Revenue management under general discrete choice model of consumer behavior

Customer choice behavior, such as 'buy-up' and 'buy-down', is an importantphe-nomenon in a wide range of industries. Yet there are few models ormethodologies available to exploit this phenomenon within yield managementsystems. We make some progress on filling this void. Specifically, wedevelop a model of yield management in which the buyers' behavior ismodeled explicitly using a multi-nomial logit model of demand. Thecontrol problem is to decide which subset of fare classes to offer ateach point in time. The set of open fare classes then affects the purchaseprobabilities for each class. We formulate a dynamic program todetermine the optimal control policy and show that it reduces to a dynamicnested allocation policy. Thus, the optimal choice-based policy caneasily be implemented in reservation systems that use nested allocationcontrols. We also develop an estimation procedure for our model based onthe expectation-maximization (EM) method that jointly estimates arrivalrates and choice model parameters when no-purchase outcomes areunobservable. Numerical results show that this combined optimization-estimation approach may significantly improve revenue performancerelative to traditional leg-based models that do not account for choicebehavior.

A structural model of Australia as a small open economy

This paper sets up and estimates a structuralmodel of Australia as a small open economyusing Bayesian techniques. Unlike other recentstudies, the paper shows that a small microfoundedmodel can capture the open economydimensions quite well. Specifically, the modelattributes a substantial fraction of the volatilityof domestic output and inflation to foreigndisturbances, close to what is suggested by unrestrictedVAR studies. The paper also investigatesthe effects of various exogenous shockson the Australian economy.

The so-called 'external partners' in the groups of corporations: A model of presentation in the consolidated statements

This paper studies, on the one hand, theories set out around theconsideration of the external partners in the consolidated informationand on the other hand, financial models that discuss the convenience ofthe separation or not of the different elements that form part of theliabilities of the balance sheet of the companies. A Model is proposed,the External Partners Model, which financially argues a certain presentationand processing of such and that, in our opinion, facilitates the analysisof the consolidated financial statements. This model is based on twohypotheses: (1) the economic and financial variables are not independentand (2) the value of the company depends, among other factors, of thetype of sources that constitute their capital. These two hypotheses willimply that a separation should be included in the consolidated balance sheet between equity and liabilities as they are different sources ofcapital and then its separation will give relevant information to itsusers.

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

A medium-scale open economy model of Australia

We estimate an open economy dynamic stochastic general equilibrium (DSGE)model of Australia with a number of shocks, frictions and rigidities, matching alarge number of observable time series. We find that both foreign and domesticshocks are important drivers of the Australian business cycle.We also find that theinitial impact on inflation of an increase in demand for Australian commoditiesis negative, due to an improvement in the real exchange rate, though there is apersistent positive effect on inflation that dominates at longer horizons.

A simple model of multiple equilibria based on risk

This paper shows how risk may aggravate fluctuations in economies with imperfect insurance and multiple assets. A two period job matching model is studied, in which risk averse agents act both as workers and as entrepreneurs. They choose between two types of investment: one type is riskless, while the other is a risky activity that creates jobs.Equilibrium is unique under full insurance. If investment is fully insured but unemployment risk is uninsured, then precautionary saving behavior dampens output fluctuations. However, if both investment and employment are uninsured, then an increase in unemployment gives agents an incentive to shift investment away from the risky asset, further increasing unemployment. This positive feedback may lead to multiple Pareto ranked equilibria. An overlapping generations version of the model may exhibit poverty traps or persistent multiplicity. Greater insurance is doubly beneficial in this context since it can both prevent multiplicity and promote risky investment.

A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

A model of market-making

The two essential features of a decentralized economy taken intoaccount are, first, that individual agents need some informationabout other agents in order to meet potential trading partners,which requires some communication or interaction between theseagents, and second, that in general agents will face tradinguncertainty. We consider trade in a homogeneous commodity. Firmsdecide upon their effective supplies, and may create their ownmarkets by sending information signals communicating theirwillingness to sell. Meeting of potential trading partners isarranged in the form of shopping by consumers. The questions to beconsidered are: How do firms compete in such markets? And what arethe properties of an equilibrium? We establish existenceconditions for a symmetric Nash equilibrium in the firms'strategies, and analyze its characteristics. The developedframework appears to lend itself well to study many typicalphenomena of decentralized economies, such as the emergence ofcentral markets, the role of middlemen, and price-making.

A model of collateral, investment and adverse selection

This paper characterizes the relationship between entrepreneurial wealth and aggregate investmentunder adverse selection. Its main finding is that such a relationship need not bemonotonic. In particular, three results emerge from the analysis: (i) pooling equilibria, in whichinvestment is independent of entrepreneurial wealth, are more likely to arise when entrepreneurialwealth is relatively low; (ii) separating equilibria, in which investment is increasing inentrepreneurial wealth, are most likely to arise when entrepreneurial wealth is relatively highand; (iii) for a given interest rate, an increase in entrepreneurial wealth may generate a discontinuousfall in investment.

A model of conglomeration and synergy traps

We present a model of conglomeration motivated by technology synergies and strategic reductions in variable costs in the face of competitive pressures. The resulting firm integration is neither horizontal nor vertical but rather congeneric integration of firms in related industries. We endogenize the industrial conglomeration structure and examine the effects of competition between conglomerates, and between a conglomerate and independent firms. We show that there is an equilibrium synergy trap in which conglomerates are formed to exploit economies of scope, but resulting profits are lower than under the status quo. We also show that strategic firm integration can occur even in the presence of diseconomies of scope. The model helps to explain features of recent mergers and acquisitions experience.

