the 'white gold' for their livelihoods. Large fluctuations in cotton prices have led farmers to innovate into other business including dairy. Yet the productivity of cows fed traditional diets is very poor, especially during the long dry season. This study combines earlier published results of farmer participatory experiments with simulation modelling to evaluate the lifetime productivity of cows under varying feeding strategies and the resulting economic performance at farm level. We compared the profitability of cotton production to the innovation of dairy. The results show that milk production of the West African Méré breed could be expanded if cows are supplemented and kept stall-fed during the dry season. This option seems to be profitable for better-off farmers, but whether dairy will replace (some of) the role of cotton as the white gold for these smallholder farmers will depend on the cross price elasticity of cotton and milk. Farmers may (partly) replace cotton production for fodder production to produce milk if the price of cotton remains poor (below US$0.35/kg) and the milk price relatively strong (higher than US$0.38/kg). Price ratios need to remain stable over several seasons given the investments required for a change in production strategy. Furthermore, farmers will only seize the opportunity to engage in dairy if marketing infrastructure and milk markets are further developed.
Higher Education Prices and Price Indexes: 1981 Update.
ERIC Educational Resources Information Center
Research Associates of Washington, DC.
Higher Education prices and price indexes for fiscal years 1979-1981 are presented, with narrative explanation. A price index series measures the effects of price change on a fixed group of items. The change in price index values from year to year may be interpreted as the change in dollars required to offset the effects of inflation in buying the…
The Minimum Wage, Restaurant Prices, and Labor Market Structure
ERIC Educational Resources Information Center
Aaronson, Daniel; French, Eric; MacDonald, James
2008-01-01
Using store-level and aggregated Consumer Price Index data, we show that restaurant prices rise in response to minimum wage increases under several sources of identifying variation. We introduce a general model of employment determination that implies minimum wage hikes cause prices to rise in competitive labor markets but potentially fall in…
Operation Valuation: Teaching Pricing Concepts in an Experiential Environment
ERIC Educational Resources Information Center
Mills, Adam J.; Treen, Emily
2016-01-01
Although marketing education has seen a dramatic shift toward hands-on, experiential learning in recent years, the teaching of pricing has fallen behind complementary elements of the marketing mix in pedagogical execution. Although the teaching of pricing has shifted focus from economic-based models to value-based pricing in theory, available…
Limit Pricing with Incomplete Information: Answers to Frequently Asked Questions
ERIC Educational Resources Information Center
Sorenson, Timothy L.
2004-01-01
Strategic pricing is an important and exciting topic in industrial organization and the economics of strategy. A wide range of texts use what has become a standard version of the Milgrom and Roberts (1982a) limit-pricing model to convey the essential ideas of strategic pricing under incomplete information. In addition to providing a formal, but…
Wholesale marginal prices in competitive generation markets
Perez-Arriaga, I.J.; Meseguer, C.
1997-05-01
Wholesale marginal electricity prices are being used in several actual competitive generation markets worldwide, both to remunerate generators and to charge consumption. These prices must account not only for energy, but also for guarantee of supply in the long and the short term. This paper: (a) provides a sound conceptual and quantitative foundation for wholesale pricing based on generation services, where any existing restrictions in operation or planning in real power markets are accounted for, (b) clearly establishes the relationship between short term marginal costs, long term marginal costs and optimal wholesale electricity prices, and (c) identifies the reasons for mismatches in cost recovery with marginal generation prices. The theoretical results are verified with a detailed realistic power system model.
What's Happened to the Price of College? Quality-Adjusted Net Price Indexes for Four Year Colleges
ERIC Educational Resources Information Center
Schwartz, Amy Ellen; Scafidi, Benjamin
2004-01-01
Hedonic models of the price of college to construct quality-adjusted net price indexes for U.S. four-year colleges were estimated. A 22 percent decline in the estimated price index is reported by adjusting for financial aid, while quality adjusting results lead to a smaller decline, for academic years 1990-91 to 1994-95.
Price Discrimination in Academic Journals.
ERIC Educational Resources Information Center
Joyce, Patrick; Merz, Thomas E.
1985-01-01
Analysis of price discrimination (charging different prices to different customers for same product) for 89 academic journals in 6 disciplines reveals: incidence of price discrimination rose between 1974 and 1984, increase in mean institutional (library) subscription price exceeded increase in mean individual subscription price. Journal list…
Bentolila, Laurent A.; Prakash, Roshini; Mihic-Probst, Daniela; Wadehra, Madhuri; Kleinman, Hynda K.; Carmichael, Thomas S.; Péault, Bruno; Barnhill, Raymond L.; Lugassy, Claire
2016-01-01
Angiotropism/pericytic mimicry and vascular co-option involve tumor cell interactions with the abluminal vascular surface. These two phenomena may be closely related. However, investigations of the two processes have developed in an independent fashion and different explanations offered as to their biological nature. Angiotropism describes the propensity of tumor cells to spread distantly via continuous migration along abluminal vascular surfaces, or extravascular migratory metastasis (EVMM). Vascular co-option has been proposed as an alternative mechanism by which tumors cells may gain access to a blood supply. We have used a murine brain melanoma model to analyze the interactions of GFP human melanoma cells injected into the mouse brain with red fluorescent lectin-labeled microvascular channels. Results have shown a striking spread of melanoma cells along preexisting microvascular channels and features of both vascular co-option and angiotropism/pericytic mimicry. This study has also documented the perivascular expression of Serpin B2 by angiotropic melanoma cells in the murine brain and in human melanoma brain metastases. Our findings suggest that vascular co-option and angiotropism/pericytic mimicry are closely related if not identical processes. Further studies are needed in order to establish whether EVMM is an alternative form of cancer metastasis in addition to intravascular cancer dissemination. PMID:27048955
ERIC Educational Resources Information Center
Litten, Larry H.
