A Stochastic Programming Model for Currency Option Hedging

In this paper we use a stochastic programming approach to develop currency option hedging models which can address problems with multiple random factors in an imperfect market. The portfolios considered in our model are rebalanced at the end of each time period, and reinvestments are allowed during the hedging process. These sequential decisions (reinvestments) are based on the evolution of random parameters such as exchange rates, interest rates, etc. We also allow the inclusion of a variety of instruments in the hedging portfolio, including short term derivative securities, short term options, and futures. These instruments help generate strategies that provide good liquidity and low trade intensity. One of the important features of the model is that it incorporates constraints on sensitivity measures such as Delta and Gamma. By ensuring that these hedge parameters track a desired trajectory (e.g., the parameters of a target option), the new model provides investment strategies that are robust with respect to the perturbations measured by Delta and Gamma. In order to manage the explosion of scenarios due to multiple random factors, we incorporate sampling within a scenario aggregation algorithm. We illustrate that when compared with other myopic hedging methods in imperfect markets, the new stochastic programming model can provide better performance. Our examples also illustrate stochastic programming as a practical computational tool for realistic hedging problems.     

Empirical Likelihood Inference Under Stratified Random Sampling in the Presence of Measurement Error

Suppose that several different imperfect instruments and one perfect instrument are used independently to measure some characteristic of a population. In order to make full use of the sample information, in this paper the empirical likelihood method is put forward for making inferences on parameters of interest under stratified random sampling in the presence of measurement error, Our results show that it can lead to estimators which are asymptotically normal and utilize all the available sample information. We also obtain the asymptotic distribution of empirical likelihood testing statistics. In particular, we apply the method to obtain estimator and confidence interval of population mean.     

Computer type instruments

In the history of the art of measurement, computer type instruments have been in existence for a very short time. They can still be considered by-products of the computer technology, but there is no doubt that computer type instruments will in a future have the same importance for the human welfare and the evolution of sciences as electronic computers have to-day. In this article two examples are described, related to paper industry and nuclear physics research.     

An inventory model with reliability in an imperfect production process

The paper analyzes an economic manufacturing quantity (EMQ) model with price and advertising demand pattern in an imperfect production process under the effect of inflation. If the machine goes through a long-run process, it may shift from in-control state to out-of-control state. As a result, the system produces imperfect items. The imperfect items are reworked at a cost to make it as new. The production of imperfect quality items increases with time. To reduce the production of the imperfect items, the systems have to more reliable and the produced items depend on the reliability of the machinery system. In this direction, the author considers that the development cost, production cost, material cost are dependent on reliability parameter. Considering reliability as a decision variable, the author constructs an integrated profit function which is maximized by control theory. A numerical example along with graphical representation and sensitivity analysis are provided to illustrate the model.     

Counterfactual and seeing-to-it responsibilities in strategic games

The article studies two forms of responsibility in the setting of strategic games with imperfect information. They are referred to as seeing-to-it responsibility and counterfactual responsibility. It shows that counterfactual responsibility is definable through seeing-to-it, but not the other way around. The article also proposes a sound and complete bimodal logical system that describes the interplay between the seeing-to-it modality and the individual ex ante knowledge modality.     

MANAGING THE CLIMATE RENT: HOW CAN REGULATORS IMPLEMENT INTERTEMPORALLY EFFICIENT MITIGATION POLICIES?

This paper provides a formal framework to analyze informational and commitment requirements of several intertemporal price and quantity instruments for mitigating global warming. We ask under what conditions and to what extend the regulator can shift the complex and daunting intertemporal optimization of fossil resource use to markets. Mitigation always generates an intertemporal climate rent which reflects the stock‐dependent damages and emerging scarcities of the atmospheric carbon deposit. In order to calculate and to manage this climate rent appropriately, common policy instruments like Pigouvian taxes or emissions trading presume perfect information about resource demand, extraction costs, reserve sizes, and damages for the entire planning horizon. To reduce these informational requirements we develop an alternative policy approach—a state dependent tax rule—that relies only on current observations of cumulative extraction (or atmospheric carbon concentration). Within a cost–benefit analysis, this instrument is capable to shift the complex intertemporal optimization problem completely to the resource sector when resource owners are homogeneous. Under a cost‐effective carbon budget approach, emissions trading with banking and borrowing can also unburden the regulator from solving the intertemporal social planner optimization problem. Additionally, we discuss which instruments can obtain an optimal allocation even if resource owners employ discount rate mark‐ups (i.e., due to imperfect commitment or insecure property rights). While an emissions trading scheme without banking and borrowing is robust against discount rate mark‐ups, resource taxes have to be modified in order to achieve an optimal allocation.     

