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Agricultural commodities pricing model applied to the Brazilian sugar market
(WILEY-BLACKWELLHOBOKEN, 2012)
This article suggests a pricing model for commodities used to produce biofuel. The model is based on the concept that the deterministic component of the Wiener process is not constant and depends on time and exogenous ...
Dynamics of Pinus wood prices for different timber assortments: comparison of stochastic processes
(Cirad-centre Cooperation Int Recherche Agronomique Pour, 2022-01-01)
Understanding the dynamics of market prices for Pinus wood is a prerequisite for strategic decisions concerning forest investment plans since, in terms of the market, the exogenous risk to a project depends on timber ...
Endogenous time-dependent rules and inflation inertia: preliminary version
(Escola de Pós-Graduação em Economia da FGV, 1999-06)
When policy rules are changed, the effect of nominal rigidities should be modelled through endogenous pricing rules. We endogenize Taylor (1979) type pricing rule to examine the output effects of monetary disinflations. ...
Essays on bivariate option pricing via copula and heteroscedasticity models: a classical and bayesian approach
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2019-02-15)
This dissertation is composed of two main and independents essays, but complementary. In the first one, we discuss the option price under a bayesian perspective. This essay aims to price and analyze the fair price behavior ...
Integer programming formulations for the time-dependent elementary shortest path problem with resource constraints
(Elsevier Science, 2018)
In this paper we study the Time-Dependent Elementary Shortest Path Problem with Resource Constraints (TDESPPRC). We consider two integer programming formulations which exploit the characteristics of the time-dependent ...
Mathematical model and solution approaches for integrated lot-sizing, scheduling and cutting stock problems
(Springer, 2020-09-04)
In this paper, we address a two-stage integrated lot-sizing, scheduling and cutting stock problem with sequence-dependent setup times and setup costs. In production stage one, a cutting machine is used to cut large objects ...
Effects on Electricity Markets of a Demand Response Model Based on Day Ahead Real Time Prices: Application to the Colombian Case
(IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC, 2018-05-01)
This paper presents an alternative methodology, based on a cost optimization model, for evaluating some effects of the implementation of an alternative Demand Response (RD) program based on Day Ahead Real-Time Pricing ...
Real options with priced regime-switching risk
(World Scientific, 2013-08)
We develop a model of regime-switching risk premia as well as regime-dependent factor risk premia to price real options. The model incorporates the observation that the underlying risky income streams of real options are ...
Time - and state-dependent pricing: a unified framework
(2011-05)
Apresentação do palestrante Marco Bonomo - Insper no contexto do evento "Advances in Macroeconomics". Mais informações em: http://eventosepge.fgv.br/pt/evento/105/epge-promove-encontro-internacional-para-debater-os-avanc ...
An n-factor gaussian model of oil futures prices
(JOHN WILEY & SONS INC, 2006)
This article studies the ability of an N-factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches ...