The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
Bidders in day-ahead electricity markets want to sell/buy electricity when their bids generate positive surplus and not to take an action when the reverse holds. However, non-convexities in these markets cause conflicts between the actions that the bidders want to take and the actual market results. In this work, we investigate the non-convex market clearing problem of Turkish market operator and...
In this paper, we compile and analyse the most important determinants of natural gas prices. We provide a short overview of different methods used for studying natural gas prices. Afterwards, we classify the most important determinants for gas prices based on literature. Thereby, we describe the impact of the components on gas prices as well as the strength of the respective influences. On the demand...
Drivers cruising for parking are an important cause of traffic congestion in cities. Smart parking applications that make easier the parking search task can help to reduce this traffic and its associated environmental burden. This paper presents the conceptual modeling phase of ParkinGain, a smart parking application that helps drivers to find and reserve parking spots based on their current needs,...
In this paper, we investigate the performance of discount pricing policies as coordination mechanisms in decentralized channels where demand is sensitive to both price and sales effort. Most related studies have shown that volume discount is an effective channel coordination device. However, our paper shows that, when demand is affected by both price and sales effort, regular volume discount not only...
This paper, which based on the assumption of product market demand price-dependent and random deviation, makes models respectively to discuss the optimal strategy in the cooperation and non-cooperation conditions between the supplier and the retailer, which is how to determine the most superior wholesale price of the suppliers optimal order quantity of the retailers and retail price. Suppliers, which...
This paper studies the pricing and ordering policy of a two-echelon supply chain with a supplier and a retailer. The retailer has accurate demand information while the supplier does not. The research shows that the uncertainty of the supplier on the demand will lead to a reduction of the supplier's expected profit, which also shows the value of information. Moreover, if the supplier overestimates...
Management (i.e. initial allocation and subsequent increase / decrease) of credit limits is one of the most critical decisions related to credit card accounts. It affects a number of variables that have direct or indirect influence on the profitability of the portfolio. This paper proposes the use of a new type of model (termed action-effect model) to study the effect of credit limit increase / decrease...
In a two-stage supply chain composed of one supplier and one retailer, the supply chain models in a fuzzy demand environment is researched. A positive triangular fuzzy number is used to model the external market demand. Using the method of fuzzy cut sets theory, the models of centralized decision-making and returns policy are built, and their optimal policies are also proposed. It shows that the optimal...
This paper mainly choose three issued separate stock options and bond trading of convertible bonds which issued in 2008 in China: samples as follows, State Power CWB1, COSCOL and Baosteel CWB1,and from a empirical point of view to analysis the price of these bonds and warrants. Obtained the conclusions that the bond portion has the investment value, analysis the reason of some theoretical warrant...
The emergence of e-commerce has prompted firms to redesign their supply chains. On the one hand, manufacturers are easy to adopt the traditional retail channel and online direct channel to sell their products. On the other hand, newly-established online exchange provides the retailers new avenue to readjust their inventories. This paper examines the pricing strategies of a manufacturer and a retailer...
In the recent years, several technical solutions have been developed that allow Bandwidth-on-Demand services to be offered by service providers. In the context of the European academic networks, the technical feasibility of such services has been demonstrated on several occasions. The move from a research activity to a production service presents further requirements in addition to the overcoming...
The principal achievement of this paper is the combinative use of two market institutions: public warehousing and commodity exchange and how their joint application is beneficial for the players on the grain market. Based on a theoretical foundation, a calculation model was developed in order to assist short and long-term marketing decisions. This electronically developed and working model allows...
The classic newsvendor model normally deals with single factor and single period, where the purchase timing, the time-variant variance of the demand and guaranteed delivery time are neglected. This paper simultaneously considered the above three factors and presented a newsvendor model embedded with time-factors, in the background of two stage supply chain whose products were of time-effectiveness...
Generally, we price options by calculating the expected value of future cash flows, discounted with the appropriate risk-free interest rate. However, the closed-form solutions for many multi-asset options don't exist. In this paper we consider the pricing of the multi-asset options by Monte Carlo method. As a test case, we take the quanto option for example, which is a typical multi-asset option....
Many underlying assets of option contracts exhibit both jump-diffusion process and stochastic volatility. This paper investigates the valuation of options when the underlying asset follows a jump-diffusion process with stochastic volatility ,which correlated asset return process. A closed form solution is derived for European options through the use of characteristic function and the Fourier transform...
Taking the Knightian uncertainty of financial market into consideration, the randomness and fuzziness of stock price should been evaluated by both probabilistic expectation and fuzzy expectation. We make use of parabolic type fuzzy numbers to discuss the fuzzy binomial option pricing model with uncertainty of both randomness and fuzziness, and derive expression for the fuzzy risk neutral probabilities,...
We present an integrated model for a single-manufacturer multi-retailer supply chain scenario where the product fits Poisson distribution. The manufacturer orders the required quantity of raw materials, converts them into finished products to deliver to the retailers. An integrated inventory model determines the lot size, taking into the pattern of ordering quantities required by the retailers. The...
We develop an analytic warrant pricing model with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck process, rather than from a Wiener process. This model provides a valuable insight into dependence of warrant price on the return autocorrelation...
The market price for electrical energy is one of the main decisive factors for operational and strategic questions of power generation companies (PGC). Using market simulation methods which simulate the market for electrical energy the price development can be investigated. However, the deficit of typical market simulation methods is, that these methods in general not consider all cost components...
We present two stochastic models optimizing a hydro-thermal power system; the first from the perspective of a global system and the second from a sub-system's (country or utility) perspective within a liberalized market. Particularly CO2 emission quotas and CO2 certificate prices are taken into account. The first model seeks to compute the electricity system marginal price as well as the CO2 emissions...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.