A note on the field of decision analysis

This note provides a short overview of some history, context and concepts in the field of decision analysis. In particular, we describe the connection between normative, prescriptive and descriptive decision theory, and the connection between several different approaches to value and utility

Copula-based approach for generating lattices, A

Includes bibliographical references (pages 287-289).Published as: Review of Derivatives Research, vol. 18, no. 3, July 2015, pp.263–289, https://doi.org/10.1007/s11147-015-9111-x.Discrete approximations such as binomial and trinomial lattices have been developed to model the intertemporal dynamics of variables in a way that also allows contingent decisions to be included at the appropriate increments in time. In this paper we present an approach for developing these types of models based on copulas. In addition to ease of implementation, a primary benefit of this approach is its generality, and we show that various binomial and trinomial approximation methods for valuing contingent claim securities in the literature are special cases of this approach, each based on a choice of a particular set of probability and/or branching parameters. Because this approach encompasses these and other cases as feasible solutions, we also show how it can be used to optimize the construction of lattices so that discretization error is minimized, and we demonstrate its application for an option pricing example

Can insertion length for a double-lumen endobronchial tube be predicted?

Publisher's copy made available with the permission of the publisherIt has been suggested that the appropriate length of insertion for double-lumen tubes can be estimated by external measurement. This study examined the accuracy of external measurement in estimating the actual length of insertion required in 130 patients. It also examined the relationship between the length inserted and the patient’s height in 126 patients and their weight in 125 patients. Although there was a fair correlation between the measured external length and the final inserted length (r=0.61), the 95% confidence intervals of slope and intercept allowed a large variation and the prediction was too wide to be clinically useful. Height was reasonably well correlated with the final length (r=0.51) but an equally wide 95% confidence interval rendered it of little clinical value. There was no correlation between weight and final tube length. It is concluded that external measurement alone is not adequate to predict a clinically acceptable position of the double-lumen tube.R.A. Dyer, S.A.M. Heijke, W.J. Russell, M.B. Bloch, M.F.M. Jameshttp://www.aaic.net.au/Article.asp?D=200004

Projetos de opções reais com incertezas correlacionadas

Contingent claims are traditionally priced through the use of replicating portfolios, or risk neutral valuation. When markets are incomplete, as it occurs with many projects and is often the case with claims on real assets when firms are subject to private, project specific risks, these risks cannot be hedged and a replicating portfolio cannot be built. This paper proposes a modified approach that enhances the methodology originally developed by Copeland and Antikarov (2001) which provides a practical method to evaluate projects where management flexibility and correlated risks are present, using the concept of partially complete markets by Smith and Nau (1995). Key words: real options, correlated uncertainties, private risks.Ativos contingenciais tradicionalmente são precificados através do uso de portfólio replicantes ou por avaliação neutra a risco. Quando os mercados são incompletos, como ocorre em muitos projetos onde a empresa está sujeita a incertezas privadas, ou técnicas, não sistemáticas, esses riscos não podem ser hedgeados e o portfólio replicante não pode ser construído. Neste trabalho, propomos um método baseado nos procedimentos originalmente desenvolvidos por Copeland e Antikarov (2001), que fornece uma maneira prática e eficaz para avaliar projetos onde existe flexibilidade gerencial e correlação de incertezas usando o conceito de mercados parcialmente completos de Smith e Nau (1995). Para tanto, mostramos como técnicas de análise de árvore de decisão podem ser utilizadas para valorar projetos de opções reais de forma simples e intuitiva, e como o problema da correlação entre riscos de naturezas distintas podem ser resolvidos com esta metodologia através de um exemplo prático. Palavras-chave: opções reais, incertezas correlacionadas, riscos privados

Of Mice and Materials: Payoffs of UNSGC Research Infrastructure Awards

A versatile test facility has been designed and built to study space environments effects on small satellites and system components. Testing for potentially environmental-induced modifications of small satellites is critical to avoid possible deleterious or catastrophic effects over the duration of space mission. This is increasingly more important as small satellite programs have longer mission lifetimes, expand to more harsh environments (such as polar or geosynchronous orbits), make more diverse and sensitive measurements, minimize shielding to reduce mass, and utilize more compact and sensitive electronics (often including untested off-the-shelf components). The vacuum chamber described here is particularly well suited for cost-effective, long-duration tests of modifications due to exposure to simulated space environment conditions for CubeSats, system components, and small scale materials samples of \u3e10 cm X 10 cm. The facility simulates critical environmental components including the neutral gas atmosphere, the FUV/UVMS/NIR solar spectrum, electron plasma fluxes, and temperature. The solar spectrum (-120 nm to 2500 nm) is simulated using an Solar Simulator and Kr resonance lamps at up to four Suns intensity. Low and intermediate electron flood guns and a Sr90 β radiation source provide uniform, stable, electron flux (~ 20 eV to 2.5 MeV) over the CubeSat surface at \u3e5X intensities of the geosynchronous spectrum. Stable temperatures from 100 K to 450 K are possible. An automated data acquisition system periodically monitors and records the environmental conditions, sample photographs, UVMS/NIR reflectivity, IR absorptivity/emissivity, and surface voltage over the CubeSat face and in situ calibration standards during the sample exposure cycle

Projetos de opções reais com incertezas correlacionadas

Contingent claims are traditionally priced through the use of replicating portfolios, or risk neutral valuation. When markets are incomplete, as it occurs with many projects and is often the case with claims on real assets when firms are subject to private, project specific risks, these risks cannot be hedged and a replicating portfolio cannot be built. This paper proposes a modified approach that enhances the methodology originally developed by Copeland and Antikarov (2001) which provides a practical method to evaluate projects where management flexibility and correlated risks are present, using the concept of partially complete markets by Smith and Nau (1995). Key words: real options, correlated uncertainties, private risks.Ativos contingenciais tradicionalmente são precificados através do uso de portfólio replicantes ou por avaliação neutra a risco. Quando os mercados são incompletos, como ocorre em muitos projetos onde a empresa está sujeita a incertezas privadas, ou técnicas, não sistemáticas, esses riscos não podem ser hedgeados e o portfólio replicante não pode ser construído. Neste trabalho, propomos um método baseado nos procedimentos originalmente desenvolvidos por Copeland e Antikarov (2001), que fornece uma maneira prática e eficaz para avaliar projetos onde existe flexibilidade gerencial e correlação de incertezas usando o conceito de mercados parcialmente completos de Smith e Nau (1995). Para tanto, mostramos como técnicas de análise de árvore de decisão podem ser utilizadas para valorar projetos de opções reais de forma simples e intuitiva, e como o problema da correlação entre riscos de naturezas distintas podem ser resolvidos com esta metodologia através de um exemplo prático. Palavras-chave: opções reais, incertezas correlacionadas, riscos privados