1986-01-01
The most provocative perspectives on pricing for colleges and universities have come from the introduction of marketing into higher education. A brief review of these developments is offered to serve as an orientation for the consideration of pricing issues per se. (Author/MLW)
Federal Register 2010, 2011, 2012, 2013, 2014
2010-10-07
...-launch these products.\\3\\ In connection with the Exchange's planned re-launching of Credit Options, the... Minimum Price Variation Changes When CBOE launched Credit Default Options, the Exchange designated the... affect one series a product and not multiple series (i.e., various strikes) since Credit Options do...
Federal Register 2010, 2011, 2012, 2013, 2014
2010-06-17
... Immediate Effectiveness of Proposed Rule Change Related to Individual Equity Options Overlying Stocks... procedures on a pilot basis for individual equity options overlying certain stocks. The text of the proposed... individual stocks that experience rapid price movement and for individual equity options overlying...
Price regulation and generic competition in the pharmaceutical market.
Dalen, Dag Morten; Strøm, Steinar; Haabeth, Tonje
2006-09-01
In March 2003 the Norwegian government implemented yardstick-based price regulation schemes on a selection of drugs subjected to generic competition. The retail price cap, termed the "index price," on a drug (chemical substance) was set equal to the average of the three lowest producer prices on that drug, plus a fixed wholesale and retail margin. This is supposed to lower barriers of entry for generic drugs and to trigger price competition. Using monthly data over the period 1998-2004 for the six drugs (chemical entities) included in the index price system, we estimate a structural model enabling us to examine the impact of the reform on both demand and market power. Our results suggest that the index price helped to increase the market shares of generic drugs and succeeded in triggering price competition.
Volatility of bitumen prices and implications for the industry
Attanasi, E.D.
2008-01-01
Sustained crude oil price increases have led to increased investment in and production of Canadian bitumen to supplement North American oil supplies. For new projects, the evaluation of profitability is based on a prediction of the future price path of bitumen and ultimately light/medium crude oil. This article examines the relationship between the bitumen and light crude oil prices in the context of a simple error-correction economic-adjustment model. The analysis shows bitumen prices to be significantly more volatile than light crude prices. Also, the dominant effect of an oil price shock on bitumen prices is immediate and is amplified, both in absolute terms and percentage price changes. It is argued that the bitumen industry response to such market risks will likely be a realignment toward vertical integration via new downstream construction, mergers, or on a de facto basis by the establishment of alliances. ?? 2008 International Association for Mathematical Geology.
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2010 CFR
2010-01-01
...) AGRICULTURAL MARKETING SERVICE (Marketing Agreements and Orders; Milk), DEPARTMENT OF AGRICULTURE GENERAL PROVISIONS OF FEDERAL MILK MARKETING ORDERS Class Prices § 1000.50 Class prices, component prices, and advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent...
7 CFR 1032.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2014 CFR
2014-01-01
... 7 Agriculture 9 2014-01-01 2013-01-01 true Class prices, component prices, and advanced pricing factors. 1032.50 Section 1032.50 Agriculture Regulations of the Department of Agriculture (Continued... CENTRAL MARKETING AREA Order Regulating Handling Class Prices § 1032.50 Class prices, component...
7 CFR 1032.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2010 CFR
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1032.50 Section 1032.50 Agriculture Regulations of the Department of Agriculture (Continued... CENTRAL MARKETING AREA Order Regulating Handling Class Prices § 1032.50 Class prices, component...
7 CFR 1032.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2012 CFR
2012-01-01
... 7 Agriculture 9 2012-01-01 2012-01-01 false Class prices, component prices, and advanced pricing factors. 1032.50 Section 1032.50 Agriculture Regulations of the Department of Agriculture (Continued... CENTRAL MARKETING AREA Order Regulating Handling Class Prices § 1032.50 Class prices, component...
7 CFR 1032.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2013 CFR
2013-01-01
... 7 Agriculture 9 2013-01-01 2013-01-01 false Class prices, component prices, and advanced pricing factors. 1032.50 Section 1032.50 Agriculture Regulations of the Department of Agriculture (Continued... CENTRAL MARKETING AREA Order Regulating Handling Class Prices § 1032.50 Class prices, component...
7 CFR 1032.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2011 CFR
2011-01-01
... 7 Agriculture 9 2011-01-01 2011-01-01 false Class prices, component prices, and advanced pricing factors. 1032.50 Section 1032.50 Agriculture Regulations of the Department of Agriculture (Continued... CENTRAL MARKETING AREA Order Regulating Handling Class Prices § 1032.50 Class prices, component...
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2011 CFR
2011-01-01
...) AGRICULTURAL MARKETING SERVICE (Marketing Agreements and Orders; Milk), DEPARTMENT OF AGRICULTURE GENERAL PROVISIONS OF FEDERAL MILK MARKETING ORDERS Class Prices § 1000.50 Class prices, component prices, and advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent...
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2014 CFR
2014-01-01
...) AGRICULTURAL MARKETING SERVICE (MARKETING AGREEMENTS AND ORDERS; MILK), DEPARTMENT OF AGRICULTURE GENERAL PROVISIONS OF FEDERAL MILK MARKETING ORDERS Class Prices § 1000.50 Class prices, component prices, and advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent...
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2013 CFR
2013-01-01
...) AGRICULTURAL MARKETING SERVICE (MARKETING AGREEMENTS AND ORDERS; MILK), DEPARTMENT OF AGRICULTURE GENERAL PROVISIONS OF FEDERAL MILK MARKETING ORDERS Class Prices § 1000.50 Class prices, component prices, and advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent...
