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Modeling and Valuation of Energy Structures: Analytics, Econometrics, and Numerics (Applied Quantitative Finance)
by Daniel MahoneyCommodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value extraction through trading more difficult. These facts make it very easy for modeling efforts to run into serious problems, as many models are very sensitive to noise and hence can easily fail in practice. Modeling and Valuation of Energy Structures is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations, reflecting the author's 17 years of experience as a front-office 'quant'. The major theme of the book is that simpler is usually better, a message that is drawn out through the reality of incomplete markets, small samples, and informational constraints. The necessary mathematical tools for understanding these issues are thoroughly developed, with many techniques (analytical, econometric, and numerical) collected in a single volume for the first time. A particular emphasis is placed on the central role that the underlying market resolution plays in valuation. Examples are provided to illustrate that robust, approximate valuations are to be preferred to overly ambitious attempts at detailed qualitative modeling.
Modeling and Valuation of Energy Structures: Analytics, Econometrics, and Numerics (Applied Quantitative Finance)
by Daniel MahoneyCommodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value extraction through trading more difficult. These facts make it very easy for modeling efforts to run into serious problems, as many models are very sensitive to noise and hence can easily fail in practice. Modeling and Valuation of Energy Structures is a comprehensive guide to quantitative and statistical approaches that have been successfully employed in support of trading operations, reflecting the author's 17 years of experience as a front-office 'quant'. The major theme of the book is that simpler is usually better, a message that is drawn out through the reality of incomplete markets, small samples, and informational constraints. The necessary mathematical tools for understanding these issues are thoroughly developed, with many techniques (analytical, econometric, and numerical) collected in a single volume for the first time. A particular emphasis is placed on the central role that the underlying market resolution plays in valuation. Examples are provided to illustrate that robust, approximate valuations are to be preferred to overly ambitious attempts at detailed qualitative modeling.
Modeling of Land-Use and Ecological Dynamics
by Dan Malkinson Danny Czamanski Itzhak BenensonAs cities are rapidly expanding and encroaching into agricultural and natural areas, a question of primary concern is how this expansion affects surrounding agriculture and natural landscapes. This book presents a wide spectrum of both theoretical and empirical approaches to simulation and assessment of landscape dynamics. The first part presents state-of-the-art modelling approaches pertaining to land-use changes entailed by the urban sprawl, at different spatial resolutions and temporal time scales. The second part is dedicated to case studies of the effects and consequences of the emerging urban-agriculture open space patterns.
Modeling of Responsive Supply Chain
by M.K. Tiwari B. Mahanty S. P. Sarmah M. JenamaniA guide to help readers meet the demands of an evolving competitive business environment, Modeling of Responsive Supply Chain outlines novel concepts and strategies for implementing a fully integrated system of business improvement methodologies.This self-contained reference covers various key aspects of supply chain management, which is crucial to
Modeling the World Economic Outlook at the IMF: A Historical Review
by James M. BoughtonA report from the International Monetary Fund.
Modeling with Stochastic Programming (Springer Series in Operations Research and Financial Engineering)
by Alan J. King Stein W. WallaceThis is an updated version of what is still the only text to address basic questions about how to model uncertainty in mathematical programming, including how to reformulate a deterministic model so that it can be analyzed in a stochastic setting. This second edition has important extensions regarding how to represent random phenomena in the models (also called scenario generation) as well as a new chapter on multi-stage models. This text would be suitable as a stand-alone or supplement for a second course in OR/MS or in optimization-oriented engineering disciplines where the instructor wants to explain where models come from and what the fundamental modeling issues are. The book is easy-to-read, highly illustrated with lots of examples and discussions. It will be suitable for graduate students and researchers working in operations research, mathematics, engineering and related departments where there is interest in learning how to model uncertainty. Alan King is a Research Staff Member at IBM's Thomas J. Watson Research Center in New York. Stein W. Wallace is a Professor of Operational Research and head of Center for Shipping and Logistics at NHH Norwegian School of Economics, Bergen, Norway.
Modeling, Analysis, Control and Removal of Oil and Hydrocarbon Spills (Earth and Environmental Sciences Library)
by Tatiana ChaplinaA large number of scientific works are devoted to the study and modeling of accidental oil spills. However, there is no single approach to the description of processes and a generally accepted system of models. An additional fundamental difficulty is the impossibility of conducting full-fledged full-scale experimental studies, which makes it difficult to verify the adequacy and accuracy of oil spill models. Our book is devoted to the problems of experimental investigation and theoretical description of spills, as well as the practical removal of various petroleum products from the water surface and ice. It provides an overview of the most well-known theoretical models of the process of spreading oil stains on the water surface. Also, in the relevant sections, an original spreading model based on an energy approach is proposed and analyzed. The results of new experimental studies of the dynamics of the process for various hydrocarbons on water, including variations in its temperatureand salinity, are presented. In the following chapters, a theoretical description of oil spreading on the upper and lower surfaces of floating ice is proposed, modeling phenomena in the Arctic and subarctic zones of the world ocean. New experimental data on the spreading of petroleum products on the ice surface are presented. The final part provides a brief overview of the existing most used and promising methods for removing of hydrocarbons from the water surface. New original constructive solutions to this problem are proposed, the technical characteristics of which have received theoretical justification and experimental confirmation.
Modeling, Dynamics, Optimization and Bioeconomics I
by David Zilberman Alberto Adrego PintoThis volume explores the emerging and current, cutting-edge theories and methods of modeling, optimization, dynamics and bio economy. It provides an overview of the main issues, results and open questions in these fields as well as covers applications to biology, economy, energy, industry, physics, psychology and finance. The majority of the contributed papers for this volume come from the participants of the International Conference on Modeling, Optimization and Dynamics (ICMOD 2010), a satellite conference of EURO XXIV Lisbon 2010, which took place at Faculty of Sciences of University of Porto, Portugal and from the Berkeley Bio economy Conference 2012, at the University of California, Berkeley, USA.
Modeling, Dynamics, Optimization and Bioeconomics III: Contributions From Dgs Iii And The 7th Bioeconomy Conference 2014 (Springer Proceedings in Mathematics & Statistics #195)
by David Zilberman Alberto A. PintoThe research and review papers presented in this volume provide an overview of the main issues, findings, and open questions in cutting-edge research on the fields of modeling, optimization and dynamics and their applications to biology, economics, energy, finance, industry, physics and psychology. Given the scientific relevance of the innovative applications and emerging issues they address, the contributions to this volume, written by some of the world’s leading experts in mathematics, economics and other applied sciences, will be seminal to future research developments and will spark future works and collaborations. The majority of the papers presented in this volume were written by participants of the 4th International Conference on Dynamics, Games and Science: Decision Models in a Complex Economy (DGS IV), held at the National Distance Education University (UNED) in Madrid, Spain in June 2016 and of the 8th Berkeley Bioeconomy Conference: The Future of Biofuels, held at the UC Berkeley Alumni House in April 2015.
Modeling, Dynamics, Optimization and Bioeconomics IV: DGS VI JOLATE, Madrid, Spain, May 2018, and ICABR, Berkeley, USA, May–June 2017—Selected Contributions (Springer Proceedings in Mathematics & Statistics #365)
by David Zilberman Alberto PintoThis book, following the three published volumes of the book, provides the main purpose to collect research papers and review papers to provide an overview of the main issues, results, and open questions in the cutting-edge research on the fields of modeling, optimization, and dynamics and their applications to biology, economy, energy, industry, physics, psychology and finance. Assuming the scientific relevance of the presenting innovative applications as well as merging issues in these areas, the purpose of this book is to collect papers of the world experts in mathematics, economics, and other applied sciences that is seminal to the future research developments. The majority of the papers presented in this book is authored by the participants in The Joint Meeting 6th International Conference on Dynamics, Games, and Science – DGSVI – JOLATE and in the 21st ICABR Conference. The scientific scope of the conferences is focused on the fields of modeling, optimization, and dynamics and their applications to biology, economy, energy, industry, physics, psychology, and finance. Assuming the scientific relevance of the presenting innovative applications as well as merging issues in these areas, the purpose of the conference is to bring together some of the world experts in mathematics, economics, and other applied sciences that reinforce ongoing projects and establish future works and collaborations.
Modeling, Optimization and Intelligent Control Techniques in Renewable Energy Systems: An Optimal Integration Of Renewable Energy Resources Into Grid (Studies in Systems, Decision and Control #434)
by Moussa Labbadi Mohamed Cherkaoui Kamal Elyaalaoui Loubna Bousselamti Mohammed OuassaidThis book consists of two parts. The first part studies selected recent developed strategies of control and management for renewable energy resources. The strategies of control are tested in the presence of unbalance power, voltage faults, frequency deviation, wind speed variation and parametric uncertainties. The second part is especially focused on study of hybrid photovoltaic (PV)-Concentrated solar power (CSP) coupled to a thermal storage system. It gathers a set of chapters covering recent survey literature, modelling and optimization of hybrid PV-CSP power plants. In this part, a detailed model of hybrid PV-CSP with thermal storage system is presented and smart optimization techniques like particle swarm optimization (PSO) and genetic algorithm (GA) are also described and used to optimally design the hybrid PV-CSP renewable energy system. The book would be interesting to most academic undergraduate, postgraduates, researchers on renewable energy systems in terms of modeling, optimization and control, as well as the satisfaction of grid code requirements. Also, it provides an excellent background to renewable energy sources, it is an excellent choice for energy engineers, researchers, system operators, and graduate students. This book can used as a good reference for the academic research on the smart grid, power control, integration of renewable energy sources, and related to this or used in Ph.D study of control, optimisation, management problems and their application in field engineering.
Modellbasierte Gestaltung von Fließproduktionssystemen im Spannungsfeld von Ergonomie und Ökonomie (Produktion und Logistik)
by Christian WeckenborgChristian Weckenborg untersucht Fragestellungen zur Gestaltung von Fließproduktionssystemen im Spannungsfeld von Ergonomie und Ökonomie. Er stellt modellbasierte Analysen zu den Potenzialen des Einsatzes unterstützender Technologien, wie kollaborativer Roboter und Exoskelette, hinsichtlich erreichter Kosteneinsparungen sowie der Beanspruchungsminderung der Werker bereit. Auf Basis der Analysen leitet er Handlungsempfehlungen für Entscheidungsträger aus der Industrie ab. Der Autor Dr. Christian Weckenborg promovierte bei Professor Dr. Thomas S. Spengler am Institut für Automobilwirtschaft und Industrielle Produktion der Technischen Universität Braunschweig.
Modellbasierte Produktentwicklung: Kundenbedürfnisse verstehen und tradierte Denkstile überwinden (essentials)
by Werner EngelnWas sind die Ursachen dafür, dass mit viel Aufwand entwickelte Produkte im Markt scheitern? Die Produkte wurden an den Bedürfnissen der Kunden*innen vorbei entwickelt. Aber kein Unternehmen wird bewusst an den Kundenbedürfnissen vorbei entwickeln. Das vorliegende Buch befasst sich mit der Frage, wie objektiv eigentlich die Bedürfnisse von Kunden*innen ihren Weg in die Entwicklungsorganisation eines Unternehmens finden können und wie objektive sie dort in ein Produkt umgesetzt werden können. Ausgehend von Antworten auf diese Frage wird ein Ansatz entwickelt, mit Hilfe physischer Modelle eine frühzeitige Wahrnehmung der Produktattribute durch Kunden*innen zu ermöglichen, so deren Bedürfnisse genauer zu treffen und damit die Erfolgswahrscheinlichkeit der Produkte im Markt zu verbessern.
