Numerical Methods for Real Options in Telecommunications

This thesis applies modern financial option valuation methods to the problem of telecommunication network capacity investment decision timing. In particular, given a cluster of base stations (wireless network with a certain traffic capacity per base station), the objective of this thesis is to determine when it is optimal to increase capacity to each of the base stations of the cluster. Based on several time series taken from the wireless and bandwidth industry, it is argued that capacity usage is the major uncertain component in telecommunications. It is found that price has low volatility when compared to capacity usage. A real options approach is then applied to derive a two dimensional partial integro-differential equation (PIDE) to value investments in telecommunication infrastructure when capacity usage is uncertain and has temporary sudden large variations. This real options PIDE presents several numerical challenges. First, the integral term must be solved accurately and quickly enough such that the general PIDE solution is reasonably accurate. To deal with the integral term, an implicit method is suggested. Proofs of timestepping stability and convergence of a fixed point iteration scheme are presented. The correlation integral is computed using a fast Fourier transform (FFT) method. Techniques are developed to avoid wrap-around effects. This method is tested on option pricing problems where the underlying asset follows a jump diffusion process. Second, the absence of diffusion in one direction of the two dimensional PIDE creates numerical challenges regarding accuracy and timestep selection. A semi-Lagrangian method is presented to alleviate these issues. At each timestep, a set of one dimensional PIDEs is solved and the solution of each PIDE is updated using semi-Lagrangian timestepping. Crank-Nicolson and second order backward differencing timestepping schemes are studied. Monotonicity and stability results are derived. This method is tested on continuously observed Asian options. Finally, a five factor algorithm that captures many of the constraints of the wireless network capacity investment decision timing problem is developed. The upgrade decision for different upgrade decision intervals (e. g. monthly, quarterly, etc. ) is studied, and the effect of a safety level (i. e. the maximum allowed capacity used in practice on a daily basis—which differs from the theoretical maximum) is investigated

New Entrepreneurship in Urban Diasporas in our Modern World

ABSTRACT: Entrepreneurship among migrants – often called new, migrant or ethnic entrepreneurship – has over the past years become a significant component of the urban economy in many developed countries. Migrant entrepreneurship has a considerable welfare enhancing impact on the city, notably a contribution to innovation and growth, creation of new jobs for less favoured population groups, advancement of benefits from cultural diversity, and reinforcement of economic opportunities related to international connectivity. The present paper aims to investigate the backgrounds of migrant entrepreneurship in large Dutch cities, in particular, the critical success factors of business performance of these entrepreneurs in relation to their ethnic background, their levels of skill, and other specific and general contextual factors. To address the drivers of break-out strategies for new markets, a sample of second-generation Moroccan entrepreneurs is extensively interviewed to extract detailed information at a micro business level. The wealth of qualitative information on both input factors and output (performance) achievements is next systematically coded in a qualitative survey table which is converted into a format that is suitable for application of a rough set analysis. This is an artificial intelligence technique that is able to extract and identify the set of combinations of different drivers that altogether make up for a final outcome. The results show that longer stay in the host country, male gender, family network support and education of the entrepreneurs concerned are critical variables for the business performance of these urban diaspora entrepreneurs. KEYWORDS: Migrant entrepreneurship, break-out strategies, change agents, second-generation migrant entrepreneurs, urban economy, innovation, cultural diversity, international connectivity, business performance, rough set analysis, urban diaspora entreprene

Data from mobile phone operators: A tool for smarter cities?

Abstract The use of mobile phone data provides new spatio-temporal tools for improving urban planning, and for reducing inefficiencies in present-day urban systems. Data from mobile phones, originally intended as a communication tool, are increasingly used as innovative tools in geography and social sciences research. Empirical studies on complex city systems from human-centred and urban dynamics perspectives provide new insights to develop promising applications for supporting smart city initiatives. This paper provides a comprehensive review and a typology of spatial studies on mobile phone data, and highlights the applicability of such digital data to develop innovative applications for enhanced urban management