Atrial septal pacing for the termination of atrial fibrillation: study in a biophysical model of human atria.

AIMS: While successful termination by pacing of organized atrial tachycardias has been observed in patients, single site rapid pacing has not yet led to conclusive results for the termination of atrial fibrillation (AF). The purpose of this study was to evaluate a novel atrial septal pacing algorithm for the termination of AF in a biophysical model of the human atria. METHODS AND RESULTS: Sustained AF was generated in a model based on human magnetic resonance images and membrane kinetics. Rapid pacing was applied from the septal area following a dual-stage scheme: (i) rapid pacing for 10-30 s at pacing intervals 62-70% of AF cycle length (AFCL), (ii) slow pacing for 1.5 s at 180% AFCL, initiated by a single stimulus at 130% AFCL. Atrial fibrillation termination success rates were computed. A mean success rate for AF termination of 10.2% was obtained for rapid septal pacing only. The addition of the slow pacing phase increased this rate to 20.2%. At an optimal pacing cycle length (64% AFCL) up to 29% of AF termination was observed. CONCLUSION: The proposed septal pacing algorithm could suppress AF reentries in a more robust way than classical single site rapid pacing. Experimental studies are now needed to determine whether similar termination mechanisms and rates can be observed in animals or humans, and in which types of AF this pacing strategy might be most effective.

Medical appropriateness of hospital utilization: an overview of the Swiss experience.

We present here the principal results of four concurrent hospital utilization reviews conducted in Switzerland in 1990 and 1991, based on an adapted Appropriateness Evaluation Protocol. The studies were performed on all the hospital days from a sample of patients admitted over a 6 month period. The level of inappropriate use ranged between 8 and 15% in terms of days and was consistently higher in medicine than in surgery. In comparison with other published studies, the low proportion of observed inappropriate days is probably due, at least partly, to differences in study design.

Differential vulnerability of neurochemically identified subpopulations of retinal neurons in a monkey model of glaucoma.

The vulnerability of subpopulations of retinal neurons delineated by their content of cytoskeletal or calcium-binding proteins was evaluated in the retinas of cynomolgus monkeys in which glaucoma was produced with an argon laser. We quantitatively compared the number of neurons containing either neurofilament (NF) protein, parvalbumin, calbindin or calretinin immunoreactivity in central and peripheral portions of the nasal and temporal quadrants of the retina from glaucomatous and fellow non-glaucomatous eyes. There was no significant difference between the proportion of amacrine, horizontal and bipolar cells labeled with antibodies to the calcium-binding proteins comparing the two eyes. NF triplet immunoreactivity was present in a subpopulation of retinal ganglion cells, many of which, but not all, likely correspond to large ganglion cells that subserve the magnocellular visual pathway. Loss of NF protein-containing retinal ganglion cells was widespread throughout the central (59-77% loss) and peripheral (96-97%) nasal and temporal quadrants and was associated with the loss of NF-immunoreactive optic nerve fibers in the glaucomatous eyes. Comparison of counts of NF-immunoreactive neurons with total cell loss evaluated by Nissl staining indicated that NF protein-immunoreactive cells represent a large proportion of the cells that degenerate in the glaucomatous eyes, particularly in the peripheral regions of the retina. Such data may be useful in determining the cellular basis for sensitivity to this pathologic process and may also be helpful in the design of diagnostic tests that may be sensitive to the loss of the subset of NF-immunoreactive ganglion cells.

Analyses of six homologous proteins of Protochlamydia amoebophila UWE25 encoded by large GC-rich genes (lgr): a model of evolution and concatenation of leucine-rich repeats.

BACKGROUND: Along the chromosome of the obligate intracellular bacteria Protochlamydia amoebophila UWE25, we recently described a genomic island Pam100G. It contains a tra unit likely involved in conjugative DNA transfer and lgrE, a 5.6-kb gene similar to five others of P. amoebophila: lgrA to lgrD, lgrF. We describe here the structure, regulation and evolution of these proteins termed LGRs since encoded by "Large G+C-Rich" genes. RESULTS: No homologs to the whole protein sequence of LGRs were found in other organisms. Phylogenetic analyses suggest that serial duplications producing the six LGRs occurred relatively recently and nucleotide usage analyses show that lgrB, lgrE and lgrF were relocated on the chromosome. The C-terminal part of LGRs is homologous to Leucine-Rich Repeats domains (LRRs). Defined by a cumulative alignment score, the 5 to 18 concatenated octacosapeptidic (28-meric) LRRs of LGRs present all a predicted alpha-helix conformation. Their closest homologs are the 28-residue RI-like LRRs of mammalian NODs and the 24-meres of some Ralstonia and Legionella proteins. Interestingly, lgrE, which is present on Pam100G like the tra operon, exhibits Pfam domains related to DNA metabolism. CONCLUSION: Comparison of the LRRs, enable us to propose a parsimonious evolutionary scenario of these domains driven by adjacent concatenations of LRRs. Our model established on bacterial LRRs can be challenged in eucaryotic proteins carrying less conserved LRRs, such as NOD proteins and Toll-like receptors.