Modellieren und Programmieren unter Verwendung der Satzstruktur natürlicher Sprachen: Eine Anleitung
by Albert Fleischmann Christian Stary Matthes Elstermann Ronny HengartnerMit diesem Buch ist ein niederschwelliger, weil intuitiver Einstieg in die Modellierung von Abläufen sichergestellt. Anleitung für Personen ohne jegliches Vorwissen, wie mittels Elementen und Sätzen natürlicher Sprache Prozesswissen gewonnen und in ausführbare Modelle überführt werden kann. Das Werk nimmt Bedenken, dass Personen ohne Vorwissen nicht an Organisationsentwicklung und Modellbildung über Arbeitsplätzen nicht teilhaben können – im Gegenteil es sichert ihnen die Mitsprache auf nicht-flüchtiger Ebene durch sprachgerechte Kommunikation und Dokumentation. Sie wollen ins Tun kommen? Dies wollten wir auch – daher haben wir diese Anleitung zur Anwendung des subjektorientierten Denkmodells zur Entwicklung von Systemen geschrieben. Wir stellen alle entsprechenden Modellierungselemente und ihre Verwendung schrittweise vor, ebenso wie die Techniken, mit denen diese Modelle implementiert werden können. Schließlich leiten wir Sie an, wie sie sich einer Managementstruktur für die Erstellung komplexer subjektorientierter Systeme konstruktiv, weil auf Basis der natürlichen Sprache, bedienen können. Dies ist ein Open-Access-Buch.
Modellierung von Wasserrisiken: Entwicklung von Techniken zur Risiko-Rendite-Steuerung in der Finanzwelt und darüber hinaus
by Thomas Walker Dieter Gramlich Maya Michaeli Charlotte Esme FrankDieses Buch beleuchtet das Thema finanzielles Wasserrisiko, indem es die Modellierungs-Herausforderungen untersucht, die mit physischem, regulatorischem und Ruf-bedingtem Wasserrisiko in der Finanzwelt verbunden sind. Es erkundet verschiedene Ansätze zur Operationalisierung von Wasserrisiken aus finanzieller Analyse, Investmentmanagement und Klimawissenschaft. Die Analyse von Instrumenten zur Bewertung von Wasserrisiken bildet die Grundlage für die Entwicklung geeigneter Risiko-Rendite-Steuerungstechniken in der Finanzbranche und darüber hinaus. Dieses Buch liefert neue Einblicke, indem es sich auf finanzielle Wassergefahren und die damit verbundenen Chancen konzentriert. Es wird sowohl für Wissenschaftler als auch Praktiker von Interesse sein, die an der Schnittstelle von Finanzen, Wirtschaft, Natur und Gesellschaft tätig sind.
Modelling Aging and Migration Effects on Spatial Labor Markets (Advances in Spatial Science)
by Roger R. Stough Peter Nijkamp Karima Kourtit Uwe BlienThe aging and migration megatrends and their impact on spatial – regional and local – labor market performance is the core theme of this book, and thus together define its scope and focus. The contributions provide an overview of key aging and migration issues in various countries together with analyses of their varied impacts on regional labor markets. Systematic database research and related empirical analyses are used to map out the complex and dynamic nature of these trends, while cutting-edge economic and modeling techniques are used to analyze them. In closing, the book critically reviews and assesses selected policy measures designed to cope with the effects of aging and migration on regional labor markets.
Modelling Economic Capital: Practical Credit-Risk Methodologies, Applications, and Implementation Details (Contributions to Finance and Accounting)
by David Jamieson BolderHow might one determine if a financial institution is taking risk in a balanced and productive manner? A powerful tool to address this question is economic capital, which is a model-based measure of the amount of equity that an entity must hold to satisfactorily offset its risk-generating activities. This book, with a particular focus on the credit-risk dimension, pragmatically explores real-world economic-capital methodologies and applications. It begins with the thorny practical issues surrounding the construction of an (industrial-strength) credit-risk economic-capital model, defensibly determining its parameters, and ensuring its efficient implementation. It then broadens its gaze to examine various critical applications and extensions of economic capital; these include loan pricing, the computation of loan impairments, and stress testing. Along the way, typically working from first principles, various possible modelling choices and related concepts are examined. The end result is a useful reference for students and practitioners wishing to learn more about a centrally important financial-management device.
