Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Fact Sheet: Floods and Flash Floods, 2011

Mitigation pays. It includes any activities that prevent an emergency, reduce the chance of an emergency happening, or lessen the damaging effects of unavoidable emergencies. Investing in mitigation steps now such as constructing barriers such as levees and purchasing flood insurance will help reduce the amount of structural damage to your home and financial loss from building and crop damage should a flood or flash flood occur.

Clear Zone – A Synthesis of Practice and an Evaluation of the Benefi ts of Meeting the 10-ft Clear Zone Goal on Urban Streets, November 2008

In urban communities, there are often limited amounts of right-of-way available for establishing a large setback distance from the curb for fixed objects. Urban communities must constantly weigh the cost of purchasing additional right-of-way for clear zones against the risk of fixed object crashes. From 2004 to 2006, this type of crash on curbed roads represented 15% of all fatal crashes and 3% of all crashes in the state of Iowa. Many states have kept the current minimum AASHTO recommendations as their minimum clear zone standards; however, other states have decided that these recommendations are insufficient and have increased the required minimum clear zone distance to better suit the judgment of local designers. This report presents research on the effects of the clear zone on urban curbed streets. The research was conducted in two phases. The first phase involved a synthesis of practice that included a literature review and a survey of practices in jurisdictions that have developmental and historical patterns similar to those of Iowa. The second phase involved investigating the benefits of a 10 ft clear zone, which included examining urban corridors in Iowa that meet or do not meet the 10 ft clear zone goal. The results of this study indicate that a consistent fixed object offset results in a reduction in the number of fixed object crashes, a 5 ft clear zone is most effective when the goal is to minimize the number of fixed object c ashes, and a 3 ft clear zone is most effective when the goal is to minimize the cost of fixed object crashes.

Prediction markets supporting technology assessment

In this thesis, we study the use of prediction markets for technology assessment. We particularly focus on their ability to assess complex issues, the design constraints required for such applications and their efficacy compared to traditional techniques. To achieve this, we followed a design science research paradigm, iteratively developing, instantiating, evaluating and refining the design of our artifacts. This allowed us to make multiple contributions, both practical and theoretical. We first showed that prediction markets are adequate for properly assessing complex issues. We also developed a typology of design factors and design propositions for using these markets in a technology assessment context. Then, we showed that they are able to solve some issues related to the R&D portfolio management process and we proposed a roadmap for their implementation. Finally, by comparing the instantiation and the results of a multi-criteria decision method and a prediction market, we showed that the latter are more efficient, while offering similar results. We also proposed a framework for comparing forecasting methods, to identify the constraints based on contingency factors. In conclusion, our research opens a new field of application of prediction markets and should help hasten their adoption by enterprises. Résumé français: Dans cette thèse, nous étudions l'utilisation de marchés de prédictions pour l'évaluation de nouvelles technologies. Nous nous intéressons plus particulièrement aux capacités des marchés de prédictions à évaluer des problématiques complexes, aux contraintes de conception pour une telle utilisation et à leur efficacité par rapport à des techniques traditionnelles. Pour ce faire, nous avons suivi une approche Design Science, développant itérativement plusieurs prototypes, les instanciant, puis les évaluant avant d'en raffiner la conception. Ceci nous a permis de faire de multiples contributions tant pratiques que théoriques. Nous avons tout d'abord montré que les marchés de prédictions étaient adaptés pour correctement apprécier des problématiques complexes. Nous avons également développé une typologie de facteurs de conception ainsi que des propositions de conception pour l'utilisation de ces marchés dans des contextes d'évaluation technologique. Ensuite, nous avons montré que ces marchés pouvaient résoudre une partie des problèmes liés à la gestion des portes-feuille de projets de recherche et développement et proposons une feuille de route pour leur mise en oeuvre. Finalement, en comparant la mise en oeuvre et les résultats d'une méthode de décision multi-critère et d'un marché de prédiction, nous avons montré que ces derniers étaient plus efficaces, tout en offrant des résultats semblables. Nous proposons également un cadre de comparaison des méthodes d'évaluation technologiques, permettant de cerner au mieux les besoins en fonction de facteurs de contingence. En conclusion, notre recherche ouvre un nouveau champ d'application des marchés de prédiction et devrait permettre d'accélérer leur adoption par les entreprises.

