Simulation analysis of the EU ELV/RoHS directives based on an applied general equilibrium model with Melitz-type trade specification

This paper explores the potential usefulness of an AGE model with the Melitz-type trade specification to assess economic effects of technical regulations, taking the case of the EU ELV/RoHS directives as an example. Simulation experiments reveal that: (1) raising the fixed exporting cost to make sales in the EU market brings results that exports of the targeted commodities (motor vehicles and parts for ELV and electronic equipment for RoHS) to the EU from outside regions/countries expand while the domestic trade in the EU shrinks when the importer's preference for variety (PfV) is not strong; (2) if the PfV is not strong, policy changes that may bring reduction in the number of firms enable survived producers with high productivity to expand production to be large-scale mass producers fully enjoying the fruit of economies of scale; and (3) When the strength of the importer's PfV is changed from zero to unity, there is the value that totally changes simulation results and their interpretations.

Optimal and Long-Term Dynamic Transport Policy Design: Seeking Maximum Social Welfare through a Pricing Scheme.

This article presents an alternative approach to the decision-making process in transport strategy design. The study explores the possibility of integrating forecasting, assessment and optimization procedures in support of a decision-making process designed to reach the best achievable scenario through mobility policies. Long-term evaluation, as required by a dynamic system such as a city, is provided by a strategic Land-Use and Transport Interaction (LUTI) model. The social welfare achieved by implementing mobility LUTI model policies is measured through a cost-benefit analysis and maximized through an optimization process throughout the evaluation period. The method is tested by optimizing a pricing policy scheme in Madrid on a cordon toll in a context requiring system efficiency, social equity and environmental quality. The optimized scheme yields an appreciable increase in social surplus through a relatively low rate compared to other similar pricing toll schemes. The results highlight the different considerations regarding mobility impacts on the case study area, as well as the major contributors to social welfare surplus. This leads the authors to reconsider the cost-analysis approach, as defined in the study, as the best option for formulating sustainability measures.

Optimal and Long-Term Dynamic Transport Policy Design: Seeking Maximum Social Welfare through a Pricing Scheme

This article presents an alternative approach to the decision-making process in transport strategy design. The study explores the possibility of integrating forecasting, assessment and optimization procedures in support of a decision-making process designed to reach the best achievable scenario through mobility policies. Long-term evaluation, as required by a dynamic system such as a city, is provided by a strategic Land-Use and Transport Interaction (LUTI) model. The social welfare achieved by implementing mobility LUTI model policies is measured through a cost-benefit analysis and maximized through an optimization process throughout the evaluation period. The method is tested by optimizing a pricing policy scheme in Madrid on a cordon toll in a context requiring system efficiency, social equity and environmental quality. The optimized scheme yields an appreciable increase in social surplus through a relatively low rate compared to other similar pricing toll schemes. The results highlight the different considerations regarding mobility impacts on the case study area, as well as the major contributors to social welfare surplus. This leads the authors to reconsider the cost-analysis approach, as defined in the study, as the best option for formulating sustainability measures.

Congestion pricing by priority auction

This paper analyzes a communication network facing users with a continuous distribution of delay cost per unit time. Priority queueing is often used as a way to provide differential services for users with different delay sensitivities. Delay is a key dimension of network service quality, so priority is a valuable resource which is limited and should to be optimally allocated. We investigate the allocation of priority in queues via a simple bidding mechanism. In our mechanism, arriving users can decide not to enter the network at all or submit an announced delay sensitive value. User entering the network obtains priority over all users who make lower bids, and is charged by a payment function which is designed following an exclusion compensation principle. The payment function is proved to be incentive compatible, so the equilibrium bidding behavior leads to the implementation of "cµ-rule". Social warfare or revenue maximizing by appropriately setting the reserve payment is also analyzed.

