An Approach to Quantify the Heat Wave Strength and Price a Heat Derivative for Risk Hedging

Mitigating the heat stress via a derivative policy is a vital financial option for agricultural producers and other business sectors to strategically adapt to the climate change scenario. This study has provided an approach to identifying heat stress events and pricing the heat stress weather derivative due to persistent days of high surface air temperature (SAT). Cooling degree days (CDD) are used as the weather index for trade. In this study, a call-option model was used as an example for calculating the price of the index. Two heat stress indices were developed to describe the severity and physical impact of heat waves. The daily Global Historical Climatology Network (GHCN-D) SAT data from 1901 to 2007 from the southern California, USA, were used. A major California heat wave that occurred 20-25 October 1965 was studied. The derivative price was calculated based on the call-option model for both long-term station data and the interpolated grid point data at a regular 0.1 ×0.1 latitude-longitude grid. The resulting comparison indicates that (a) the interpolated data can be used as reliable proxy to price the CDD and (b) a normal distribution model cannot always be used to reliably calculate the CDD price. In conclusion, the data, models, and procedures described in this study have potential application in hedging agricultural and other risks.     

Managing Technological and Financial Uncertainty: A Decision Science Approach for Strategic Drilling Decisions

This paper presents a framework to improve the quality of investment decisions in petroleum. The model presented enables the decision-maker to explicitly consider two major objectives when evaluating new petroleum opportunities—financial and technological gain. We utilize MultiAttribute Utility Theory (MAUT) to consider simultaneously the technological challenges of petroleum exploration into the capital budgeting process of an exploration and production firm. The MAUT methodology presented in this work demonstrates that in some mature areas the advantages to exploration are restricted further only to financial gain, based upon the present economic potential of the basin. On the other hand, other seemingly less attractive areas, such as deep horizons in deep-water basins, may represent attractive targets for new exploration as a result of the interaction of financial gain and technological advancement. This advantage reflects the technological gain as a key factor for future operations for oil discoveries in areas with big geological potential. The model presented in this work enables the decision-maker to consider explicitly the risk and rewards associated with both financial and technological payoffs, the decision-maker's tolerance for those types of risks, and the relative importance of each of those objectives in the context of ongoing petroleum exploration decisions.     

贴现因子不同的劳动力市场博奕

主要讨论了贴现因子不同下的两阶段劳动力市场动态博奕，给出了各局中人各自的精炼贝叶斯均衡（PBE），并据此对现实中的失业下岗现象进行了分析。     

金融领域的随机建模与基于软件R的MonteCarlo模拟(3):随机对数线性模型

主要研究了随机对数线性(SLL)模型以及如何基于SLL模型计算欧式期权平均收益.此外,还演绎了资产价格的Monte Carlo模拟.     

Payoff-based accumulative effect promotes cooperation in spatial prisoner's dilemma

We study the effect of accumulative payoff on the evolution of cooperation in the evolutionary prisoner's dilemma on a square lattice. We introduce a decaying factor for the accumulative payoff, which characterizes the extent that the historical payoff is accumulated. It is shown that for fixed values of the temptation to defect, the density of cooperators increases with the value of the decaying factor. This indicates that the more the historical payoff is involved, the more favourable cooperators become. In the critical region where the cooperator density converges to zero, cooperators vanish according to a power-law-like behaviour. The associated exponents agree approximately with the two-dimensional directed percolation and depend weakly on the value of the decaying factor.     

国际旅游支付方程、支付等级与旅游偏好

利用 90年代截面数据 ,分析国际旅游支付与人均GNP的关系 ,建立一个回归模型反映国际旅游支付 ;据此方程将国际旅游支付能力划分为高、中、低三个等级 ,揭示各等级旅游支付与人均GNP的对应关系 ;又依据实际旅游支出与模型计算值之偏差 ,将国际旅游偏好划分为强、中、弱三种类型 ;阐述一个包括支付等级和旅游偏好双指标的国际旅游综合分类方案 ,为分析和预测国际旅游支付市场提供新根据。