Health and (Other) Asset Holdings

Despite clear evidence of correlations between financial and medical statuses and decisions, most models treat financial and health-related choices separately. This article bridges this gap by proposing a tractable dynamic framework for the joint determination of optimal consumption, portfolio holdings, health investment, and health insurance. We solve for the optimal rules in closed form and capitalize on this tractability to gain a better understanding of the conditions under which separation between financial and health-related decisions is sensible, and of the pathways through which wealth and health determine allocations, welfare and other variables of interest such as expected longevity or the value of health. Furthermore we show that the model is consistent with the observed patterns of individual allocations and provide realistic estimates of the parameters that confirm the relevance of all the main characteristics of the model.

Equipment and Vehicle Purchase Report for Fiscal Year 2011, January 13,2 012

Attached is the Equipment and Vehicle Purchase Report for Fiscal Year 2011 as required by Iowa Code section 307.47. The report is sorted by accounting object codes. The object codes help sort the equipment into general categories.

Iowa Department of Transportation Office of Contracts Letting Summary July 1, 2010 through June 30, 2011

Twelve regularly scheduled lettings and three emergency/special lettings were held by the Iowa Department of Transportation for construction and maintenance work during the period covered by this report. At these lettings, projects totally $741,289,234 were approved.

Midwest Transportation Consortium Annual Report, 2004-2005

The Midwest Transportation Consortium (MTC) recently completed its sixth year of operation. The MTC has become an established portion of the research and educational programs at ISU and its partner universities. The MTC continues to emphasize its primary focus of developing human capital. For example, this semester, Fall, 2005, ISU has graduate scholars in its educational program. However, we also recognize that the federal grant is an opportunity to build programs at our respective universities that continue after the U.S. DOT UTCP may end. An example of building a long lasting program is the University of Missouri – St. Louis’ (UMSL) and its development of a transportation Ph.D. program in their business college. Admittedly, this program could have been started regardless, but Dr. Ray Mundy, Director of UMSL’s Transportation Scholars Program, believes that the MTC support of the transportation educational program at UMSL was the essential component in establishing a Ph.D. program. At ISU, the MTC has been instrumental in establishing two research and outreach programs, and both have themes that are related to the MTC’s theme of “Transportation System Management and Operation.” The Center for Weather Impacts on Mobility and Safety (C-WIMS) was recently established, and the Center for Road Infrastructure Management and Operations (RIMO) is in the process of being established. The MTC has a critical role in establishing each of these two programs. As part of the on-going MTC program, we have established an effective network that promotes the education of future transportation professionals and the development of new knowledge on how to manage transportation infrastructure and services in a more sustainable manner. The MTC has a track record of developing outstanding students; these students are now becoming leaders in the private sector, government, and academia. The MTC has also supported the development of an extensive research portfolio related to sustainable transportation asset management. More research projects are in the pipeline. Finally, the MTC has dedicated itself to the dissemination of asset management research results through an ongoing technology transfer program. This document provides a progress for the latest fiscal year of operation of the MTC, which ran from October 2004 through September 2005.

Midwest Transportation Consortium Annual Report, 2005-2006

The Midwest Transportation Consortium (MTC) recently completed its sixth year of operation. The MTC has become an established portion of the research and educational programs at ISU and its partner universities. The MTC continues to emphasize its primary focus of developing human capital. For example, this semester, Fall, 2005, ISU has graduate scholars in its educational program. However, we also recognize that the federal grant is an opportunity to build programs at our respective universities that continue after the U.S. DOT UTCP may end. An example of building a long lasting program is the University of Missouri – St. Louis’ (UMSL) and its development of a transportation Ph.D. program in their business college. Admittedly, this program could have been started regardless, but Dr. Ray Mundy, Director of UMSL’s Transportation Scholars Program, believes that the MTC support of the transportation educational program at UMSL was the essential component in establishing a Ph.D. program. At ISU, the MTC has been instrumental in establishing two research and outreach programs, and both have themes that are related to the MTC’s theme of “Transportation System Management and Operation.” The Center for Weather Impacts on Mobility and Safety (C-WIMS) was recently established, and the Center for Road Infrastructure Management and Operations (RIMO) is in the process of being established. The MTC has a critical role in establishing each of these two programs. As part of the on-going MTC program, we have established an effective network that promotes the education of future transportation professionals and the development of new knowledge on how to manage transportation infrastructure and services in a more sustainable manner. The MTC has a track record of developing outstanding students; these students are now becoming leaders in the private sector, government, and academia. The MTC has also supported the development of an extensive research portfolio related to sustainable transportation asset management. More research projects are in the pipeline. Finally, the MTC has dedicated itself to the dissemination of asset management research results through an ongoing technology transfer program. This document provides a progress for the latest fiscal year of operation of the MTC, which ran from October 2004 through September 2005.

Midwest Transportation Consortium Annual Report, 2006-2007

The Midwest Transportation Consortium (MTC) recently completed its sixth year of operation. The MTC has become an established portion of the research and educational programs at ISU and its partner universities. The MTC continues to emphasize its primary focus of developing human capital. For example, this semester, Fall, 2005, ISU has graduate scholars in its educational program. However, we also recognize that the federal grant is an opportunity to build programs at our respective universities that continue after the U.S. DOT UTCP may end. An example of building a long lasting program is the University of Missouri – St. Louis’ (UMSL) and its development of a transportation Ph.D. program in their business college. Admittedly, this program could have been started regardless, but Dr. Ray Mundy, Director of UMSL’s Transportation Scholars Program, believes that the MTC support of the transportation educational program at UMSL was the essential component in establishing a Ph.D. program. At ISU, the MTC has been instrumental in establishing two research and outreach programs, and both have themes that are related to the MTC’s theme of “Transportation System Management and Operation.” The Center for Weather Impacts on Mobility and Safety (C-WIMS) was recently established, and the Center for Road Infrastructure Management and Operations (RIMO) is in the process of being established. The MTC has a critical role in establishing each of these two programs. As part of the on-going MTC program, we have established an effective network that promotes the education of future transportation professionals and the development of new knowledge on how to manage transportation infrastructure and services in a more sustainable manner. The MTC has a track record of developing outstanding students; these students are now becoming leaders in the private sector, government, and academia. The MTC has also supported the development of an extensive research portfolio related to sustainable transportation asset management. More research projects are in the pipeline. Finally, the MTC has dedicated itself to the dissemination of asset management research results through an ongoing technology transfer program. This document provides a progress for the latest fiscal year of operation of the MTC, which ran from October 2004 through September 2005.

Midwest Transportation Consortium Annual Report, 2007-2008

The Midwest Transportation Consortium (MTC) recently completed its sixth year of operation. The MTC has become an established portion of the research and educational programs at ISU and its partner universities. The MTC continues to emphasize its primary focus of developing human capital. For example, this semester, Fall, 2005, ISU has graduate scholars in its educational program. However, we also recognize that the federal grant is an opportunity to build programs at our respective universities that continue after the U.S. DOT UTCP may end. An example of building a long lasting program is the University of Missouri – St. Louis’ (UMSL) and its development of a transportation Ph.D. program in their business college. Admittedly, this program could have been started regardless, but Dr. Ray Mundy, Director of UMSL’s Transportation Scholars Program, believes that the MTC support of the transportation educational program at UMSL was the essential component in establishing a Ph.D. program. At ISU, the MTC has been instrumental in establishing two research and outreach programs, and both have themes that are related to the MTC’s theme of “Transportation System Management and Operation.” The Center for Weather Impacts on Mobility and Safety (C-WIMS) was recently established, and the Center for Road Infrastructure Management and Operations (RIMO) is in the process of being established. The MTC has a critical role in establishing each of these two programs. As part of the on-going MTC program, we have established an effective network that promotes the education of future transportation professionals and the development of new knowledge on how to manage transportation infrastructure and services in a more sustainable manner. The MTC has a track record of developing outstanding students; these students are now becoming leaders in the private sector, government, and academia. The MTC has also supported the development of an extensive research portfolio related to sustainable transportation asset management. More research projects are in the pipeline. Finally, the MTC has dedicated itself to the dissemination of asset management research results through an ongoing technology transfer program. This document provides a progress for the latest fiscal year of operation of the MTC, which ran from October 2004 through September 2005.

Midwest Transportation Consortium Annual Report, 2009

The Midwest Transportation Consortium (MTC) recently completed its sixth year of operation. The MTC has become an established portion of the research and educational programs at ISU and its partner universities. The MTC continues to emphasize its primary focus of developing human capital. For example, this semester, Fall, 2005, ISU has graduate scholars in its educational program. However, we also recognize that the federal grant is an opportunity to build programs at our respective universities that continue after the U.S. DOT UTCP may end. An example of building a long lasting program is the University of Missouri – St. Louis’ (UMSL) and its development of a transportation Ph.D. program in their business college. Admittedly, this program could have been started regardless, but Dr. Ray Mundy, Director of UMSL’s Transportation Scholars Program, believes that the MTC support of the transportation educational program at UMSL was the essential component in establishing a Ph.D. program. At ISU, the MTC has been instrumental in establishing two research and outreach programs, and both have themes that are related to the MTC’s theme of “Transportation System Management and Operation.” The Center for Weather Impacts on Mobility and Safety (C-WIMS) was recently established, and the Center for Road Infrastructure Management and Operations (RIMO) is in the process of being established. The MTC has a critical role in establishing each of these two programs. As part of the on-going MTC program, we have established an effective network that promotes the education of future transportation professionals and the development of new knowledge on how to manage transportation infrastructure and services in a more sustainable manner. The MTC has a track record of developing outstanding students; these students are now becoming leaders in the private sector, government, and academia. The MTC has also supported the development of an extensive research portfolio related to sustainable transportation asset management. More research projects are in the pipeline. Finally, the MTC has dedicated itself to the dissemination of asset management research results through an ongoing technology transfer program. This document provides a progress for the latest fiscal year of operation of the MTC, which ran from October 2004 through September 2005.

Midwest Transportation Consortium Annual Report, 2010

The Midwest Transportation Consortium (MTC) recently completed its sixth year of operation. The MTC has become an established portion of the research and educational programs at ISU and its partner universities. The MTC continues to emphasize its primary focus of developing human capital. For example, this semester, Fall, 2005, ISU has graduate scholars in its educational program. However, we also recognize that the federal grant is an opportunity to build programs at our respective universities that continue after the U.S. DOT UTCP may end. An example of building a long lasting program is the University of Missouri – St. Louis’ (UMSL) and its development of a transportation Ph.D. program in their business college. Admittedly, this program could have been started regardless, but Dr. Ray Mundy, Director of UMSL’s Transportation Scholars Program, believes that the MTC support of the transportation educational program at UMSL was the essential component in establishing a Ph.D. program. At ISU, the MTC has been instrumental in establishing two research and outreach programs, and both have themes that are related to the MTC’s theme of “Transportation System Management and Operation.” The Center for Weather Impacts on Mobility and Safety (C-WIMS) was recently established, and the Center for Road Infrastructure Management and Operations (RIMO) is in the process of being established. The MTC has a critical role in establishing each of these two programs. As part of the on-going MTC program, we have established an effective network that promotes the education of future transportation professionals and the development of new knowledge on how to manage transportation infrastructure and services in a more sustainable manner. The MTC has a track record of developing outstanding students; these students are now becoming leaders in the private sector, government, and academia. The MTC has also supported the development of an extensive research portfolio related to sustainable transportation asset management. More research projects are in the pipeline. Finally, the MTC has dedicated itself to the dissemination of asset management research results through an ongoing technology transfer program. This document provides a progress for the latest fiscal year of operation of the MTC, which ran from October 2004 through September 2005.

Midwest Transportation Consortium Annual Report, 2011

The Midwest Transportation Consortium (MTC) recently completed its sixth year of operation. The MTC has become an established portion of the research and educational programs at ISU and its partner universities. The MTC continues to emphasize its primary focus of developing human capital. For example, this semester, Fall, 2005, ISU has graduate scholars in its educational program. However, we also recognize that the federal grant is an opportunity to build programs at our respective universities that continue after the U.S. DOT UTCP may end. An example of building a long lasting program is the University of Missouri – St. Louis’ (UMSL) and its development of a transportation Ph.D. program in their business college. Admittedly, this program could have been started regardless, but Dr. Ray Mundy, Director of UMSL’s Transportation Scholars Program, believes that the MTC support of the transportation educational program at UMSL was the essential component in establishing a Ph.D. program. At ISU, the MTC has been instrumental in establishing two research and outreach programs, and both have themes that are related to the MTC’s theme of “Transportation System Management and Operation.” The Center for Weather Impacts on Mobility and Safety (C-WIMS) was recently established, and the Center for Road Infrastructure Management and Operations (RIMO) is in the process of being established. The MTC has a critical role in establishing each of these two programs. As part of the on-going MTC program, we have established an effective network that promotes the education of future transportation professionals and the development of new knowledge on how to manage transportation infrastructure and services in a more sustainable manner. The MTC has a track record of developing outstanding students; these students are now becoming leaders in the private sector, government, and academia. The MTC has also supported the development of an extensive research portfolio related to sustainable transportation asset management. More research projects are in the pipeline. Finally, the MTC has dedicated itself to the dissemination of asset management research results through an ongoing technology transfer program. This document provides a progress for the latest fiscal year of operation of the MTC, which ran from October 2004 through September 2005.