Pricing-to-market using EGARCH-error correction model

In this paper, the authors use an exponential generalized autoregressive conditional heteroscedastic (EGARCH) error-correction model (ECM), that is, EGARCH-ECM, to estimate the pass-through effects of foreign exchange (FX) rates and producers’ prices for 20 U.K. export sectors. The long-run adjustment of export prices to FX rates and producers’ prices is within the range of -1.02% (for the Textiles sector) and -17.22% (for the Meat sector). The contemporaneous pricing-to-market (PTM) coefficient is within the range of -72.84% (for the Fuels sector) and -8.05% (for the Textiles sector). Short-run FX rate pass-through is not complete even after several months. Rolling EGARCH-ECMs show that the short and long-run effects of FX rate and producers’ prices fluctuate substantially as are asymmetry and volatility estimates before equilibrium is achieved.

Production planning, pricing and market coordination for news vendor problem with price dependent demand

Thesis (Ph.D.)--University of Washington, 2016-08

Pricing derivatives with stochastic volatility

This Ph.D. thesis contains 4 essays in mathematical finance with a focus on pricing Asian option (Chapter 4), pricing futures and futures option (Chapter 5 and Chapter 6) and time dependent volatility in futures option (Chapter 7). In Chapter 4, the applicability of the Albrecher et al.(2005)'s comonotonicity approach was investigated in the context of various benchmark models for equities and com- modities. Instead of classical Levy models as in Albrecher et al.(2005), the focus is the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and the Schwartz (1997) two-factor model. It is shown that the method delivers rather tight upper bounds for the prices of Asian Options in these models and as a by-product delivers super-hedging strategies which can be easily implemented. In Chapter 5, two types of three-factor models were studied to give the value of com- modities futures contracts, which allow volatility to be stochastic. Both these two models have closed-form solutions for futures contracts price. However, it is shown that Model 2 is better than Model 1 theoretically and also performs very well empiri- cally. Moreover, Model 2 can easily be implemented in practice. In comparison to the Schwartz (1997) two-factor model, it is shown that Model 2 has its unique advantages; hence, it is also a good choice to price the value of commodity futures contracts. Fur- thermore, if these two models are used at the same time, a more accurate price for commodity futures contracts can be obtained in most situations. In Chapter 6, the applicability of the asymptotic approach developed in Fouque et al.(2000b) was investigated for pricing commodity futures options in a Schwartz (1997) multi-factor model, featuring both stochastic convenience yield and stochastic volatility. It is shown that the zero-order term in the expansion coincides with the Schwartz (1997) two-factor term, with averaged volatility, and an explicit expression for the first-order correction term is provided. With empirical data from the natural gas futures market, it is also demonstrated that a significantly better calibration can be achieved by using the correction term as compared to the standard Schwartz (1997) two-factor expression, at virtually no extra effort. In Chapter 7, a new pricing formula is derived for futures options in the Schwartz (1997) two-factor model with time dependent spot volatility. The pricing formula can also be used to find the result of the time dependent spot volatility with futures options prices in the market. Furthermore, the limitations of the method that is used to find the time dependent spot volatility will be explained, and it is also shown how to make sure of its accuracy.

Three essays on liquidity

Doutoramento em Gestão.

Prediction of highway truck conveyance configuration under over-limit prohibition and conveyance equilibrium

Aiming at the shortage of prevailing prediction methods about highway truck conveyance configuration in over-limit freight research that transferring the goods attributed to over-limit portion to another fully loaded truck of the same configuration and developing the truck traffic volume synchronously, a new way to get accumulated probability function of truck power tonnage in basal year by highway truck classified by wheel and axle type load mass spectrum investigation was presented. Logit models were used to forecast overall highway freight diversion and single cargo tonnage diversion when the weight rules and strict of enforcement intensity of overload were changed in scheme year. Assumption that the probability distribution of single truck loadage should be consistent with the probability distribution of single goods freighted, the model describes the truck conveyance configuration in the future under strict over-limit prohibition. The model was used and tested in Highway Over-limit Research Project in Anhui by World Bank.