7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2012 CFR
2012-01-01
...) AGRICULTURAL MARKETING SERVICE (Marketing Agreements and Orders; Milk), DEPARTMENT OF AGRICULTURE GENERAL PROVISIONS OF FEDERAL MILK MARKETING ORDERS Class Prices § 1000.50 Class prices, component prices, and advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent...
Options contracts in the nuclear fuel industry
Fuller, D.M.
1995-04-01
This article discusses options trading in the nuclear fuels industry. Although there now exists no formal options market in the nuclear industry, flexibilities, or embedded options, are actually quite common in the long-term supply contracts. The value of these flexibilities can be estimated by applying the methods used to evaluate options. The method used is the Black-Scholes Model, and it is applied to a number of examples.
The impact of wind power on electricity prices
Brancucci Martinez-Anido, Carlo; Brinkman, Greg; Hodge, Bri-Mathias
2016-08-01
This paper investigates the impact of wind power on electricity prices using a production cost model of the Independent System Operator - New England power system. Different scenarios in terms of wind penetration, wind forecasts, and wind curtailment are modeled in order to analyze the impact of wind power on electricity prices for different wind penetration levels and for different levels of wind power visibility and controllability. The analysis concludes that electricity price volatility increases even as electricity prices decrease with increasing wind penetration levels. The impact of wind power on price volatility is larger in the shorter term (5-min compared to hour-to-hour). The results presented show that over-forecasting wind power increases electricity prices while under-forecasting wind power reduces them. The modeling results also show that controlling wind power by allowing curtailment increases electricity prices, and for higher wind penetrations it also reduces their volatility.
NASA Astrophysics Data System (ADS)
Challinor, A. J.
2010-12-01
standard deviations below the mean comes from alleviation of heat stress. The socio-economic analysis suggests that adaptation is also possible through measures such as greater investment. India. The simulations of groundnut in India identified regions where heat stress will play an increasing role in limiting crop yields, and other regions where crops with greater thermal time requirement will be needed. The simulations were used, together with an observed dataset and a simple analysis of crop cardinal temperatures and thermal time, to estimate the potential for adaptation using existing cultivars. USA. Analysis of spring wheat in the USA showed that at +2oC of local warming, 87% of the 2711 varieties examined, and all of the five most common varieties, could be used to maintain the crop duration of the current climate (i.e. successful adaptation to mean warming). At +4o this fell to 54% of all varieties, and two of the top five. 4. Future research. The results, and the limitations of the study, suggest directions for research to link climate and crop models, socio-economic analyses and crop variety trial data in order to prioritise adaptation options such as capacity building, plant breeding and biotechnology.
The End of the International Reference Pricing System?
Persson, Ulf; Jönsson, Bengt
2016-02-01
All 28 EU member states except Sweden and the UK apply international reference pricing (IRP), international price comparison, external reference pricing or cross-reference pricing. The attractiveness of using prices of other countries as a benchmark for decisions within a national price control is obvious. Alternative models for price and reimbursement decision making such as value-based pricing (VBP), i.e. cost-effectiveness analyses, are more complicated. However, IRP provides incentives for stakeholders to take action not in line with optimal (welfare-maximizing) pricing. IRP is costly for two reasons. First, manufacturers are incentivised to limit or delay access to new innovative treatments in countries with small markets and/or a low income, which can be costly in terms of loss of health. Second, all countries also experience a loss of welfare (health) because IRP reduces the opportunities for differential pricing (Ramsey pricing), i.e. using the fact that the ability and willingness to pay differs between countries. Thus, IRP results in less sales revenue to finance research and development of new innovative drugs. We can now observe that payers and manufacturers are engaged in different types of risk-sharing schemes, price-volume negotiations, payback arrangements, confidential discounts, coverage with evidence developments, etc., all with the purpose of returning to the old model of price discrimination and Ramsey pricing. Shortly, real prices for use in IRP systems will cease to exist and, thus, we expect to soon see the end of IRP, a new system for price discrimination and an increasing demand for VBP.
Lee, Bruce Y; McGlone, Sarah M
2010-08-01
New vaccine pricing is a complicated process that could have substantial long-standing scientific, medical, and public health ramifications. Pricing can have a considerable impact on new vaccine adoption and, thereby, either culminate or thwart years of research and development and public health efforts. Typically, pricing strategy consists of the following ten components: 1. Conduct a target population analysis; 2. Map potential competitors and alternatives; 3. Construct a vaccine target product profile (TPP) and compare it to projected or actual TPPs of competing vaccines; 4. Quantify the incremental value of the new vaccine's characteristics; 5. Determine vaccine positioning in the marketplace; 6. Estimate the vaccine price-demand curve; 7. Calculate vaccine costs (including those of manufacturing, distribution, and research and development); 8. Account for various legal, regulatory, third party payer, and competitor factors; 9. Consider the overall product portfolio; 10. Set pricing objectives; 11. Select pricing and pricing structure. While the biomedical literature contains some studies that have addressed these components, there is still considerable room for more extensive evaluation of this important area.
McGlone, Sarah M
2010-01-01
New vaccine pricing is a complicated process that could have substantial long-standing scientific, medical and public health ramifications. Pricing can have a considerable impact on new vaccine adoption and, thereby, either culminate or thwart years of research and development and public health efforts. Typically, pricing strategy consists of the following eleven components: (1) Conduct a target population analysis; (2) Map potential competitors and alternatives; (3) Construct a vaccine target product profile (TPP) and compare it to projected or actual TPPs of competing vaccines; (4) Quantify the incremental value of the new vaccine's characteristics; (5) Determine vaccine positioning in the marketplace; (6) Estimate the vaccine price-demand curve; (7) Calculate vaccine costs (including those of manufacturing, distribution, and research and development); (8) Account for various legal, regulatory, third party payer and competitor factors; (9) Consider the overall product portfolio; (10) Set pricing objectives; (11) Select pricing and pricing structure. While the biomedical literature contains some studies that have addressed these components, there is still considerable room for more extensive evaluation of this important area. PMID:20861678
Sodhi, ManMohan S; Sodhi, Navdeep S
2005-05-01
Many companies are now good at managing costs and wringing out manufacturing efficiencies. The TQM movement and the disciplines of Six Sigma have seen to that. But the discipline so often brought to the cost side of the business equation is found far less commonly on the revenue side. The authors describe how a global manufacturer of industrial equipment, which they call Acme Incorporated, recently applied Six Sigma to one major revenue related activity--the price-setting process. It seemed to Acme's executives that pricing closely resembled many manufacturing processes. So, with the help of a Six Sigma black belt from manufacturing, a manager from Acme's pricing division recruited a team to carry out the five Six Sigma steps: Define what constitutes a defect. At Acme, a defect was an item sold at an unauthorized price. Gather data and prepare it for analysis. That involved mapping out the existing pricing-agreement process. Analyze the data. The team identified the ways in which people failed to carry out or assert effective control at each stage. Recommend modifications to the existing process. The team sought to decrease the number of unapproved prices without creating an onerous approval apparatus. Create controls. This step enabled Acme to sustain and extend the improvements in its pricing procedures. As a result of the changes, Acme earned dollar 6 million in additional revenue on one product line alone in the six months following implementation--money that went straight to the bottom line. At the same time, the company removed much of the organizational friction that had long bedeviled its pricing process. Other companies can benefit from Acme's experience as they look for ways to exercise price control without alienating customers.
Cannabis prices and dynamics of cannabis use.
van Ours, Jan C; Williams, Jenny
2007-05-01
This paper uses duration models and self-reported cannabis histories from young Australians to study the dynamics of cannabis use. We find that low cannabis prices are associated with early initiation into cannabis use. While the decision to quit does not appear to be directly influenced by price, we find that the younger an individual is when they start using cannabis the less likely they are to quit. Therefore, low cannabis prices lead to early use and because of that they lead to a low quit rate and hence a longer duration of use.
Pricing life insurance contracts with early exercise features
NASA Astrophysics Data System (ADS)
Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro
2009-11-01
In this paper we describe an algorithm based on the Least Squares Monte Carlo method to price life insurance contracts embedding American options. We focus on equity-linked contracts with surrender options and terminal guarantees on benefits payable upon death, survival and surrender. The framework allows for randomness in mortality as well as stochastic volatility and jumps in financial risk factors. We provide numerical experiments demonstrating the performance of the algorithm in the context of multiple risk factors and exercise dates.
Making real options really work.
van Putten, Alexander B; MacMillan, Ian C
2004-12-01
As a way to value growth opportunities, real options have had a difficult time catching on with managers. Many CFOs believe the method ensures the overvaluation of risky projects. This concern is legitimate, but abandoning real options as a valuation model isn't the solution. Companies that rely solely on discounted cash flow (DCF) analysis underestimate the value of their projects and may fail to invest enough in uncertain but highly promising opportunities. CFOs need not--and should not--choose one approach over the other. Far from being a replacement for DCF analysis, real options are an essential complement, and a project's total value should encompass both. DCF captures a base estimate of value; real options take into account the potential for big gains. This is not to say that there aren't problems with real options. As currently applied, they focus almost exclusively on the risks associated with revenues, ignoring the risks associated with a project's costs. It's also true that option valuations almost always ignore assets that an initial investment in a subsequently abandoned project will often leave the company. In this article, the authors present a simple formula for combining DCF and option valuations that addresses these two problems. Using an integrated approach, managers will, in the long run, select better projects than their more timid competitors while keeping risk under control. Thus, they will outperform their rivals in both the product and the capital markets.
Reliability-based pricing of electricity service
Hagazy, Y.A.
1993-01-01
This research has two objectives: (a) to develop a price structure that unbundles electricity service by reliability levels, and (b) to analyze the implications of such a structure on economic welfare, system operation, load management, and energy conservation. The authors developed a pricing mechanism for electricity service that combines priority (reliability differentiation) pricing with real-time Ramsey type pricing. The electric utility is assumed to be a single welfare-maximizing firm able to set and communicate prices instantly. At time of supply shortages, the utility has direct control over customer loads and follows a rationing method among customers willing to accept power interruptions. Therefore, customers are given the choice either to be served with a high reliability [open quotes]firm[close quotes] service, or to be subject to interruption. To encourage customers to make rational reliability choices, a payment/compensation mechanism was integrated into the welfare-maximization model. In order to account for uncertainties associated with the operation of electric power systems, a stochastic production cost simulation is also integrated with the model. The stochastic production cost simulation yields the estimation of the expected production, cost, marginal costs, and system reliability level at total demand. The authors examine the welfare gain and energy and reserve saving possibilities due to different pricing schemes. The results show that reliability-based pricing yields higher economic efficiency and energy and power saving than both spot and Ramsey pricing when system imperfect reliability is considered. Therefore, the implication of this research is that reliability-based pricing provides a feasible solution to electric utilities as a substitute for power purchases, and/or new capacity investment.
NASA Technical Reports Server (NTRS)
Stewart, R. D.
1979-01-01
Price and Cost Estimating Program (PACE II) was developed to prepare man-hour and material cost estimates. Versatile and flexible tool significantly reduces computation time and errors and reduces typing and reproduction time involved in preparation of cost estimates.
