Search results for " pricing"
showing 10 items of 146 documents
Scenario optimization asset and liability modelling for individual investors
2006
We develop a scenario optimization model for asset and liability management of individual investors. The individual has a given level of initial wealth and a target goal to be reached within some time horizon. The individual must determine an asset allocation strategy so that the portfolio growth rate will be sufficient to reach the target. A scenario optimization model is formulated which maximizes the upside potential of the portfolio, with limits on the downside risk. Both upside and downside are measured vis- `a-vis the goal. The stochastic behavior of asset returns is captured through bootstrap simulation, and the simulation is embedded in the model to determine the optimal portfolio. …
A Comprehensive Spatiotemporal Framework for Hedonic Pricing: Integrating the Comparable Sales Approach and Minimizing Spatial Omitted Variable Bias
2019
This paper develops a theoretical and methodological framework that integrates Hedonic Pricing (HP), grid comparable sales approach (CSA), and nearest neighbors into a general spatiotemporal specification. By explicitly providing a theoretical justification for introducing spatial (or spatiotemporal) econometrics to HP, this approach is not only relevant to house price forecasting and automated valuation models (AVM) but also to valuing environmental goods capitalized in housing and to all other fields employing house pricing models. The resulting econometric CSA and spatiotemporal Durbin models provide higher prediction accuracy and reliability to alternatives by reducing the spatially-del…
In light of the ends. Copyright hysteresis and private copy exception after the British Academy of Songwriters, Composers and Authors (BASCA) and oth…
2015
In British Academy of Songwriters, Composers and Authors (BASCA) and others v Secretary of State for Business, Innovation and Skills, the High Court of Justice in matter of private copy exception provides the twofold prime opportunity to shed light on the state of the art of copyright in the UK and to flesh out the idea of 'legal hysteresis’. I support the reintroduction of the private copy exception, possibly in a less narrow fashion, and I explain the reasons why I am confident that my expectations will be fulfilled.
Impacts of electricity pricing on techno-economic performance of photovoltaic-battery centered microgrid
2021
The energy management technique in a microgrid, plays very crucial role for making it more economic viable during the electricity energy pricing dynamics. It is vital to investigate the impact of e...
Decentralized on-site optimization of a battery storage system using one-way communication
2015
Intermittent renewable energy sources (e.g. wind, solar energy systems) have been providing an exponentially growing share of electricity generation. Due to their highly transient and stochastic nature, they pose substantial challenges for power grid operation. Power dispatched from these sources are uncontrolled and do not necessarily coincide with demand; this in turn affects power quality. Hence, extensive demand side management (DSM) is required. DSM relies on flexible loads as well as energy storage facilities. Furthermore, renewable power generation is by its very nature highly distributed and consists of large numbers of small units. These have a substantial effect on traditional pow…
On the Irrelevance of Expected Stock Returns in the Pricing of Options in the Binomial Model: A Pedagogical Note
2005
The option pricing theory is now either a standard or a main part of many financial courses on both intermediate and advanced levels. All the textbooks that include the option pricing theory present a detailed treatment of the binomial model. However, the binomial model, although quite simple and intuitive in appearance, is rather tricky when it comes to its practical implementations and applications. In fact, it is amazing that the students often get totally confused when it finally comes to the issue of the choice of the parameters of the binomial model. The reason for all this confusion lies in the fact that all the textbooks emphasize the irrelevance of the binomial option price from th…
A demand-based methodology for planning the bus network of a small or medium town.
2010
This work aims at developing a demand-based methodology for designing the bus network of a small or medium town. The proposed modelling tool adopts a multi-agent objective function which evaluates performance in the context of different stakeholders: the surplus of travellers (car and bus users); the bus service provider’s revenues and operation costs. This approach was applied to an existing bus network, serving city of Trapani, which is a medium town in the south of Italy (Sicily), with 100000 inhabitants. The bus-based public transport system attracts only about 5% of commuter trips within Trapani (source: National Institute of Statistics, 2005). This paper reports on an analysis of the …
The economic impact of water taxes: a computable general equilibrium analysis with an international data set
2008
Water is scarce in many countries. One instrument for improving the allocation of a scarce resource is (efficient) pricing or taxation. However, water is implicitly traded on international markets, particularly through food and textiles, so that the impacts of water taxes cannot be studied in isolation, but require an analysis of international trade implications. We include water as a production factor in a multi-region, multi-sector computable general equilibrium model (GTAP), to assess a series of water tax policies. We find that water taxes reduce water use and lead to shifts in production, consumption and international trade patterns. Countries that do not levy water taxes are nonethele…
Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models
2016
European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD). The early exercise constraint of American options is enforced by a penalty on subset of grid points. The presented numerical experiments demonstrate that pricing with ROMs can be orders of magnitude faster within a given model p…
The Economic Impact of Water Taxes: A Computable General Equilibrium Analysis with an International Data Set
2006
Water is scarce in many countries. One instrument to improve the allocation of a scarce resource is (efficient) pricing or taxation. However, water is implicitly traded on international markets, particularly through food and textiles, so that impacts of water taxes cannot be studied in isolation, but require an analysis of international trade implications. We include water as a production factor in a multi-region, multi-sector computable general equilibrium model (GTAP), to assess a series of water tax policies. We find that water taxes reduce water use, and lead to shifts in production, consumption, and international trade patterns. Countries that do not levy water taxes are nonetheless af…