Dissertations / Theses on the topic 'Pricing methodology'

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
A dissertação apresenta três ensaios econômicos onde a abordagem de opções reais faz-se mister seja na definição de políticas regulatórias, estratégias de investimentos ou apreçamento de risco soberano. O primeiro ensaio, toma como premissa a nova regulação orientada a custos da interconexão de redes de telecomunicações e propõe ajustes no cálculo da remuneração de capital da telefonia fixa local. O modelo proposto estabelece o mark-up sobre o custo médio ponderado do capital (WACC) a ser aplicado nos novos contratos de concessão, levando-se em conta a opção de acesso disponibilizada pela operadora de STFC aos entrantes. O ensaio inova ao incorporar ao modelo de opções o impacto de mudanças de paradigmas tecnológicos que ocasionam saltos negativos na demanda da concessionária. Os resultados apontam para robustez do mark-up em relação a alterações nos parâmetros básicos do modelo (tráfego fixo- fixo, fixo-móvel e choques negativos de demanda), e apontam para um mark-up inferior a 1%. O segundo ensaio analisa estratégias de investimentos em incorporação imobiliária, setor que envolve baixa liquidez, lento payback, e apresenta diversas incertezas econômicas relacionadas à demanda de mercado, preço por metro quadrado e custo do terreno. O ensaio analisa estratégias de lançamentos simultâneos e seqüenciais de empreendimentos imobiliários; o primeiro envolvendo um menor custo de construção, associado, porém, a uma maior incerteza nos resultados. O lançamento seqüencial apresenta características semelhantes a opções reais por embutir uma série de oportunidades quanto à aquisição de informações, adiamento e abandono do projeto. Apresenta-se o estudo de caso de uma incorporação na cidade do Rio de Janeiro, identificando-se a estratégia ótima bem como o preço máximo a ser pago pelo terreno. O lançamento seqüencial agrega valor adicional de 10% ao projeto além de diminuir a exposição ao risco do incorporador em mais de metade se comparado à metodologia tradicional de fluxo de caixa descontado. Finalmente, o terceiro ensaio recai sobre risco soberano e propõe um modelo estrutural a partir da teoria de opções e ativos contingentes para analisar a estrutura a termo de quatro países emergentes (Brasil, México, Rússia e Turquia) que representaram, em média, 54 % do índice EMBIG do JPMorgan no período de 2000-2005. A taxa de câmbio real, modelada como um processo de difusão simples, é considerada como indicativa de default. O modelo calibrado indica que no período, o mercado sistematicamente sub-apreçou os títulos do Brasil em 100 pontos base na média, enquanto para México, Rússia e Turquia apreçou corretamente os spreads soberanos. O ensaio fornece ainda a probabilidade implícita de default do emissor, variável fundamental para o apreçamento dos derivativos de crédito, mercado que cresceu vertiginosamente após a crise da Ásia e Rússia, passando de US$ 180 bilhões de dólares em 1996 para um valor esperado de US$ 20 trilhões ao final de 2006. Este mercado é reconhecido como responsável por conter os efeitos contágios e manter a estabilidade no mercado financeiro em crises recentes como a da WorldCom, Parmalat, Enron entre outros.
The dissertation presents three economic essays examining situations where the real options approach can be useful in the definition of regulatory policies, investment strategies and pricing of sovereign risk. The first essay considers the new regulation oriented to interconnection costs of telecommunications networks and proposes adjustments in calculating the return on capital invested in local fixed telephone service. The proposed model establishes the mark- up on the weighted average cost of capital (WACC) to be applied to new concession contracts, taking into account the access option provided by the fixed operator to entrants. The essay innovates by incorporating to the options model the impact of changes in technological paradigms that cause the concessionaire´s demand to fall. The results indicate the robustness of the mark-up in relation to alterations in the model´s basic parameters (fixed-fixed and fixed-mobile traffic and negative demand shocks), and mark-up was estimated to be under 1%. The second essay analyzes investment strategies in real estate development, a sector that involves low liquidity, slow payback and various economic uncertainties related to market demand, price per square meter and land cost. The essay analyzes strategies for simultaneous and sequential launch of real estate projects. The first involves lower construction cost, but comes associated with more uncertain results. Sequential launch presents characteristics similar to real options because it has a series of built-in opportunities regarding the acquisition of information and delay or abandonment of the project. We present a case study of a development in the city of Rio de Janeiro, identifying the optimal strategy and the maximum land cost. Sequential launch aggregates 10% extra value to the undertaking, besides reducing the developer´s risk exposure by over half in comparison with the traditional discounted cash flow method. Finally, the third essay examines sovereign risk and proposes a model from the theory of options and contingent assets to analyze the term structure of four emerging countries (Brazil, Mexico, Russia and Turkey) that together represented on average 54% of JPMorgan´s EMBIG index in the 2000-2005 period. The real exchange rate, modeled as a simple diffusion process, is considered as indicative of default. The calibrated model indicates that in the period studied, the market systematically underpriced Brazilian bonds by an average of 100 basis points, while for Mexico, Russia and Turkey it fairly priced the sovereign debt. The essay also provides the implicit probability of the issuer´s default, a fundamental variable for pricing credit derivatives, a market that has grown at a dizzying pace since the Asian and Russian crises, rising from US$ 180 billion in 1996 to an expected value of US$ 20 trillion at the end of 2006. This market is recognized as being responsible for containing the contagious effects and maintaining the stability of the financial market in recent crises, such as the corporate meltdowns of WorldCom, Parmalat and Enron, among others.