Higher Education Prices and Price Indexes. 1976 Supplement.
ERIC Educational Resources Information Center
Halstead, Kent D.
The 1976 supplement presents higher education price index data for fiscal years 1971 through 1976. The basic study, "Higher Education Prices and Price Indexes" (ED 123 996) presents complete descriptions of the indexes together with index values and price data for fiscal years 1961 through 1974. Indexes are presented for research and development,…
Green pricing: A Colorado case study
Blank, E.; Udall, J.R.
1996-12-31
A model program for green pricing targeted primarily at large customers is proposed in this paper. The program would create a partnership between a local community group, a renewables advocacy group, and several Colorado utilities. The first part of the paper summarizes pertinent background issues, including utility experience with green pricing programs. The rest of the paper outlines the program proposal, focusing primarily on organizational structure.
Code of Federal Regulations, 2014 CFR
2014-01-01
... Credit Score Disclosure Exception Notices B Appendix B to Part 698 Commercial Practices FEDERAL TRADE COMMISSION THE FAIR CREDIT REPORTING ACT MODEL FORMS AND DISCLOSURES Pt. 698, App. B Appendix B to Part 698... set of circumstances as indicated by the title of that model form. 2. Model form B-1 is for use...
Electricity Prices in a Competitive Environment: Marginal Cost Pricing
1997-01-01
Presents the results of an analysis that focuses on two questions: (1) How are prices for competitive generation services likely to differ from regulated prices if competitive prices are based on marginal costs rather than regulated cost-of-service pricing? (2) What impacts will the competitive pricing of generation services (based on marginal costs) have on electricity consumption patterns, production costs, and the financial integrity of electricity suppliers?
Popp, Alexander; Rose, Steven K.; Calvin, Katherine V.; Van Vuuren, Detlef; Dietrich, Jan P.; Wise, Marshall A.; Stehfest, Eike; Humpenoder, Florian; Kyle, G. Page; Van Vliet, Jasper; Bauer, Nico; Lotze-Campen, Hermann; Klein, David; Kriegler, Elmar
2014-04-01
This study is a model comparison assessing the drivers and impacts of bioenergy production on the global land system and the interaction with other land use based mitigation options in the context of the EMF 27 project. We compare and evaluate results from three integrated assessment models (GCAM, IMAGE, and ReMIND/MAgPIE). All three models project that dedicated bioenergy crops and biomass residues are a potentially important and cost-effective component of the energy system. But bioenergy deployment levels and feedstock composition vary notably across models as do the implications for land-use and greenhouse gas emissions and the interaction with other land use based mitigation measures. Despite numerous model differences, we identify a few that are likely contributing to differences in land-use and emissions attributable to energy crop deployment.
Financial derivative pricing under probability operator via Esscher transfomation
NASA Astrophysics Data System (ADS)
Achi, Godswill U.
2014-10-01
The problem of pricing contingent claims has been extensively studied for non-Gaussian models, and in particular, Black- Scholes formula has been derived for the NIG asset pricing model. This approach was first developed in insurance pricing9 where the original distortion function was defined in terms of the normal distribution. This approach was later studied6 where they compared the standard Black-Scholes contingent pricing and distortion based contingent pricing. So, in this paper, we aim at using distortion operators by Cauchy distribution under a simple transformation to price contingent claim. We also show that we can recuperate the Black-Sholes formula using the distribution. Similarly, in a financial market in which the asset price represented by a stochastic differential equation with respect to Brownian Motion, the price mechanism based on characteristic Esscher measure can generate approximate arbitrage free financial derivative prices. The price representation derived involves probability Esscher measure and Esscher Martingale measure and under a new complex valued measure φ (u) evaluated at the characteristic exponents φx(u) of Xt we recuperate the Black-Scholes formula for financial derivative prices.
Financial derivative pricing under probability operator via Esscher transfomation
Achi, Godswill U.
2014-10-24
The problem of pricing contingent claims has been extensively studied for non-Gaussian models, and in particular, Black- Scholes formula has been derived for the NIG asset pricing model. This approach was first developed in insurance pricing{sup 9} where the original distortion function was defined in terms of the normal distribution. This approach was later studied6 where they compared the standard Black-Scholes contingent pricing and distortion based contingent pricing. So, in this paper, we aim at using distortion operators by Cauchy distribution under a simple transformation to price contingent claim. We also show that we can recuperate the Black-Sholes formula using the distribution. Similarly, in a financial market in which the asset price represented by a stochastic differential equation with respect to Brownian Motion, the price mechanism based on characteristic Esscher measure can generate approximate arbitrage free financial derivative prices. The price representation derived involves probability Esscher measure and Esscher Martingale measure and under a new complex valued measure φ (u) evaluated at the characteristic exponents φ{sub x}(u) of X{sub t} we recuperate the Black-Scholes formula for financial derivative prices.
Faruqui, Ahmad
2010-07-15
Dynamic pricing has garnered much interest among regulators and utilities, since it has the potential for lowering energy costs for society. But the deployment of dynamic pricing has been remarkably tepid. The underlying premise is that dynamic pricing is unfair. But the presumption of unfairness in dynamic pricing rests on an assumption of fairness in today's tariffs. (author)
Pricing Information Products and Services.
ERIC Educational Resources Information Center
Broadbent, H. E., III
1981-01-01
Outlines several approaches to the establishment of prices for information products and services by the administrators of libraries and information centers, including optimization, pricing to achieve organizational objectives, pricing for market structures, and types of market structure pricing systems. A reference list is included. (JL)
Competitive Electricity Prices: An Update
1998-01-01
Illustrates a third impact of the move to competitive generation pricing -- the narrowing of the range of prices across regions of the country. This feature article updates information in Electricity Prices in a Competitive Environment: Marginal Cost Pricing of Generation Services and Financial Status of Electric Utilities.
77 FR 40527 - New Express Mail Price Category-Express Mail Padded Flat Rate Envelope
Federal Register 2010, 2011, 2012, 2013, 2014
2012-07-10
... 111 New Express Mail Price Category--Express Mail Padded Flat Rate Envelope AGENCY: Postal Service TM... Service, Domestic Mail Manual (DMM ), to expand Express Mail product options to include a new Padded Flat... a new price category under Express Mail, Express Mail Padded Flat Rate Envelope, established by...
NASA Astrophysics Data System (ADS)
Hillier, J.; Brentrup, F.; Wattenbach, M.; Walter, C.; Garcia-Suarez, T.; Mila-i-Canals, L.; Smith, P.
2012-04-01
Major sources of greenhouse gas (GHG) emissions from agricultural crop production are nitrous oxide (N2O) emissions resulting from the application of mineral and organic fertiliser, and carbon dioxide (CO2) emissions from soil carbon losses. Consequently, choice of fertiliser type, optimising fertiliser application rates and timing, reducing microbial denitrification and improving soil carbon management are focus areas for mitigation. We have integrated separate models derived from global data on fertiliser induced soil N2O emissions, soil nitrification inhibitors, and the effects of tillage and soil inputs of soil C stocks into a single model in order to determine optimal mitigation options as a function of soil type, climate, and fertilisation rates. After Monte Carlo sampling of input variables we aggregated the outputs according to climate, soil and fertiliser factors to consider the benefits of several possible emissions mitigation strategies, and identified the most beneficial option for each factor class on a per hectare basis. The optimal mitigation for each soil-climate-region was then mapped to propose geographically specific optimal GHG mitigation strategies for crops with varying N requirements. The use of empirical models reduces the requirements for validation (since they are calibrated on globally or continentally observed phenomena). However, since they are relatively simple in structure, they may not be applicable for accurate site specific prediction of GHG emissions. The value of this modelling approach is for initial screening and ranking of potential agricultural mitigation options and to explore the potential impact of regional agricultural GHG abatement policies. Given the clear association between management practice and crop productivity, it is essential to incorporate characterisation of the yield effect on a given crop before recommending any mitigation practice.
An analysis of strategic price setting in retail gasoline markets
NASA Astrophysics Data System (ADS)
Jaureguiberry, Florencia
This dissertation studies price-setting behavior in the retail gasoline industry. The main questions addressed are: How important is a retail station's brand and proximity to competitors when retail stations set price? How do retailers adjust their pricing when they cater to consumers who are less aware of competing options or have less discretion over where they purchase gasoline? These questions are explored in two separate analyses using a unique datasets containing retail pricing behavior of stations in California and in 24 different metropolitan areas. The evidence suggests that brand and location generate local market power for gasoline stations. After controlling for market and station characteristics, the analysis finds a spread of 11 cents per gallon between the highest and the lowest priced retail gasoline brands. The analysis also indicates that when the nearest competitor is located over 2 miles away as opposed to next door, consumers will pay an additional 1 cent per gallon of gasoline. In order to quantify the significance of local market power, data for stations located near major airport rental car locations are utilized. The presumption here is that rental car users are less aware or less sensitive to fueling options near the rental car return location and are to some extent "captured consumers". Retailers located near rental car locations have incentives to adjust their pricing strategies to exploit this. The analysis of pricing near rental car locations indicates that retailers charge prices that are 4 cent per gallon higher than other stations in the same metropolitan area. This analysis is of interest to regulators who are concerned with issues of consolidation, market power, and pricing in the retail gasoline industry. This dissertation concludes with a discussion of the policy implications of the empirical analysis.
A numerical study of the European option by the MLPG method with moving kriging interpolation.
Phaochoo, P; Luadsong, A; Aschariyaphotha, N
2016-01-01
In this paper, the meshless local Petrov-Galerkin (MLPG) method is applied for solving a generalized Black-Scholes equation in financial problems. This equation is a PDE governing the price evolution of a European call or a European put under the Black-Scholes model. The θ-weighted method and MLPG are used for discretizing the governing equation in time variable and option pricing, respectively. We show that the spectral radius of amplification matrix with the discrete operator is less than 1. This ensures that this numerical scheme is stable. Numerical experiments are performed with time varying volatility and the results are compared with the analytical and the numerical results of other methods.
Study on price transmission in China's broiler industry chain based on MCM
NASA Astrophysics Data System (ADS)
Xu, Shiwei; Dong, Xiaoxia; Li, Zhemin; Cui, Liguo; Kong, Fantao; Li, Ganqiong; Yu, Haipeng
This paper studies price transmission mechanism of China's broiler industry chain with Market-chain Cooperated Model (MCM), according to the monthly price data of corn, broiler compound feed, broiler chicks, live chicken and eviscerated chicken from 1994 June to 2011 October. The result shows that the price system of China's broiler industry chain exists price transmission relationship, the price of representative products from upstream and midstream conducts obviously to downstream, and broiler compound feed price plays an important role in the price system. The result also indicates that the interior adjusting of broiler industry chain cannot guarantee that the entire price system recover to balance quickly. Therefore, the government needs to regulate timely the price system of broiler industry chain, especially the price change of feed and live broiler to maintain the price system relative stable.
NASA Astrophysics Data System (ADS)
Jin, Xin
Recent years have seen dramatic fluctuations in crude oil prices. This dissertation attempts to better understand price behavior. The first chapter studies the behavior of crude oil spot and futures prices. Oil prices, particularly spot and short-term futures prices, appear to have switched from I(0) to I(1) in early 2000s. To better understand this apparent change in persistence, a factor model of oil prices is proposed, where the prices are decomposed into long-term and short-term components. The change in the persistence behavior can be explained by changes in the relative volatility of the underlying components. Fitting the model to weekly data on WTI prices, the volatility of the persistent shocks increased substantially relative to other shocks. In addition, the risk premiums in futures prices have changed their signs and become more volatile. The estimated net marginal convenience yield using the model also shows changes in its behavior. These observations suggest that a dramatic fundamental change occurred in the period from 2002 to 2004 in the dynamics of the crude oil market. The second chapter explores the short-run price-inventory dynamics in the presence of different shocks. Classical competitive storage model states that inventory decision considers both current and future market condition, and thus interacts with spot and expected future spot prices. We study competitive storage holding in an equilibrium framework, focusing on the dynamic response of price and inventory to different shocks. We show that news shock generates response profile different from traditional contemporaneous shocks in price and inventory. The model is applied to world crude oil market, where the market expectation is estimated to experience a sharp change in early 2000s, together with a persisting constrained supply relative to demand. The expectation change has limited effect on crude oil spot price though. The world oil market structure has been studied extensively but no
Optimal monetary policy and oil price shocks
NASA Astrophysics Data System (ADS)
Kormilitsina, Anna
This dissertation is comprised of two chapters. In the first chapter, I investigate the role of systematic U.S. monetary policy in the presence of oil price shocks. The second chapter is devoted to studying different approaches to modeling energy demand. In an influential paper, Bernanke, Gertler, and Watson (1997) and (2004) argue that systematic monetary policy exacerbated the recessions the U.S. economy experienced in the aftermath of post World War II oil price shocks. In the first chapter of this dissertation, I critically evaluate this claim in the context of an estimated medium-scale model of the U.S. business cycle. Specifically, I solve for the Ramsey optimal monetary policy in the medium-scale dynamic stochastic general equilibrium model (henceforth DSGE) of Schmitt-Grohe and Uribe (2005). To model the demand for oil, I use the approach of Finn (2000). According to this approach, the utilization of capital services requires oil usage. In the related literature on the macroeconomic effects of oil price shocks, it is common to calibrate structural parameters of the model. In contrast to this literature, I estimate the parameters of my DSGE model. The estimation strategy involves matching the impulse responses from the theoretical model to responses predicted by an empirical model. For estimation, I use the alternative to the classical Laplace type estimator proposed by Chernozhukov and Hong (2003). To obtain the empirical impulse responses, I identify an oil price shock in a structural VAR (SVAR) model of the U.S. business cycle. The SVAR model predicts that, in response to an oil price increase, GDP, investment, hours, capital utilization, and the real wage fall, while the nominal interest rate and inflation rise. These findings are economically intuitive and in line with the existing empirical evidence. Comparing the actual and the Ramsey optimal monetary policy response to an oil price shock, I find that the optimal policy allows for more inflation, a
Perkins, C.
1988-01-01
Over the last 10 years, prices for oilfield casing and tubing have shot up and down like a roller coaster. Average pipe prices went up 80 percent in the 1979-81 drilling boom. They dropped 50 percent in the 1982-83 period, only to recover 20 percent in 1984-85. The collapse of crude prices caused another 30 percent drop in 1986. Since they bottomed out in August of that year, prices have come up by 60 percent. The key question: ''What lies ahead.'' The short answer: ''Probably more of the same''. This article looks at what has caused price fluctuations of such magnitude and volatility over the past several years to assess the outlook for 1988 and beyond. The author says we are not on the brink of a severe OCTG shortage of any sort, though there may be some very localized spot shortages in terms of deliverability and price. There is likely to be some build up of tubular inventory among supply houses wary of losing regular customers to those with adequate inventories. The characteristic first-of-the-year dip in the active rig count will supplement a slight inventory building, as will an expected increase in imports. The bottomline impact for the wellsite is there is little chance for substantial price increases until the third or fourth quarter of this year. Even then, a considerable jump in utilization would be needed and most analysts are predicting the rig count to slowly rise to about the 1500-plus range for the fourth quarter.
Pierce, John P; Gilmer, Todd P; Lee, Lora; Gilpin, Elizabeth A; de Beyer, Joy; Messer, Karen
2005-10-01
Real cigarette prices in the US increased from the early 1980s to early 1990s. Holding all else equal, adolescent initiation of regular smoking should have declined during this period. Using national population-based surveys (n = 336 343) conducted in the 1990s, we present trends (early 1960s to mid-1990s) in the initiation of regular smoking among 14-17-year-old adolescents and 18-21-year-old young adults. We also present trends in consumer-price-index-adjusted cigarette price and tobacco-industry expenditures for price-subsidizing promotions. We relate price and price-subsidizing tobacco industry expenditures to trends in initiation in the two age groups, using autoregressive integrated moving average models (ARIMA). From the model results, we conclude that price-subsidizing promotions may provide the tobacco industry with an effective way to segment the market. That is, they effectively offer lower prices to population subgroups that are more price-sensitive (e.g. young smokers not yet addicted), countering the depressing effect of general price increases on smoking. Thus, we find that the relationship of cigarette price to smoking behavior is more complex than previously described.
NASA Astrophysics Data System (ADS)
Boone, Aaron; Samuelsson, Patrick; Gollvik, Stefan; Napoly, Adrien; Jarlan, Lionel; Brun, Eric; Decharme, Bertrand
2017-02-01
Land surface models (LSMs) are pushing towards improved realism owing to an increasing number of observations at the local scale, constantly improving satellite data sets and the associated methodologies to best exploit such data, improved computing resources, and in response to the user community. As a part of the trend in LSM development, there have been ongoing efforts to improve the representation of the land surface processes in the interactions between the soil-biosphere-atmosphere (ISBA) LSM within the EXternalized SURFace (SURFEX) model platform. The force-restore approach in ISBA has been replaced in recent years by multi-layer explicit physically based options for sub-surface heat transfer, soil hydrological processes, and the composite snowpack. The representation of vegetation processes in SURFEX has also become much more sophisticated in recent years, including photosynthesis and respiration and biochemical processes. It became clear that the conceptual limits of the composite soil-vegetation scheme within ISBA had been reached and there was a need to explicitly separate the canopy vegetation from the soil surface. In response to this issue, a collaboration began in 2008 between the high-resolution limited area model (HIRLAM) consortium and Météo-France with the intention to develop an explicit representation of the vegetation in ISBA under the SURFEX platform. A new parameterization has been developed called the ISBA multi-energy balance (MEB) in order to address these issues. ISBA-MEB consists in a fully implicit numerical coupling between a multi-layer physically based snowpack model, a variable-layer soil scheme, an explicit litter layer, a bulk vegetation scheme, and the atmosphere. It also includes a feature that permits a coupling transition of the snowpack from the canopy air to the free atmosphere. It shares many of the routines and physics parameterizations with the standard version of ISBA. This paper is the first of two parts; in part one
Trends in Utility Green Pricing Programs (2006)
Bird, Lori; Kaiser, Marshall
2007-10-01
In the early 1990s, only a handful of utilities offered their customers a choice of purchasing electricity generated from renewable energy sources. Today, more than 750 utilities—or about 25% of all utilities nationally—provide their customers a “green power” option. Through these programs, more than 70 million customers have the ability to purchase renewable energy to meet some portion or all of their electricity needs—or make contributions to support the development of renewable energy resources. Typically, customers pay a premium above standard electricity rates for this service. This report presents year-end 2006 data on utility green pricing programs, and examines trends in consumer response and program implementation over time. The data in this report, which were obtained via a questionnaire distributed to utility green pricing program managers, can be used by utilities to benchmark the success of their green power programs.
Trends in Utility Green Pricing Programs (2006)
Bird, L.; Kaiser, M.
2007-10-01
In the early 1990s, only a handful of utilities offered their customers a choice of purchasing electricity generated from renewable energy sources. Today, more than 750 utilities--or about 25% of all utilities nationally--provide their customers a "green power" option. Through these programs, more than 70 million customers have the ability to purchase renewable energy to meet some portion or all of their electricity needs--or make contributions to support the development of renewable energy resources. Typically, customers pay a premium above standard electricity rates for this service. This report presents year-end 2006 data on utility green pricing programs, and examines trends in consumer response and program implementation over time. The data in this report, which were obtained via a questionnaire distributed to utility green pricing program managers, can be used by utilities to benchmark the success of their green power programs.
Lancelot, Christiane; Thieu, Vincent; Polard, Audrey; Garnier, Josette; Billen, Gilles; Hecq, Walter; Gypens, Nathalie
2011-05-01
Nutrient reduction measures have been already taken by wealthier countries to decrease nutrient loads to coastal waters, in most cases however, prior to having properly assessed their ecological effectiveness and their economic costs. In this paper we describe an original integrated impact assessment methodology to estimate the direct cost and the ecological performance of realistic nutrient reduction options to be applied in the Southern North Sea watershed to decrease eutrophication, visible as Phaeocystis blooms and foam deposits on the beaches. The mathematical tool couples the idealized biogeochemical GIS-based model of the river system (SENEQUE-RIVERSTRAHLER) implemented in the Eastern Channel/Southern North Sea watershed to the biogeochemical MIRO model describing Phaeocystis blooms in the marine domain. Model simulations explore how nutrient reduction options regarding diffuse and/or point sources in the watershed would affect the Phaeocystis colony spreading in the coastal area. The reference and prospective simulations are performed for the year 2000 characterized by mean meteorological conditions, and nutrient reduction scenarios include and compare upgrading of wastewater treatment plants and changes in agricultural practices including an idealized shift towards organic farming. A direct cost assessment is performed for each realistic nutrient reduction scenario. Further the reduction obtained for Phaeocystis blooms is assessed by comparison with ecological indicators (bloom magnitude and duration) and the cost for reducing foam events on the beaches is estimated. Uncertainty brought by the added effect of meteorological conditions (rainfall) on coastal eutrophication is discussed. It is concluded that the reduction obtained by implementing realistic environmental measures on the short-term is costly and insufficient to restore well-balanced nutrient conditions in the coastal area while the replacement of conventional agriculture by organic farming
7 CFR 1032.53 - Announcement of class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2010 CFR
2010-01-01
... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1032.53 Section 1032.53 Agriculture Regulations of the Department of Agriculture... MILK IN THE CENTRAL MARKETING AREA Order Regulating Handling Class Prices § 1032.53 Announcement...
7 CFR 1032.53 - Announcement of class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2014 CFR
2014-01-01
... 7 Agriculture 9 2014-01-01 2013-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1032.53 Section 1032.53 Agriculture Regulations of the Department of Agriculture... MILK IN THE CENTRAL MARKETING AREA Order Regulating Handling Class Prices § 1032.53 Announcement...
7 CFR 1032.53 - Announcement of class prices, component prices, and advanced pricing factors.
Code of Federal Regulations, 2013 CFR
2013-01-01
... 7 Agriculture 9 2013-01-01 2013-01-01 false Announcement of class prices, component prices, and advanced pricing factors. 1032.53 Section 1032.53 Agriculture Regulations of the Department of Agriculture... MILK IN THE CENTRAL MARKETING AREA Order Regulating Handling Class Prices § 1032.53 Announcement...