Search results for "VALUATION"
showing 10 items of 2494 documents
DEA-like Models for the Efficiency Evaluation of Hierarchically Structured Units
2004
Abstract The knowledge of the internal structure of decision making units (DMUs) gives further insights with respect to the “black box” perspective when considering data envelopment analysis models. We present one-level and two-level hierarchical structures of the DMUs under evaluation. Each unit is composed of consecutive stages of parallel subunits all with constant returns to scale. In particular, the maximization of the relative efficiency of a DMU is studied. For the two-stage situation, different degrees of coordination among the subunits of the hierarchical levels are discussed. When some form of coordination has to be guaranteed, we introduce balancing constraints and we compare two…
An Iterative Method for Pricing American Options Under Jump-Diffusion Models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.
Greedy versus Dynamic Channel Aggregation Strategy in CRNs: Markov Models and Performance Evaluation
2011
Part 1: - PE-CRN 2011 Workshop; International audience; In cognitive radio networks, channel aggregation techniques which aggregate several channels together as one channel have been proposed in many MAC protocols. In this paper, we consider elastic data traffic and spectrum adaptation for channel aggregation, and propose two new strategies named as Greedy and Dynamic respectively. The performance of channel aggregation represented by these strategies is evaluated using continuous time Markov chain models. Moreover, simulation results based on various traffic distributions are utilized in order to evaluate the validity and preciseness of the mathematical models.
Uncertainty Propagation in Integrated Urban Water Quality Modelling
2018
Sensitivity and uncertainty assessment of integrated urban drainage water quality models are crucial steps in the evaluation of the reliability of model results. Indeed, the assessment of the reliability of the results of complex water quality models is crucial in understanding their significance. In the case of integrated urban drainage water quality models, due to the fact that integrated approaches are basically a cascade of sub-models (simulating the sewer system, wastewater treatment plant and receiving water body), uncertainty produced in one sub-model propagates to the following ones in a manner dependent on the model structure, the estimation of parameters and the availability and u…
Fuzzified Game Tree Search – Precision vs Speed
2012
Most game tree search algorithms consider finding the optimal move. That is, given an evaluation function they guarantee that selected move will be the best according to it. However, in practice most evaluation functions are themselves approximations and cannot be considered "optimal". Besides, we might be satisfied with nearly optimal solution if it gives us a considerable performance improvement. In this paper we present the approximation based implementations of the fuzzified game tree search algorithm. The paradigm of the algorithm allows us to efficiently find nearly optimal solutions so we can choose the "target quality" of the search with arbitrary precision --- either it is 100% (pr…
Robust and Efficient IMEX Schemes for Option Pricing under Jump-Diffusion Models
2013
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump diffusion process. The schemes include the families of IMEX-midpoint, IMEXCNAB and IMEX-BDF2 schemes. Each family is defined by a convex parameter c ∈ [0, 1], which divides the zeroth-order term due to the jumps between the implicit and explicit part in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restrictions, the IMEX-midpoint fa…
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
2014
Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…
La fabrication des artisans : socialisation et processus de médiation dans l'apprentissage de la menuiserie
2012
This doctoral thesis in Communication Sciences offers to rethink the question of transmission of manual trades, in the context of contemporary craft industry in France. We analyse the classical dualism between “manual” and “nonmanual”, and go further with a theoretical approach of intelligence derived from Janet and Jousse. We also base our analysis on the studies about socialization, especially from Dubar, so we can involve a non-determinist model of transmitting manual crafts. In order to recognize the importance of working with materials, tools, in occupational socialization, we propose to look at its sequence as a “process of mediation” and to describe its communication device, inspired…
Assessing the competence learning to learn: a methodological proposal
2012
En este artículo se presenta un procedimiento para diseñar instrumentos para evaluar la competencia de Aprender a Aprender. Analizamos la secuencia de trabajo y los conceptos implicados. Se trata de una línea de trabajo que pretende diseñar instrumentos de evaluación referidos a estándares, para evaluar las competencias básicas en la educación obligatoria, y las genéricas o transversales en las titulaciones de grado universitarias (el sistema de instrumentos para universitarios se denomina ESCOGE). Se ilustra la reflexión acerca de esta propuesta con la definición teórica realizada para el diseño de instrumentos que permitan evaluar esta competencia en egresados universitarios del área de C…
Direct evaluation of jumps for nonlinear systems under external and multiplicative impulses
2015
In this paper the problem of the response evaluation of nonlinear systems under multiplicative impulsive input is treated. Such systems exhibit a jump at each impulse occurrence, whose value cannot be predicted through the classical differential calculus. In this context here the correct jump evaluation of nonlinear systems is obtained in closed form for two general classes of nonlinear multiplicative functions. Analysis has been performed to show the different typical behaviors of the response, which in some cases could diverge or converge to zero instantaneously, depending on the amplitude of the Dirac's delta.