Resources are limited in capacity. In the meanwhile, over-provisioning of resources resulted in server low utilization could be costly to cloud providers. The underlying reasons of the low utilization are multiple-folds, such as uneven application fit where the application cannot fully utilize the resources allocated or the uncertainty in demand forecasts that is introduced by the dramatically varied demand of the cloud resource between peak and non-peak periods. While many research works are devoted to optimize the resource allocation techniques in the effort of achieving higher server utilization, how to control resource demand so the correct level of resource provisioning can be determined has become the next research question. In this thesis, we introduce a pricing methodology with dynamic pricing that intended to induce desired demand pattern and enhances the revenue of a cloud provider. The proposed pricing methodology encourages cloud tenants, whose requested Virtual Machines (VMs) can be allocated easily, to use more cloud service by offering them lower prices and discouraging cloud tenants, whose requested VMs are difficult to allocate, from using cloud service by charging them higher prices. We study our pricing methodology with a combinatorial optimization algorithm, the Knapsack Algorithm and show that the overall revenue is enhanced through evaluations. Then, to achieve fairness among users, we further perform a case study of our pricing methodology with a multi-resource allocation fairness algorithm, the Heterogeneous Dominant Resource Fairness (DRFH) algorithm. Trace-driven simulation results show that the proposed pricing methodology with DRFH can increase the overall revenue by up to 11.60%. Furthermore, we propose a novel cloud federation system that is cognitive to the dynamic prices as a decision making assistant tool for our pricing methodology. The cloud federation system automatically selects and migrates user tasks to a cloud system that is charging at a more affordable rate. We discuss the architectural framework and platform design, provide a mathematical formulation and investigate a total service cost minimization approach with privacy constraints. Simulation results demonstrate the proposed system can lower the cost of cloud services by exploiting the advantages of dynamic prices of multiple clouds.
Applied Science, Faculty of
Electrical and Computer Engineering, Department of
Graduate

The existing literature proposes a broad spectrum of methodologies to measure firm's superior operating capabilities, referring to them under different names such as 'knowledge assets', 'intellectual capital', 'organisation capital', etc. Through the work reported in this thesis, I intend to contribute to the research field by exploring one specific measure of a firm's operating capabilities proposed by Lev, Radhakrishnan and Zhang (Abacus, 2009). These researchers empirically construct an organisation capital measure and argue it has predictive ability for future performance and is able to explain future abnormal stock returns in the USA. I extend their research to the UK. In doing so, I also critically discuss the organisation capital estimation process and propose potential improvements to the technique. I find evidence of its construct validity in the UK. I examine the organisation capital measure's predictive ability for future performance. The results suggest that this measure is positively associated with future sales growth in the UK. Additionally, the organisation capital measure seems to explain persistence of the operating income and sales of firms in the UK. Via value relevance tests, I obtain empirical evidence that the organisation capital measure is positively associated with equity market value in the UK. Moreover, it is positively associated with the earnings multiplier in value relevance tests. This finding is consistent with empirical evidence that the organisation capital measure is positively associated with one-year ahead earnings and positively affects earnings persistence in such an association in the UK. Finally, I fail to find evidence of the organisation capital measure's ability to explain future excess stock returns in the UK. This suggests that information on firm-specific operating capabilities captured by the organisation capital measure is recognised by the capital market participants and contemporaneously incorporated into stock prices. This result, however, contrasts with the Lev et al. (2009) findings in the USA that organisation capital is mispriced.