Stochastic measures of arbitrage

Empirical research has provided evidence supporting the existence of arbitrage opportunities in real financial markets although market imperfections are often the main reason to explain these empirical deviations. Consequently, recent literature has turned the attention to imperfect markets in order to extend the most significant results on asset pricing. This paper develops several stochastic measures providing relative arbitrage earnings available in a financial market. The measures allow us to take into account different type of frictions. They are introduced by means of several dual pairs of vector optimization problems. Primal problems permit us to characterize the arbitrage absence even in an imperfect market and they also provide optimal arbitrage portfolios if the arbitrage absence fails. Dual ones allow us to extend the risk-neutral valuation methodology for imperfect and noarbitrage free markets and provide new interpretations for the measures in terms of “frictions effect” or “committed errors” in the valuation process. Partially funded by Comunidad Autónoma de Madrid (ref: CAM 07T/0027/2000) and Spanish Ministry of Science and Technology (ref: BEC2000-1388-C04)     

Modelling imperfect advance demand information and analysis of optimal inventory policies

We consider an inventory control problem where it is possible to collect some imperfect information on future demand. We refer to such information as imperfect Advance Demand Information (ADI), which may occur in different forms of applications. A simple example is a company that uses sales representatives to market its products, in which case the collection of sales representatives’ information as to the number of customers interested in a product can generate an indication about the future sales of that product, hence it constitutes imperfect ADI. Other applications include internet retailing, Vendor Managed Inventory (VMI) applications and Collaborative Planning, Forecasting, and Replenishment (CPFR) environments. We develop a model that incorporates imperfect ADI with ordering decisions. Under our system settings, we show that the optimal policy is of order-up-to type, where the order level is a function of imperfect ADI. We also provide some characterizations of the optimal solution. We develop an expression for the expected cost benefits of imperfect ADI for the myopic problem. Our analytical and empirical findings reveal the conditions under which imperfect ADI is more valuable.     

A comprehensive note on: An economic order quantity with imperfect quality and quantity discounts

Lin [T.Y. Lin, An economic order quantity with imperfect quality and quantity discounts, Appl. Math. Model. 34 (10) (2010) 3158–3165] recently proposed an EOQ model with imperfect quality and quantity discounts, where the lot-splitting shipments policy is adopted. In this note we first rectify the holding cost terms showed in Lin to obtain a new objective function, then resolve the problem and develop an easy to implement algorithm to find the overall optimal solutions for the model. Besides, we present a new model for items with imperfect quality, where lot-splitting shipments and different holding costs for good and defective items are considered. The closed-form formulas for determining the optimal ordering and shipping policies are derived. Also, the results are examined analytically and numerically to gain more insights of the solutions.     

A discrete-time model of failure and repair

In this paper the authors introduce and study a model of failures and repairs of units with discrete lifetimes. They suppose that a unit has a sequence of tasks to perform and that its lifetime is measured by the number of tasks performed before its final, fatal failure. Upon a failure the unit may be repaired (with some probability) and then it may attempt again to perform the current task. The unit dies when (with some probability) a repair cannot be completed. We derive some stochastic comparisons of pairs of such models. The stochastic comparisons are then applied for obtaining results regarding the inheritance of several aging properties by the repaired unit. Various examples illustrate the applicability of the model. Some variants of the model of this paper can be viewed as discrete analogues of the notion of imperfect repair.     

Israeli Jewish and Arab students’ gendering of mathematics

In English-speaking, Western countries, mathematics has traditionally been viewed as a “male domain”, a discipline more suited to males than to females. Recent data from Australian and American students who had been administered two instruments [Leder & Forgasz, in Two new instruments to probe attitudes about gender and mathematics. ERIC, Resources in Education (RIE), ERIC document number: ED463312, 2002] tapping their beliefs about the gendering of mathematics appeared to challenge this traditional, gender-stereotyped view of the discipline. The two instruments were translated into Hebrew and Arabic and administered to large samples of grade 9 students attending Jewish and Arab schools in northern Israel. The aims of this study were to determine if the views of these two culturally different groups of students differed and whether within group gender differences were apparent. The quantitative data alone could not provide explanations for any differences found. However, in conjunction with other sociological data on the differences between the two groups in Israeli society more generally, possible explanations for any differences found were explored. The findings for the Jewish Israeli students were generally consistent with prevailing Western gendered views on mathematics; the Arab Israeli students held different views that appeared to parallel cultural beliefs and the realities of life for this cultural group.     

第三方物流客户服务绩效的灰色模糊综合评价模型

根据评价第三方物流客户服务绩效的KPI指标体系,考虑到评价过程中信息的不完全性以及评判者思维模糊性的特点,将综合评价中传统的信息集结算子推广到更一般的三角模运算上,以此建立了基于三角模算子的第三方物流客户服务绩效的灰色模糊综合评判模型。作为综合评价中传统信息集结算子的推广,该模型具有更广泛的适用范围。     

一类虚拟寿命不完全维修模型的统计模拟分析

本文通过利用统计分析的方法分析了一类虚拟寿命不完全维修模型,在此类模型中,系统的报废时间由系统的虚拟寿命决定。由于在分析此类模型时,大多数情况下系统的运行时间之间相互不独立,直接导出相关的可靠性指标的计算公式比较困难,因此采用统计模拟的方法得出相关的可靠性指标。     

Stochastic volatility model and technical analysis of stock price

In the stock market, some popular technical analysis indicators (e.g. Bollinger Bands, RSI, ROC, ...) are widely used by traders. They use the daily (hourly, weekly, ...) stock prices as samples of certain statistics and use the observed relative frequency to show the validity of those well-known indicators. However, those samples are not independent, so the classical sample survey theory does not apply. In earlier research, we discussed the law of large numbers related to those observations when one assumes Black-Scholes’ stock price model. In this paper, we extend the above results to the more popular stochastic volatility model.     

Dispersion relations of elastic waves in three-dimensional cubical piezoelectric phononic crystal with initial stresses and mechanically and dielectrically imperfect interfaces

A three-dimensional cubical piezoelectric phononic crystal is theoretically studied in this paper, formed by pre-stressed piezoelectric rectangular blocks and imperfect interfaces. Firstly, transfer matrices of pre-stressed piezoelectric rectangular blocks and imperfect interfaces are obtained based on the structural characteristics. The Bloch waves consist of three groups of sub-coupled elastic waves corresponding with three orthogonal periodical directions in the three-dimensional periodical structure. Furthermore, based on the transfer matrices of typical single cell and the Bloch theorem, it is established that the theoretical model of above-mentioned three-dimensional cubical piezoelectric phononic crystal to obtain the dispersion relations of Bloch waves. Finally, the influences of non-dimensional geometrical parameters (structural and modal parameters) and physical parameters (initial stress and mechanically and dielectrically imperfect interface parameters) on the dispersion relations are discussed based on the graphically numerical results. Numerical calculation results show that the existences of initial stresses and mechanically and dielectrically imperfect interfaces equivalently lead to the alterations of structural flexibilities or rigidities. The theoretical model and numerical discussions will provide a direct guidance of multi-material additive manufacturing for pre-stressed and inhomogeneous periodic structures with partial and global dispersion properties.     

Optimal replenishment policy for imperfect quality EMQ model with rework and backlogging

This paper derives the optimal replenishment policy for imperfect quality economic manufacturing quantity (EMQ) model with rework and backlogging. The classic EMQ model assumes that all items produced are of perfect quality. However, in real‐life manufacturing settings, generation of imperfect quality items is almost inevitable. In this study, a random defective rate is assumed. All items produced are inspected and the defective items are classified as scrap and repairable. A rework process is involved in each production run when regular manufacturing process ends, and a rate of failure in repair is also assumed. Unit disposal cost and unit repairing and holding costs are included in our mathematical modelling and analysis. The renewal reward theorem is employed in this study to cope with the variable cycle length. The optimal replenishment policy in terms of lot‐size and backlogging level that minimizes expected overall costs for the proposed imperfect quality EMQ model is derived. Special cases of the model are identified and discussed. Numerical example is provided to demonstrate its practical usage. Copyright © 2006 John Wiley & Sons, Ltd.     

Basics of electricity derivative pricing in competitive markets

This paper studies the application of the available financial theory to the deregulated electricity market. The special characteristics of electricity make the market different from all other commodity markets. The paper introduces a coherent framework for the assets and instruments in the electricity markets in the financial tradition. Properties of the instruments that are available in the Scandinavian electricity market are studied in more detail.     

基于机票超售模型的高校图书馆网上预约管理策略

由于图书预约管理体制的不完善,预约借书成功率不高,大量预约登记图书滞留,严重影响图书的流通,因此合理可行的预约管理方案是各高校图书馆共同的迫切需求.基于机票超售模型,结合高校图书馆的实际情况,根据预约者是否按时来图书馆领取预约图书,总体分析复本数、预约期限、预约成功率与图书滞留天数的关系,应用Matlab7.0求解最佳的预约方案来减少预约服务造成的图书滞留.并且以天津大学图书馆为例验证模型效果,以图书滞留天数衡量预约图书流通情况,应用高校图书预约模型对预约方案进行改进,使得预约图书滞留天数明显减少,成功达到提高预约图书流通率,更好地为高校师生服务的目的.