Showing 1 - 10 of 30
This paper presents a macro-architecture for simulating goods movements in an urban area. Urban goods supply is analysed when the retailer is the decision-maker and chooses to supply his/her shop. Two components are considered: demand in terms of goods supply and vehicle routing with constraints...
Persistent link: https://www.econbiz.de/10010539026
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two-fold. Firstly, we propose a model that unifies the dynamics of...
Persistent link: https://www.econbiz.de/10011996092
Since the establishment of commercial sharing economy services like Uber, Blablacar, Lyft, Airbnb, TaskRabbit, etc., the debate about the sharing economy and its effects on competition has generated lively discussions, which have too often dangerously departed from a debate based on objective...
Persistent link: https://www.econbiz.de/10012164346
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...
Persistent link: https://www.econbiz.de/10011082464
In the last years the interest in urban freight mobility has increased. However, the management and control of urban freight transport requires models which simulate the transport system. In literature some models have been analysed and implemented with tools which allow the verification of the...
Persistent link: https://www.econbiz.de/10010902421
The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of weak Dirichlet process in this context. Such a process X, taking values in a Hilbert space H, is the sum of a local...
Persistent link: https://www.econbiz.de/10011075069
For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging...
Persistent link: https://www.econbiz.de/10008509532
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algorithm, which is based on the celebrated...
Persistent link: https://www.econbiz.de/10010599838
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class...
Persistent link: https://www.econbiz.de/10008836358
This article focuses on a new concept of quadratic variation for processes taking values in a Banach space B and a corresponding covariation. This is more general than the classical one of Métivier and Pellaumail. Those notions are associated with some subspace ? of the dual of the projective...
Persistent link: https://www.econbiz.de/10010640911