Road pricing has emerged as an effective means of managing road traffic demand while simultaneously raising additional revenues to transportation agencies. Research on the factors that govern travel decisions has shown that user preferences may be a function of the demographic characteristics of the individuals and the perceived trip attributes. However, it is not clear what are the actual trip attributes considered in the travel decision- making process, how these attributes are perceived by travelers, and how the set of trip attributes change as a function of the time of the day or from day to day. In this study, operational Intelligent Transportation Systems (ITS) archives are mined and the aggregated preferences for a priced system are extracted at a fine time aggregation level for an extended number of days. The resulting information is related to corresponding time-varying trip attributes such as travel time, travel time reliability, charged toll, and other parameters. The time-varying user preferences and trip attributes are linked together by means of a binary choice model (Logit) with a linear utility function on trip attributes. The trip attributes weights in the utility function are then dynamically estimated for each time of day by means of an adaptive, limited-memory discrete Kalman filter (ALMF). The relationship between traveler choices and travel time is assessed using different rules to capture the logic that best represents the traveler perception and the effect of the real-time information on the observed preferences. The impact of travel time reliability on traveler choices is investigated considering its multiple definitions. It can be concluded based on the results that using the ALMF algorithm allows a robust estimation of time-varying weights in the utility function at fine time aggregation levels. The high correlations among the trip attributes severely constrain the simultaneous estimation of their weights in the utility function. Despite the data limitations, it is found that, the ALMF algorithm can provide stable estimates of the choice parameters for some periods of the day. Finally, it is found that the daily variation of the user sensitivities for different periods of the day resembles a well-defined normal distribution.

Many accountants seem to have accepted the existence of a 'reality gap' between management accounting's conventional wisdom, based on the neoclassical economic theory of the firm and actual business practice. This conventional wisdom advocates a decision relevant approach to cost analysis for pricing and product mix decisions, whereas actual business practice is believed to be dominated by (full) cost plus pricing. In accepting the existence of a reality gap, however, accountants do not seem to have addressed the arguments of economists. These seriously undermine the research findings that have given rise to the belief by accountants in such a gap. On the other hand, the empirical evidence supporting neoclassical price theory is not robust and much of the research that generated it is methodologically flawed, with results in conflict. Previous research, therefore, has failed to establish whether a 'reality gap' exists between neoclassical price theory and actual business practice. However, while a reality gap is recognised and the neoclassical view regarded as flawed, accounting researchers have nevertheless failed to make significant impact with the arguments supporting their standpoint. It is argued here that this challenge has not been robustly prosecuted because of a lack of confidence in the research frameworks utilised to explore the so - called 'reality gap'. This thesis contributes a new research framework for identifying the existence and extent of any potential reality gap between the assumptions of neoclassical theory and management accounting practice. The framework constructed identifies all the significant issues that need to be resolved, to address the shortcomings of previous research, in order to make a meaningful evaluation of whether actual behaviour is in accordance with neoclassical assumptions, or is better explained by the institutional economics paradigm, as has been suggested by a number of recent contributions to the Management Accounting literature. Previous research has failed to do this. This new research framework employs a case study approach based on a realist methodology. This thesis also reports on the empirical findings from six case studies of commercial organisations, undertaken in order to demonstrate the practical applicability of the new framework in producing meaningful results concerning the existence of a reality gap between theory and practice. The insights obtained from the case studies are tentatively suggested as themes which future researchers may replicate or extend, in order to enhance knowledge and understanding of pricing and product mix decisions.

As urban population across the globe increases, the demand for adequate transportation grows. Several strategies have been suggested as a solution to the congestion which results from this high demand outpacing the existing supply of transportation facilities. High –Occupancy Toll (HOT) lanes have become increasingly more popular as a feature on today's highway system. The I-95 Express HOT lane in Miami Florida, which is currently being expanded from a single Phase (Phase I) into two Phases, is one such HOT facility. With the growing abundance of such facilities comes the need for in- depth study of demand patterns and development of an appropriate pricing scheme which reduces congestion.This research develops a method for dynamic pricing on the I-95 HOT facility such as to minimize total travel time and reduce congestion. We apply non-linear programming (NLP) techniques and the finite difference stochastic approximation (FDSA), genetic algorithm (GA) and simulated annealing (SA) stochastic algorithms to formulate and solve the problem within a cell transmission framework. The solution produced is the optimal flow and optimal toll required to minimize total travel time and thus is the system-optimal solution. We perform a comparative evaluation of FDSA, GA and SA non-linear programming algorithms used to solve the NLP and the ANOVA results show that there are differences in the performance of the NLP algorithms in solving this problem and reducing travel time. We then conclude by demonstrating that econometric forecasting methods utilizing vector autoregressive (VAR) techniques can be applied to successfully forecast demand for Phase 2 of the 95 Express which is planned for 2014.
Ph.D.
Doctorate
Civil, Environmental, and Construction Engineering
Engineering and Computer Science
Civil Engineering

