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.
It has been controversial for the formation mechanism of IPO initial returns anomaly. The underpricing explanation based on asymmetric information is well accepted, but could not explains that in emerging markets; the overvaluation explanation based on behavioral finance has more applicability in emerging markets, but cannot be supported well by empirical test because of the difficult of explanatory...
We consider a newsvendor problem with price-dependent demand and emergency purchase option allowed after the realization of random demand. By stochastic comparisons, we investigate the effects of demand uncertainty on pricing and order quantity decisions as well as expected profit of the newsvendor, under second order stochastic dominance. Our findings include: (i) in general, a less variable demand...
For the characteristic of short storage life and quick value decay for Short Lifecycle Products (SLPs), it is supposed that suppliers provide Quantity Discount Pricing (QDP), lead time and demand rate comply with stochastic normal distributions, and stock-outs are permitted. And the optimal ordering models of SLPs were developed for discrete and continuous stochastic demand. Then the arguments analysis...
Generation capacity expansion models have a long tradition in the power industry. Designed as optimization problems for the regulated monopoly industry, they can be interpreted as equilibrium models in a competitive environment. While often written as deterministic problems, they can be adapted to accommodate the wide range of uncertainties that currently assail the industry. We consider a stochastic...
Irreversible investments with largest outlay made with incomplete information are the mainstay of the oilfield development. Real Options Analysis (ROA) is a useful tool for making investment decisions under market uncertainty. Normal information generates continuous mean-reverting process for oil prices, whereas random abnormal information generates discrete jumps of random size. We evaluate an oilfield...
Longevity risk pose a major challenge for life insurers and pension funds around the world. As a new risk management tool, securitization can offer great opportunities for hedging this risk. The purpose of this paper is to improve the design of longevity bonds in an incomplete market framework. The paper develops a stochastic survival model suitable for financial pricing and risk management applications...
It is significant for scientific and rational decision-making method of coal resources development investment (for short CRDI) to evaluate reasonably the value of coal resources investment, to make the best coal resources investment program, and to timely manage the risks and flexibility in investment process. On the basis of analyzing the option characteristics of CRDI, CRDI could be regarded as...
In stochastic traffic assignment, if the total perceived travel cost of all users is used as the system performance index, the stochastic system optimum (SSO) assignment is then to minimize the total perceived travel cost. In this study, we investigate the existence of nonnegative uniform link tolls and the efficiency loss of congestion pricing of multiclass stochastic user equilibrium (SUE) traffic...
We proposed an expectation-oriented approach to deals with the futures pricing in the presence of incomplete information. The expectation model can be considered as a kind of consistent expectation based on widely accepted futures pricing model. Furthermore, we show that the expected pricing function can be verified directly from the observed data. The proposed approach can be considered as an extension...
We discuss a multi-period portfolio selection problem with transaction costs in this paper. We assume that the sample space is finite, and the possible securities price vector transitions is equivalent to the number of securities. By introducing a set of auxiliary martingales, we connect the primal problem with a set of optimization problems without transaction costs. We find that the dual problem,...
The oilfield development is a high-risk venture and requires the largest outlay which is not Irreversible. This paper proposes a new model, based on Real Option Pricing with Mean-Reverting jump, to find an optimal decision rule for alternatives of investment regarding the development of an oil field under market uncertainty. The objective of this new model is to help decision-making in the following...
This paper describes ultra-high-frequency data with marked point process, defines transaction process intensity to represent both transaction time interval changes and marks changes, derives sample function density and its maximum likelihood estimating formulation. As an example, when trade prices are Brown motions, price process and transaction arrival time process are independent each other, we...
Large-scale parallel simulation and modeling have changed our world. Today, supercomputers are not just for research and scientific exploration; they have become an integral part of many industries, among which finance is one of the strongest growth factors for supercomputers, driven by ever increasing data volumes, greater data complexity and significantly more challenging data analysis. In this...
This paper is the coordination of two periods' Supply chain with price dependent demand, and a rebate and penalty contact is introduced. Compared Supply chains with quantity flexibility contract and without quantity flexibility contract, it's proved that the quantity flexibility model with rebate and penalty can coordinate and optimize the whole supply chain, and can improve the profits of all sides.
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...
In order to predict price of candidates in acquisition, in this paper, we design a new model of price prediction of target based on radial basis function neural network. The model is trained by the financial data of acquisition market deals which were made in the past. The result of simulation and test indicates that average error of price prediction is percent 12. It is a suggestive reference of...
Term structure of interest rates has played an important role in pricing of fixed-income securities. In this paper, the prices of Chinese Government Bond (CGB) are analyzed firstly based on the famous two-factor affine term structure model, namely Longstaff-Schwartz model. First, by using the Kalman filter method, we estimate the parameters of the model, and obtain the price of CGB by Monte Carlo...
Considering the valuation of forest stands based on uncertain revenue from wood sales, concession policy (such as carbon subsidies), and associated costs, the paper focuses on building a stochastic control model to study the forest asset dynamic management. The key contributions are to establish a stochastic control model and to find the optimal dynamic strategy about harvesting quantity in the continual...
Recovery rates play an important role in Nth CDS pricing, while, it's difficult to get realistic recovery rates. Assuming that the recovery rates are stochastic and follow different Copulas with corresponding default times. Under this assumption, we develop a simulation Algorithm to price the Nth CDS. According to the result of simulation pricing, the prices of Nth CDS are different under the condition...
The liberalization of electricity markets and the rapid establishment of renewable power sources in the power system increases the need for decision support tools for planning, trading and operation. A suitable approach to model such decision problems is the use of stochastic optimization, where uncertain parameters, e.g. prices, are represented by a scenario tree. A scenario tree consists of possible...
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.