Applications of Fuzzy Set Theory, Fuzzy Measure Theory and Fuzzy Differential Calculus

This research tackles the issue of uncertainty due to lack of information, alternatively known as Knightian Uncertainty, and its impact on option pricing. In the presence of such uncertainty, Probability Theory becomes restrictive and alternative tools are called for. In this research, we consider tools of Fuzzy Theory. We introduce three Option Pricing Models the first of which is a fuzzy binomial model based on the standard CRR binomial model. The model performs option pricing in a fuzzy world characterized by blurred prices. In such a world, it is no longer possible to price by replication. So we introduce a fuzzy pricing approach that employs Sugeno integration and fuzzy measures, and generates bounds on the possible option price. The second model is a fuzzy Black-Scholes model, which prices options in the presence of uncertain or fuzzy volatility. We model such volatility by establishing bounds on the corresponding fuzzy values thereby generating fuzzy bounds on the possible option price. Finally, the third model is an extension on an existing one period fuzzy binomial model that prices options when the underlying price is characterized by opacity. The option price returned by this model is dependent on a market parameter that summarizes its completeness. However, it is possible to defuzzify the last two models to obtain one crisp price that summarizes market information. The last two models outperform their standard counterparts

Risks

This book is a collection of feature articles published in Risks in 2020. They were all written by experts in their respective fields. In these articles, they all develop and present new aspects and insights that can help us to understand and cope with the different and ever-changing aspects of risks. In some of the feature articles the probabilistic risk modeling is the central focus, whereas impact and innovation, in the context of financial economics and actuarial science, is somewhat retained and left for future research. In other articles it is the other way around. Ideas and perceptions in financial markets are the driving force of the research but they do not necessarily rely on innovation in the underlying risk models. Together, they are state-of-the-art, expert-led, up-to-date contributions, demonstrating what Risks is and what Risks has to offer: articles that focus on the central aspects of insurance and financial risk management, that detail progress and paths of further development in understanding and dealing with...risks. Asking the same type of questions (which risk allocation and mitigation should be provided, and why?) creates value from three different perspectives: the normative perspective of market regulator; the existential perspective of the financial institution; the phenomenological perspective of the individual consumer or policy holder

Exposing and selling the use of web Services - an Option to be considered in make-or-buy decision-making

The emergence of the web service market has enabled firms to choose between developing web services internally and purchasing them externally from web service providers. In general, these so-called make-or-buy decisions have been the object of intense debate in the IT outsourcing literature. However, characteristics of web services such as loose coupling and the current trend of digitalizing application interfaces enable new opportunities especially to non-software firms: when a firm decides to develop a web service internally (make-decision), it has the option of exposing and selling the use of this web service after its internal development (sell option). In this paper, we propose a normative approach for the valuation of such a sell option based on real option theory, taking into account the characteristics of web services. This approach enhances traditional make-or-buy approaches by additionally considering this sell option in decision-making. Our results are twofold: (I) the sell option has considerable impact on traditional make-or-buy decisions and makes the internal development of web services more attractive; (II) it is preferable to execute the sell option as soon as possible after completion of the internal development of the web service. (C) 2016 Elsevier B.V. All rights reserved

Fuzzy EOQ Model with Trapezoidal and Triangular Functions Using Partial Backorder

EOQ fuzzy model is EOQ model that can estimate the cost from existing information. Using trapezoid fuzzy functions can estimate the costs of existing and trapezoid membership functions has some points that have a value of membership . TR ̃C value results of trapezoid fuzzy will be higher than usual TRC value results of EOQ model . This paper aims to determine the optimal amount of inventory in the company, namely optimal Q and optimal V, using the model of partial backorder will be known optimal Q and V for the optimal number of units each time a message . EOQ model effect on inventory very closely by using EOQ fuzzy model with triangular and trapezoid membership functions with partial backorder. Optimal Q and optimal V values for the optimal fuzzy models will have an increase due to the use of trapezoid and triangular membership functions that have a different value depending on the requirements of each membership function value. Therefore, by using a fuzzy model can solve the company's problems in estimating the costs for the next term

International Conference on Mathematical Analysis and Applications in Science and Engineering – Book of Extended Abstracts

The present volume on Mathematical Analysis and Applications in Science and Engineering - Book of Extended Abstracts of the ICMASC’2022 collects the extended abstracts of the talks presented at the International Conference on Mathematical Analysis and Applications in Science and Engineering – ICMA2SC'22 that took place at the beautiful city of Porto, Portugal, in June 27th-June 29th 2022 (3 days). Its aim was to bring together researchers in every discipline of applied mathematics, science, engineering, industry, and technology, to discuss the development of new mathematical models, theories, and applications that contribute to the advancement of scientific knowledge and practice. Authors proposed research in topics including partial and ordinary differential equations, integer and fractional order equations, linear algebra, numerical analysis, operations research, discrete mathematics, optimization, control, probability, computational mathematics, amongst others. The conference was designed to maximize the involvement of all participants and will present the state-of- the-art research and the latest achievements.info:eu-repo/semantics/publishedVersio

Modellering av virkninger på skogsektoren av økt bruk av skogbasert bioenergi i Europa og syd-østlige USA

The European Union (henceforth, EU) is now well on track to meet the 2020 targets for renewable energy production and consumption, and recently a new 2030 Framework for climate and energy has been proposed. The forest sector is supposed to make a significant contribution towards meeting green economy objectives. Moreover, it is of high interest to analyze the potential impacts of EU’s renewable energy directive (RED 1 and the ongoing RED 2) on the forest sector in Europe and overseas. In order to examine global challenges regarding energy, climate change, ecological impacts, technology developments and sustainable use of land and natural resources in the upcoming circular bioeconomy era (EEA 2018), improved analysis tools are required. The utilization of Forest Sector Models (henceforth, FSMs), linking forestry and forest industry activities, has been found useful for assessing the interplay between forest resources and forest commodity markets, accounting for competition and synergies between different uses of wood. This thesis investigates the impacts of increased use of wood-based bioenergy on forest resources and markets of forest and wood products, and explores the strengths and weaknesses of FSMs.Unia Europejska (odtąd UE) jest na dobrej drodze, aby osiągnąć wyznaczone na 2020 rok cele w zakresie produkcji i zużycia energii odnawialnej. Także ostatnio, nowe ramy klimatyczne i energetyczne zostały zaproponowane na rok 2030. Zakłada się, że sektor leśny1 ma znacząco przyczynić się do osiągnięcia celów zielonej gospodarki. Ponadto niezwykle istotne jest przeanalizowanie potencjalnych skutków unijnej dyrektywy w sprawie energii odnawialnej (RED 1 i trwająca RED 2) na sektor leśny w Europie i za granicą. Aby zbadać globalne wyzwania dotyczące energii, zmian klimatu, skutków ekologicznych, rozwoju technologii oraz zrównoważonego użytkowania zasobów lądowych i naturalnych w nadchodzącej erze biogospodarki o obiegu zamkniętym (EEA 2018), potrzebne są ulepszone narzędzia analityczne. Wykorzystanie modeli sektora leśnego (odtąd MSL), łączących działalność w zakresie leśnictwa i przemysłu drzewnego, okazało się przydatne do oceny wzajemnych zależności między zasobami leśnymi a rynkami surowca drzewnego, z uwzględnieniem konkurencji i synergii między różnymi zastosowaniami drewna. Niniejsza praca dotyczy wpływu zwiększonego wykorzystania bioenergii, opartej na drewnie, na zasoby leśne i rynki surowca drzewnego oraz analizuje mocne i słabe strony MSL