VALUTAZIONE E COPERTURA DI OPZIONI SU MATERIE PRIME

Tramite un modello di super-replication è possibile costruire un portafoglio composto da titoli liquidi per coprire la basket option sul mix produttivo di argento ed oro. Il prezzo non è molto differente da quello di Black & Scholes, le cui ipotesi però rendono impossibile l’implementazione della copertura.

A parallel simulated annealing approach to the K shortest loopless paths problem

The k shortest loopless paths problem is a significant combinatorial problem which arises in many contexts. When the size of the networks is very large the exact algorithms fail to find the best solution in a reasonable time. The aim of this paper is to suggest parallel efficient algorithms to obtain a good approximation of the solution to the k shortest loopless paths problem between two arbitrary nodes, when the network size is large. The heuristic used is known in literature as Simulated Annealing. Preliminary tests have been conducted for evaluating the validity of the proposed algorithms. The quality of the obtained results represents a significant base for further experimentations.

A MULTISTAGE DECISION MODEL FOR THE OPTIMAL ISSUANCE OF SOVEREIGN DEBT UNDER ESA95

The aim of this paper is to develop a stochastic programming model for the optimal composition of debt portfolios. Such a prob- lem has recently acquired a more and more major interest, being the indebtedness of many countries quite worrying. We propose a stochastic programming model where the decision maker desires to minimize a certain cost function while bounding the interest rate risk. Our analysis focus mainly on the cost function ESA95, which is a methodology developed by the European System of Accounts to gauge the cost of servicing the debt. The model is implemented under two financing strategies, one as- sumes the government cannot resort to budget surplus to pay interest expenses,…

Un Modello di Massima Copertura della Domanda per l’Allocazione Ottima delle Ciclostazioni di AMAT

AMAT Palermo S.p.A. is the public transport company of the municipality of Palermo. AMAT manages the bike sharing system and within a sustainable mobility project has involved the DSEAS and four secondary schools to the research project “GoToSchool”, a project whose main aim is to foster the use of the bike by the students in getting to the school.The project developed in two phases: the first phase was devoted to the estimate of the demand of bike sharing service from the students; the second phase was committed to the study of an optimal facility allocation problem in order to maximize the demand of bike sharing service arising from students.The optimization model can be easily customized…

A stochastic soft constraints fuzzy model for a portfolio selection problem