Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches

We demonstrate how the problem of determining the ask price for electricity swing options can be considered as a stochastic bilevel program with asymmetric information. Unlike as for financial options, there is no way for basing the pricing method on no-arbitrage arguments. Two main situations are analyzed: if the seller has strong market power he/she might be able to maximize his/her utility, while in fully competitive situations he/she will just look for a price which makes profit and has acceptable risk. In both cases the seller has to consider the decision problem of a potential buyer – the valuation problem of determining a fair value for a specific option contract – and anticipate the buyer’s optimal reaction to any proposed strike price. We also discuss some methods for finding numerical solutions of stochastic bilevel problems with a special emphasis on using duality gap penalizations.     

On the impact of advertising initiatives in supply chains

Advertising plays an important role in affecting consumer demand. Socially responsible firms are expected to use advertising judiciously, limiting advertising of “bad” products. An example is the advertising initiative adopted by several major food manufacturers to limit the advertising of unhealthy food categories to children. Such initiatives are based on the belief that less advertising will lead to less consumption of these unhealthy food categories. However, food manufacturers usually distribute products to consumers through retailers whose advertising is not restricted by those initiative programs. In this paper, we examine the effectiveness of such advertising initiative in a leader–follower supply chain with one manufacturer and one retailer. We assume that both the manufacturer and the retailer can choose to participate in the advertising initiative by reducing their advertising levels. The problem is formulated as a Stackelberg game. We show that the effectiveness of the advertising initiative critically depends on the leader’s participation in the initiative. If the leader is willing to reduce the advertising level below a threshold, the market coverage of the product can drop significantly. On the other hand, if only the follower participates in the initiative, the market coverage is likely to expand in the majority of cases. Managerial implications of this research are also discussed.     

On characterization of the core of lane covering games via dual solutions

The lane covering game (LCG) is a cooperative game where players cooperate to reduce the cost of cycles that cover their required lanes on a network. We discuss the possibilities/impossibilities of a complete characterization of the core via dual solutions in LCGs played among a collection of shippers, each with a number of service requirements along some lanes, and show that such a complete characterization is possible if each shipper has at most one service requirement.     

Bifurcations and chaos in a nonlinear discrete time Cournot duopoly game

A nonlinear discrete time Cournot duopoly game is investigated in this paper. The conditions of existence for saddle-node bifurcation, transcritical bifurcation and flip bifurcation are derived using the center manifold theorem and the bifurcation theory. We prove that there exists chaotic behavior in the sense of Marotto＇s definition of chaos. The numerical simulations not only show the consistence with our theoretical analysis, but also exhibit the complex but interesting dynamical behaviors of the model. The computation of maximum Lyapunov exponents confirms the theoretical analysis of the dynamical behaviors of the system.     

组织惯例演化的博弈分析

随着全球经济系统的日趋复杂和快速变化,持续性变革已经成为企业生存和发展的内在需要.组织惯例作为组织行为的基本要素和组织能力的载体,可以反映企业内在的深层变革.运用生物学隐喻,深入剖析了企业演化的机制;并在此基础上,运用演化博弈模型对组织惯例演化的路径选择进行了模拟分析;最后探讨了组织惯例演化的主要影响因素,并通过案例研究,对演化博弈模型进行了例证.     

基于远期合约的电力市场博弈分析

通过建立零售商与发电厂商之间的远期合约博弈模型,分析在发电和售电分开的电力市场模式下,零售商与发电厂商之间的远期合约在抑制发电厂商寡头垄断方面的作用.研究表明:在零售竞争的市场中,零售商采用激励策略主动与发电厂商签订远期合约,从而实现零售商自身利润最优化的目标,并在一定程度上减少了发电厂商的垄断利润,同时零售商的这种主动策略行为还能促进社会福利最大化的实现.这些分析为今后我国电力市场改革和电力金融衍生产品的创新提供了理论参考.     

基于合作博弈的非常规突发极端洪水灾害风险应急金融服务供应链协调

根据非常规突发极端洪水灾害风险的特点,从服务供应链视角,提出非常规突发极端洪水灾害风险应急金融服务供应链的管理框架,分析此供应链的结构和内涵.分析此应急金融服务供应链中各参与人的利益关系式与和谐阈值,利用合作博弈理论,建立基于传统Shapley值合作博弈模型,有效解决应急金融服务供应链中成员经营性政府、保险公司和公众三者之间的协调问题.     

不同信息条件下创新联盟合作伙伴的选择——基于知识获取的研究视角

以知识获取为研究视角,应用动态博弈理论,研究了不同信息条件下创新联盟合作伙伴选择的问题.通过研究发现,在信息对称条件下,知识共享成本越低或者知识获取能力越高,越容易实现帕累托改进;在信息非对称条件下,企业的合作成本、知识获取能力影响了分离均衡区间的范围,并进而影响帕累托效率与逆向选择风险的大小.     

Relaxed very asymmetric coloring games

This paper investigates a competitive version of the coloring game on a finite graph G. An asymmetric variant of the (r,d)-relaxed coloring game is called the (r,d)-relaxed (a,b)-coloring game. In this game, two players, Alice and Bob, take turns coloring the vertices of a graph G, using colors from a set X, with |X|=r. On each turn Alice colors a vertices and Bob colors b vertices. A color α∈X is legal for an uncolored vertex u if by coloring u with color α, the subgraph induced by all the vertices colored with α has maximum degree at most d. Each player is required to color an uncolored vertex legally on each move. The game ends when there are no remaining uncolored vertices. Alice wins the game if all vertices of the graph are legally colored, Bob wins if at a certain stage there exists an uncolored vertex without a legal color. The d-relaxed (a,b)-game chromatic number, denoted by , of G is the least r for which Alice has a winning strategy in the (r,d)-relaxed (a,b)-coloring game.The (r,d)-relaxed (1,1)-coloring game has been well studied and there are many interesting results. For the (r,d)-relaxed (a,1)-coloring game, this paper proves that if a graph G has an orientation with maximum outdegree k and a≥k, then for all d≥k²+2k; If a≥k³, then (a,1)- for all d≥2k+1.     

Consumer environmental awareness and competition in two-stage supply chains

This paper focuses on the impact of competition and consumers’ environmental awareness on key supply chain players. We consider both the production competition between partially substitutable products made by different manufacturers, and the competition between retail stores. We use two-stage Stackelberg game models to investigate the dynamics between the supply chain players given three supply chain network structures. We find that as consumers’ environmental awareness increases, retailers and manufacturers with superior eco-friendly operations will benefit; while the profitability of the inferior eco-friendly firm will tend to increase if the production competition level is low, and will tend to decrease if the production competition level is high. In addition, higher levels of retail competition may make manufacturers with inferior eco-friendly operations more likely to benefit from the increase of consumers’ environmental awareness. Moreover, as production competition intensifies, the profits of the retailers will always increase, while the profits of the manufacturers with inferior eco-friendly operations will always decrease. The profitability of the manufacturers with superior eco-friendly operations will also tend to decrease, unless consumers’ environmental awareness is high and the superior manufacturer has a significant cost advantage related to product environmental improvement.