Risk quantification of an option portfolio through the introduction of the fuzzy Black-Scholes formula

Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2018-2019, Tutor: Ana María Gil LafuenteThe aim of this thesis is to quantify the market risk of an option portfolio under uncertainty. The fuzzy sets theory is introduced to model the parameters of the Black-Scholes option-pricing formula. Since the option price is calculated through the fuzzy Black-Scholes formula, we can compute the Value-at-Risk as a fuzzy number. By doing so, we aim to capture extra information that is lost in traditional models given the uncertainty derived from the fluctuations of financial markets. Finally, we want to conclude whether the introduction of the fuzzy sets theory is useful in order to improve the risk management

A mathematical, computational and symbolic representation framework towards digital marketing planning

The digital marketing strategy formulation problem is examined using a hybrid mathematical, computational, and fuzzy knowledge automation approach. The framework is introduced, developed and tested by the first and second-named authors as a new solution for conducting strategic analysis, producing digital marketing strategy alternatives, and making strategic choices. A Web-based software example is provided to demonstrate how the framework functions with evaluation results highlighting how the process and outcomes of digital marketing strategy formulation may be enhanced

Some applications of possibilistic mean value, variance, covariance and correlation

In 2001 we introduced the notions of possibilistic mean value and variance of fuzzy numbers. In this paper we list some works that use these notions. We shall mention some application areas as wel

Pomiar ryzyka w kalkulacji opłacalności inwestycji rzeczowych

In the paper a model of non-financial investment profitability calculation is presented. It is based on the concept of quantile risk measures and a real option valuation. Application of Monte Carlo simulation allows to receive probability distribution of Net Present Value (NPV) and implement risk measures like Cash Flow at Risk (CFaR), Net Present Value at Risk (NPVaR) or Expected Shortfall (ES) in relation to NPV (ES (NPV)). The main contribution of the article is implementation of ES (NPV) that shows the average of worst losses regarding NPV. ES (NPV) informs the investors what the worst result of the project may be.W artykule przedstawiono model kalkulacji opłacalności inwestycji rzeczowych. Jest on oparty na koncepcji kwantylowych miar ryzyka i wycenie opcji realnych. Zastosowanie symulacji Monte Carlo pozwala otrzymać rozkład prawdopodobieństwa wartości zaktualizowanej netto (Net Present Value – NPV) i wdrożyć miary ryzyka, takie jak przepływy pieniężne narażone na ryzyko (Cash Flow at Risk – CFaR), wartość zaktualizowana netto narażona na ryzyko (Net Present Value at Risk – NPVaR) czy oczekiwana strata (Expected Shortfall – ES) w stosunku do NPV – ES (NPV). Głównym wkładem artykułu jest implementacja ES (NPV), która pokazuje średnią najgorszych strat względem NPV. ES (NPV) informuje inwestorów, jaki może być najgorszy wynik projektu

Development of attitude determination control system for nanosatellites

This thesis presents a design of the system for the first stage of a mission in the NanoSat Lab, the 3Cat-8. There is an special focus on the control algorithm and the sizing of the actuators

NEGOTIATION-BASED RISK MANAGEMENT FOR PPP-BOT INFRASTRUCTURE PROJECTS

Ph.DDOCTOR OF PHILOSOPH

Employing of Extended Characteristic Surface Model for Forecasting of Demand in Tourism

Extended Characteristic Surface Model (eCSM) is a theoretical tool of general application designed for computing coefficients in stochastic (Monte Carlo) simulations in particular in multi equation stochastic econometric models. Econometric models are most often used for economic analysis of large enterprises as well as national economies but rarely for analysis of the small entities. The reason are very high costs of building and testing of such a large-scale models. However, presented hereby eCSM delivers not so expensive, rather intuitive and flexible method eligible for consumer sentiment analysis and forecasting as well as for "whatif" inferring suitable for entities of all sizes. In particular, it allows for analysis of demand variation resulting from messages concerning competing merchandises. The article is focused on application of eCSM for evaluation of sentiment and forecast of demand in tourism. In the work extended characteristic surface method is explained in thorough details, furthermore influence of factors such as demographic structure, prices or market size on financial outcomes is analyzed on the example of small touristic entity. This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.</p