Most farmers in South Africa use standard insurance to protect their crops against natural disasters such as hail or strong winds. However, no South African insurance contracts exist to compensate for too much or too little rain (although floods are covered), or which will pay out if temperatures were too high or too low for a certain period of time for the relevant crop. Weather derivatives - which farmers may employ to ensure crops against adverse temperatures - do exist, but these are mostly available in foreign markets in the form of Heating Degree Days contracts and Cooling Degree Day contracts and are used chiefly by energy companies. Some South African over-the-counter weather derivatives are available, but trading in these is rare and seldom used. The goal of this dissertation is to establish a pricing equation for weather derivatives specifically for use in the South African market. This equation will be derived using a similar methodology to that employed for credit default swaps. The premium derived will be designed to compensate grape farmers from losses arising from two different climatic outcomes - in this case temperature and precipitation. These derivatives will be region and crop specific and the formulation will be sufficiently flexible as to allow for further climatic possibilities (which may be added at a later stage). These weather derivative premiums will then be compared to standard crop insurance to establish economic viability of the products and recommendations will be made regarding their usage. The possibility of the simultaneous use of these derivatives and standard crop insurance for optimal crop coverage will also be explored and discussed.
Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2011.

碩士
臺灣大學
國際企業學研究所
95
The basic concept of credit derivatives is a contract which allow participants transfer their credit risks. One party agrees to pay credit premium which transfers the credit risk of underlying assets to counterparty. In the thesis, we make complete definition of credit risk and introduce credit derivatives. The fundamental credit derivatives in the market are: Total Return Swaps、Credit Default Swap、Credit spread option、Credit-Linked Notes and Collateralized debt obligation.We will completely clarify all these derivatives that are mentioned above. There are some methods pricing credit default swap such as Hull & White model、Copula method and Binomial Expansion Technique method. We divide two industries, industrial sector and bank sector respectively, and use BET method presented by Garcia(2003) to evaluate credit rating and premium of Basket CDS. After evaluation, the ratings are A and BBB for industry and bank respectively. The spreads are 74.2bps and 70.6bps for industry and bank respectively

碩士
淡江大學
資訊管理學系碩士在職專班
102
The pricing mechanism (bid amount) before bidding is a key factor to accept the bid in information project. This research investigates a multinational information integration company(X Company), whose pricing process before bidding. That is a methodology of how to let each business-related activities, software service, hardware service and risk convert to cost. This research method is using case study, including four cases in two banks. Applying X Company systematic pricing mechanism, consider each assessment, examination and approving process before selling deeply, in order to manage bidding risk and cost effectively. This research optimizes opportunity management before bidding and suitable to Taiwan. It can be a reference material for information integration’s project pricing in Taiwan.

碩士
國立交通大學
資訊管理研究所
85
In the open financial market﹐options are ideal tools to manage risks. The exotic option is the second generation of options. Compared to options﹐their major feature is that they can be designed by individual investor''s risk demand. So they can efficientlyextend the range of risk management of options. Because exotic options are various in the contracts, their pricing model is very complicated even no closed form mathematical solution. Therefore﹐when no closed form solution can be derived from mathematics , one solution of the pricing model is the simulation method.So this study will emphasize on how the simulation method uses in the research of the exotic option pricing model. The expectation of this study is to construct a simulation analytic procedure of the exotic option pricing. This study takes the arithmetic average option for example which has no closed form solution in pricing and applies the same method to simulate and analyze its characteristics of sensibility parameters. At last, this study will discuss the problems which was brought from the exotic option pricing procedure when applying the simulation method.

This thesis presents a multi-stage linear stochastic mixed integer programming (SMIP) model for planning power generation in a pool-type day-ahead electricity market. The model integrates a reserve demand curve and shares most of the features of a stochastic unit commitment (UC) problem, which is known to be NP-hard. We capture the stochastic nature of the problem through scenarios, resulting in a large-scale mixed integer programming (MIP) problem that is computationally challenging to solve. Given that an independent system operator (ISO) has to solve such a problem within a time requirement of an hour or so, in order to release operating schedules for the next day real-time market, the problem has to be solved efficiently. For that purpose, we use some approximations to maintain the linearity of the model, parsimoniously select a subset of scenarios, and invoke realistic assumptions to keep the size of the problem reasonable. Even with these measures, realistic-size SMIP models with binary variables in each stage are still hard to solve with exact methods. We, therefore, propose a scenario-rolling heuristic to solve the SMIP problem. In each iteration, the heuristic solves a subset of the scenarios, and uses part of the obtained solution to solve another group in the subsequent iterations until all scenarios are solved. Two numerical examples are provided to test the performance of the scenario-rolling heuristic, and to highlight the difference between the operative schedules of a deterministic model and the SMIP model. Motivated by previous studies on pricing MIP problems and their applications to pricing electric power, we investigate pricing issues and compensation schemes using MIP formulations in the second part of the thesis. We show that some ideas from the literature can be applied to pricing energy/reserves for a relatively realistic model with binary variables, but some are found to be impractical in the real world. We propose two compensation schemes based on the SMIP that can be easily implemented in practice. We show that the compensation schemes with make-whole payments ensure that generators can have non-negative profits. We also prove that under some assumptions, one of the compensation schemes has the interesting theoretical property of minimizing the variance of the profit of generators to zero. Theoretical and numerical results of these compensation schemes are presented and discussed.

