Application of stochastic programming to management of cash flows with FX exposure

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University, 23/06/2006.In this thesis we formulate a model for foreign exchange (FX) exposure management and multi-currency cash management taking into consideration random fluctuations of exchange rates and net revenues of a multinational firm (MNF). The central decision model used in this thesis is a scenario-based stochastic programming (SP) recourse model. A critical review of alternative scenario generation methods is given followed by analysis of some desirable properties of the scenario tree. The application of matching statistical moments of a probability distribution to generate a multiperiod scenario tree for our problem is described in detail. A four-stage SP decision model is formulated using the random parameter values. This model evaluates currency / cash flows hedging strategies, which provide rolling decisions on the size and timing of the forward positions. We compute an efficient frontier from which an investor can choose an optimal strategy according to his risk and return preferences. The flexibility of the SP model allows an investor to analyse alternative risk-return trading strategies. The model decisions are investigated by making comparisons with decisions based purely on the expected value problem. The investigation shows that there is a considerable improvement to the "spot only" strategy and provides insight into how these decisions are made. The contributions of the thesis are summarised below. (i) The FX forward scenario trees are derived using an arbitrage-free pricing strategy and is in line with modem principles of finance. (ii) Use of the SP model and forward contracts as a tool for hedging decisions is novel. (iii) In particular smoothing of the effects in exchange rates and the smoothing of account receivables are examples of innovative modelling approaches for FX management

α\alpha-Particle Spectrum in the Reaction p+11^{11}B→α+8Be∗→3α\to \alpha + ^8Be^*\to 3\alpha

Using a simple phenomenological parametrization of the reaction amplitude we calculated $\alpha$-particle spectrum in the reaction p+$^{11}$B$\to \alpha + ^8Be^*\to 3\alpha$ at the resonance proton energy 675 KeV. The parametrization includes Breit-Wigner factor with an energy dependent width for intermediate $^8Be^*$ state and the Coulomb and the centrifugal factors in $\alpha$-particle emission vertexes. The shape of the spectrum consists of a well defined peak corresponding to emission of the primary $\alpha$ and a flat shoulder going down to very low energy. We found that below 1.5 MeV there are 17.5% of $\alpha$'s and below 1 MeV there are 11% of them.Comment: 6 pages, 3 figure

Innovations as a source of competitive advantages formation for retailers

Competitive edges of an enterprise depend on its ability to inculcate innovations. The types of innovations are determined according to the belonging of the enterprise to a specific industry. They reflect the features of the industry. In the article peculiar properties of trade and their progress trends which determine specific features of innovations are selected. The existent classifications of innovations are studied and expedience of their use the trade enterprises. The systematized classification is complemented the author signs: trade form, degree of market saturation, functional strategy, orientation, character of origin and introduction, subject of the initiative, type of services. The results of researches allow to co-ordinate innovative and other functional strategies, to manage of innovative activity of trade enterprises more effectively

Treasury management model with foreign exchange exposure

In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is used to predict the random behaviour of the forward as well as spot rates connecting dollar and sterling. A two­stage stochastic programming (TWOSP) decision model is formulated using these random parameter values. This model computes currency hedging strategies, which provide rolling decisions of how much forward contracts should be bought and how much should be liquidated. The model decisions are investigated through ex post simulation and backtesting in which value at risk (VaR) for alternative decisions are computed. The investigation (a) shows that there is a considerable improvement to "spot only" strategy, (b) provides insight into how these decisions are made and (c) also validates the performance of this model

On rotational solutions for elliptically excited pendulum

The author considers the planar rotational motion of the mathematical pendulum with its pivot oscillating both vertically and horizontally, so the trajectory of the pivot is an ellipse close to a circle. The analysis is based on the exact rotational solutions in the case of circular pivot trajectory and zero gravity. The conditions for existence and stability of such solutions are derived. Assuming that the amplitudes of excitations are not small while the pivot trajectory has small ellipticity the approximate solutions are found both for high and small linear damping. Comparison between approximate and numerical solutions is made for different values of the damping parameter.Comment: 16 pages, 5 figures, 1 tabl

Application of stochastic programming to management of cash flows with FX exposure

In this thesis we formulate a model for foreign exchange (FX) exposure management and multi-currency cash management taking into consideration random fluctuations of exchange rates and net revenues of a multinational firm (MNF). The central decision model used in this thesis is a scenario-based stochastic programming (SP) recourse model. A critical review of alternative scenario generation methods is given followed by analysis of some desirable properties of the scenario tree. The application of matching statistical moments of a probability distribution to generate a multiperiod scenario tree for our problem is described in detail. A four-stage SP decision model is formulated using the random parameter values. This model evaluates currency / cash flows hedging strategies, which provide rolling decisions on the size and timing of the forward positions. We compute an efficient frontier from which an investor can choose an optimal strategy according to his risk and return preferences. The flexibility of the SP model allows an investor to analyse alternative risk-return trading strategies. The model decisions are investigated by making comparisons with decisions based purely on the expected value problem. The investigation shows that there is a considerable improvement to the "spot only" strategy and provides insight into how these decisions are made. The contributions of the thesis are summarised below. (i) The FX forward scenario trees are derived using an arbitrage-free pricing strategy and is in line with modem principles of finance. (ii) Use of the SP model and forward contracts as a tool for hedging decisions is novel. (iii) In particular smoothing of the effects in exchange rates and the smoothing of account receivables are examples of innovative modelling approaches for FX management.EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Alpha Channeling in a Rotating Plasma

The wave-particle alpha-channeling effect is generalized to include rotating plasma. Specifically, radio frequency waves can resonate with alpha particles in a mirror machine with ExB rotation to diffuse the alpha particles along constrained paths in phase space. Of major interest is that the alpha-particle energy, in addition to amplifying the RF waves, can directly enhance the rotation energy which in turn provides additional plasma confinement in centrifugal fusion reactors. An ancillary benefit is the rapid removal of alpha particles, which increases the fusion reactivity.Comment: 4 pages and 3 figure