Modelling Empty Container Repositioning Logistics
by Dong-Ping Song Jingxin DongThe book takes the inventory control perspective to tackle empty container repositioning logistics problems in regional transportation systems by explicitly considering the features such as demand imbalance over space, dynamic operations over time, uncertainty in demand and transport, and container leasing phenomenon. The book has the following unique features. First, it provides a discussion of broad empty equipment logistics including empty freight vehicle redistribution, empty passenger vehicle redistribution, empty bike repositioning, empty container chassis repositioning, and empty container repositioning (ECR) problems. The similarity and unique characteristics of ECR compared to other empty equipment repositioning problems are explained. Second, we adopt the stochastic dynamic programming approach to tackle the ECR problems, which offers an algorithmic strategy to characterize the optimal policy and captures the sequential decision-making phenomenon in anticipation of uncertainties over time and space. Third, we are able to establish closed-form solutions and structural properties of the optimal ECR policies in relatively simple transportation systems. Such properties can then be utilized to construct threshold-type ECR policies for more complicated transportation systems. In fact, the threshold-type ECR policies resemble the well-known (s, S) and (s, Q) policies in inventory control theory. These policies have the advantages of being decentralized, easy to understand, easy to operate, quick response to random events, and minimal on-line computation and communication. Fourth, several sophisticated optimization techniques such as approximate dynamic programming, simulation-based meta-heuristics, stochastic approximation, perturbation analysis, and ordinal optimization methods are introduced to solve the complex stochastic optimization problems. The book will be of interest to researchers and professionals in logistics, transport, supply chain, and operations research.
Modelling Europe: A History of Multi-Country Models at the European Commission (1970-2005)
by Antonella Rancan Francesco SergiWhat was the role of economists and economics in the making of the European Union? This book sheds light on the activities of a particular type of economic experts: the macroeconomic modellers of the Directorate General for Economic and Financial Affairs (DG II), who built multi-country macroeconomic models of the European Economic Community. These models aim at studying the macroeconomic interactions between national economies and at providing insights about the effects of coordinating (or not) national economic policies. The book documents the origins, challenges, and progress made by DG II’s experts through building these models. This book provides insight into the influence of multi-country models on modern economics. It will be relevant to students and researchers interested in the history of economic thought and the development of macroeconomic policy.
Modelling Macroeconomic Adjustment with Growth in Developing Economies: The Case of India (Routledge Revivals)
by Sushanta K. MallickFirst published in 1999, this influential volume explores Macroeconomic Adjustment with a particular focus on India. Its inspiration originated from the introduction of stabilisation and structural adjustment policies in India in 1991. Mallick examines the application of this policy package by the International Monetary Fund and the World Bank to Developing Economies. First looking at the initial conditions and generators of imbalances, the appropriate policy framework for India’s initial conditions and structural characteristics is considered. While the effectiveness of the IMF had been strongly criticised, Mallick explains how it could be used more effectively. He argues that the programs applied are often contradictory and, using India as an example, examines the effects of policy reform on its trade sector, the repercussions on the direct economy and the costs associated with such policies in restoring stability and future economic growth, with particular support for the Vector Autoregression (VAR) framework. Mallick forwards a new structural model for policy purposes, evaluated for overall performance and optimal control.
Modelling Operational Risk Using Bayesian Inference
by Pavel V. ShevchenkoThe management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. Globalization, deregulation, the use of complex financial products, and changes in information technology have resulted in exposure to new risks which are very different from market and credit risks. In response, the Basel Committee on Banking Supervision has developed a new regulatory framework for capital measurement and standards for the banking sector. This has formally defined operational risk and introduced corresponding capital requirements. Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, the area of quantitative operational risk is very new and different methods are under hot debate. This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is the main focus. Though it is very new in this area, the Bayesian approach is well suited for modelling operational risk, as it allows for a consistent and convenient statistical framework for quantifying the uncertainties involved. It also allows for the combination of expert opinion with historical internal and external data in estimation procedures. These are critical, especially for low-frequency/high-impact operational risks. This book is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area. It is a must-read for anyone who works, teaches or does research in the area of financial risk.
