1,343 research outputs found
Optimal Dynamic Behavior of Adaptive WIP Regulation with Multiple Modes of Capacity Adjustment
AbstractIt is desirable to maintain consistent dynamic behavior of WIP regulation in work systems with multiple modes of capacity adjustment (floaters, overtime, etc.) and different adjustment periods, delays and limits in the various modes. Coordination of these modes is necessary in order to keep optimal dynamic behavior. In this paper, a control-theoretic model of WIP regulation is presented first that accommodates multiple capacity adjustment modes with different adjustment periods (per shift, per day, per week, etc.) and different delays in implementing adjustments. Then an algorithm is presented for adapting WIP adjustment parameters in the presence of capacity adjustment limits and mode priorities so that a specified dynamic performance goal continues to be met. Results of simulations driven by industrial data are used to illustrate the effect of limits and performance goals on dynamic behavior, and conclusions are drawn regarding the effectiveness of adaptive regulation of WIP by coordinating multiple modes of capacity adjustment
Capillary Movement in Substrates in Microgravity
A more complete understanding of the dynamics of capillary flow through an unsaturated porous medium would be useful for a number of space and terrestrial applications. Knowledge of capillary migration of liquids in granular beds in microgravity would significantly enhance the development and understanding of how a matrix based nutrient delivery system for the growth of plants would function in a microgravity environment. Thus, such information is of interest from the theoretical as well as practical point of view
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
We consider a class of generalized capital asset pricing models in continuous
time with a finite number of agents and tradable securities. The securities may
not be sufficient to span all sources of uncertainty. If the agents have
exponential utility functions and the individual endowments are spanned by the
securities, an equilibrium exists and the agents' optimal trading strategies
are constant. Affine processes, and the theory of information-based asset
pricing are used to model the endogenous asset price dynamics and the terminal
payoff. The derived semi-explicit pricing formulae are applied to numerically
analyze the impact of the agents' risk aversion on the implied volatility of
simultaneously-traded European-style options.Comment: 24 pages, 4 figure
A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling
In this paper we propose a new nonparametric approach to interacting failing
systems (FS), that is systems whose probability of failure is not negligible in
a fixed time horizon, a typical example being firms and financial bonds. The
main purpose when studying a FS is to calculate the probability of default and
the distribution of the number of failures that may occur during the
observation period. A model used to study a failing system is defined default
model. In particular, we present a general recursive model constructed by the
means of inter- acting urns. After introducing the theoretical model and its
properties we show a first application to credit risk modeling, showing how to
assess the idiosyncratic probability of default of an obligor and the joint
probability of failure of a set of obligors in a portfolio of risks, that are
divided into reliability classes
CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS 1
Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/75553/1/j.1467-9965.1994.tb00059.x.pd
On the lease rate, convenience yield and speculative effects in the gold futures market
By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama & French (1983). Using the latter quantity, we study the relationship between gold leasing and the level of COMEX discretionary inventory and exhibit that lease rates are negatively related to inventories. We also show that Futures prices have increasingly exceeded forward prices over the period, and this effect increases with the speculative pressure and the maturity of the contracts
Systemic Risk and Default Clustering for Large Financial Systems
As it is known in the finance risk and macroeconomics literature,
risk-sharing in large portfolios may increase the probability of creation of
default clusters and of systemic risk. We review recent developments on
mathematical and computational tools for the quantification of such phenomena.
Limiting analysis such as law of large numbers and central limit theorems allow
to approximate the distribution in large systems and study quantities such as
the loss distribution in large portfolios. Large deviations analysis allow us
to study the tail of the loss distribution and to identify pathways to default
clustering. Sensitivity analysis allows to understand the most likely ways in
which different effects, such as contagion and systematic risks, combine to
lead to large default rates. Such results could give useful insights into how
to optimally safeguard against such events.Comment: in Large Deviations and Asymptotic Methods in Finance, (Editors: P.
Friz, J. Gatheral, A. Gulisashvili, A. Jacqier, J. Teichmann) , Springer
Proceedings in Mathematics and Statistics, Vol. 110 2015
A joint scoring model for peer-to-peer and traditional lending:A bivariate model with copula dependence
We analyse the dependence between defaults in peer-to-peer lending and credit bureaus. To achieve this, we propose a new flexible bivariate regression model that is suitable for binary imbalanced samples. We use different copula functions to model the dependence structure between defaults in the two credit markets. We implement the model in the R package BivGEV and we explore the empirical properties of the proposed fitting procedure by a Monte Carlo study. The application of this proposal to a comprehensive data set provided by Lending Club shows a significant level of dependence between the defaults in peer-to-peer and credit bureaus. Finally, we find that our model outperforms the bivariate probit and univariate logit models in predicting peer-to-peer default, in estimating the value at risk and the expected shortfall
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