博士
國立交通大學
資訊管理研究所
95
A proper e-learning environment is one of the most important knowledge management tools in today’s organizations. However, many of them lack a universal evaluation process to verify their e-learning project’s performance. In an attempt to solve this problem, this study combines the balanced scorecard and the option pricing model to provide an easy to use, easy to understand, easy to analysis framework to evaluate the e-learning environment performance. It proposes an e-learning performance evaluation framework which makes three important contributions: First, it proposes a satisfactory-oriented option analysis methodology that can be applied to evaluate both quantitative and qualitative measurements in the same scale; Second, it constructs a measurement framework to integrate Kirkpatrick’s model, balanced scorecard and Black-Scholes model which may be a good test-bed for e-learning project’s performance evaluation; Finally, it provides an empirical study that demonstrates the analytical procedures to integrate the balanced scorecard and the Black - Scholes model for satisfactory-oriented e-learning performance evaluation.

The aim of this work is to study the dynamic relationship between prices of wholesale electricity market in Spain and prices of the main fuel references to generate electricity (coal, crude oil, gasoil and natural gas). The dynamic relationship between the various interconnected electrical systems (Spain and Portugal, Spain and France), using as reference prices for wholesale electricity markets formed in each electrical system, is also relevant for analysis purposes due to impacts on prices of wholesale electricity market in Spain. The results suggest: cointegration between prices of wholesale electricity market in Spain and the variables under analysis (fuel and wholesale electricity market prices); a long-term relationship between prices of wholesale electricity market in Spain, coal prices, crude oil prices, gasoil prices, natural gas prices of the Dutch TTF market and the prices of wholesale electricity market in Portugal; a short-run relationship between prices of wholesale electricity market in Spain and natural gas prices of the English NBP market and Belgian Zeebrugge market; the presence of strong exogeneity in the relationship between prices of wholesale electricity market in Spain and prices of wholesale electricity market in France; proportionality between crude oil prices, natural gas prices of the Dutch TTF market and prices of wholesale electricity market in Spain; and the evidence of asymmetry in the electricity prices from the wholesale market in Portugal with “steep” movements in relation to prices of wholesale electricity market in Spain. A number of implications will be addressed.
Pretende-se com este trabalho estudar a relação dinâmica entre os preços de electricidade do mercado grossista em Espanha e os preços das principais referências de combustível para a geração de electricidade (carvão, petróleo, gasóleo e o gás natural). A relação dinâmica entre os diferentes sistemas eléctricos interligados (Espanha e Portugal, Espanha e França), utilizando como referência os preços de electricidade dos mercados grossistas formados em cada sistema eléctrico, também é relevante para efeitos de análise, pois impacta na evolução dos preços de electricidade do mercado grossista em Espanha. Os resultados sugerem: cointegração entre os preços de electricidade do mercado grossista em Espanha e das variáveis em análise (combustíveis e preços de electricidade grossistas); relação de longo prazo entre os preços de electricidade do mercado grossista em Espanha, os preços do carvão, os preços do petróleo, os preços do gasóleo, os preços do gás natural do mercado holandês TTF e os preços de electricidade do mercado grossista em Portugal; relação de curto prazo entre os preços de electricidade do mercado grossista em Espanha e os preços do gás natural do mercado inglês NBP e do mercado belga Zeebrugge; foi encontrada exogeneidade forte na relação entre os preços de electricidade do mercado grossista em Espanha e os preços de electricidade do mercado grossista em França; proporcionalidade entre os preços do petróleo, os preços do gás natural do mercado holandês TTF e os preços de electricidade do mercado grossista em Espanha; e a evidência de assimetria dos preços de electricidade do mercado grossista em Portugal com movimentos “abruptos” na sua relação com os preços de electricidade do mercado grossista em Espanha. Uma série de implicações serão abordadas.