Modelling Pension Fund Investment Behaviour (Routledge Revivals)
by David BlakeFirst published in 1992, this title conducts an in-depth examination of the investment behaviour of pension funds, presenting the first econometric model in this area. Using the well-established framework of modern portfolio theory, David Blake derives a model of optimal portfolio behaviour that explains pension fund asset holdings in terms of the most important macroeconomic and cyclical indicators. He shows how factors such as industry profitability, the balance of payments and the monetary and fiscal policies of the government influence pension fund investments. Broad in scope, this reissue will be of particular value to students and academics with an interest in econometrics, investment analysis and the pension fund industry.
Modelling Single-name and Multi-name Credit Derivatives
by Dominic O'KaneModelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners.This book is up-to-date as it covers many of the important developments which have occurred in the credit derivatives market in the past 4-5 years. These include the arrival of the CDS portfolio indices and all of the products based on these indices. In terms of models, this book covers the challenge of modelling single-tranche CDOs in the presence of the correlation skew, as well as the pricing and risk of more recent products such as constant maturity CDS, portfolio swaptions, CDO squareds, credit CPPI and credit CPDOs.
Modelling Supply Chain Dynamics
by Jose M. FraminanThis book discusses supply chain management, focusing on developments within modelling the dynamic behaviour of the supply chain. Aimed at postgraduate students, researchers and practitioners, this book provides an in-depth knowledge of the dynamics of supply chains. Business trends such as the globalisation process and the increase of competition across many industrial sectors have forced companies to concentrate on their core competences and to outsource those activities in which they do not excel. As a consequence, companies no longer produce and distribute their goods in isolation, but being part of a supply chain or supply network, i.e. a set of interrelated companies who ultimately deliver the goods and services to the final customer. Despite the prevalence of supply chains as the primary form of production and distribution, their performance can be seriously hampered by the complex dynamics resulting from the collaboration and coordination (or lack thereof) among their members.This book provides the reader with modelling tools to understand, analyse and improve the dynamic behaviour of supply chains. It assembles seminal works on supply chain models and recent developments on the topic in order to provide a comprehensive, unified vision of the field for researchers and practitioners who wish to grasp the challenges of supply chain management. Aside presenting the main elements, equations and performance indicators governing the dynamics of a supply chain, and the book addresses issues such as the effect of timely and accurately sharing the information across members, the influence of restrictions on the productive capacities of their members, or the impact of the variability of the lead times, among others. Furthermore, more complex supply chain structures such as non-serial supply networks or closed-loop supply chains are modelled and discussed. Relevant managerial insights regarding the causes of supply chain underperformance, as well as avenues to improve their efficiency can be extracted from the resulting models.
Modelling Transitions: Virtues, Vices, Visions of the Future (Routledge Studies in Sustainability Transitions)
by Enayat A. Moallemi Fjalar J. de HaanModelling Transitions shows what computational, formal and data-driven approaches can and could mean for sustainability transitions research, presenting the state-of-the-art and exploring what lies beyond. Featuring contributions from many well-known authors, this book presents the various benefits of modelling for transitions research. More than just taking stock, it also critically examines what modelling of transformative change means and could mean for transitions research and for other disciplines that study societal changes. This includes identifying a variety of approaches currently not part of the portfolios of transitions modellers. Far from only singing praise, critical methodological and philosophical introspection are key aspects of this important book. This book speaks to modellers and non-modellers alike who value the development of robust knowledge on transitions to sustainability, including colleagues in congenial fields. Be they students, researchers or practitioners, everyone interested in transitions should find this book relevant as reference, resource and guide.