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Airport deregulation: Effects on pricing and capacity
(ELSEVIER, 2008-07)
We use a model of vertical relations between two congestible airports and an airline oligopoly to examine, both analytically and numerically, how deregulation may affect airports prices and capacities. We find that: (i) ...
Pricing liquid petroleum gas in Mexico
(Centro de Investigación y Docencia Económicas, División de Economía, 2022)
A multicommodity model of futures prices: using futures prices of one commmodity to estimate the stochastic process of another
(JOHN WILEY & SONS INC, 2008)
This article proposes a multicommodity model of futures prices of more than one commodity that allows the use of long-maturity futures prices available for one commodity to estimate futures prices for the other. The model ...
A real options approach for joint overhaul and replacement strategies with mean reverting prices
(2017)
Due to its significant impact on economic performance, an effective equipment overhaul and replacement strategy is a key aspect of physical asset management in capital intensive industries, such as the mining industry. ...
A joint experimental analysis of the dutch auction, book building and competitive ipo pricing methods
(Universidade Federal do Rio de JaneiroBrasilInstituto COPPEAD de AdministraçãoUFRJ, 2019)
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
(Routledge, 2018)
A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al [Multiscale Stochastic Volatility for Equity, ...
Optimal macroeconomic stabilization policy of food, metal, and energy price cycles in small open economies
(Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2015)
Tests of asset pricing with time-varying factor loads
(John Wiley & Sons Ltd, 2019-01)
This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and estimated from data at higher frequencies. The ...
Product Assortment and Price Competition under Multinomial Logit Demand
(Wiley & Sons, 2016)
The role of assortment planning and pricing in shaping sales and profits of retailers is well documented and studied in monopolistic settings. However, such a role remains relatively unexplored in competitive environments. ...