Sökning: "Nonlinear pricing"

Visar resultat 1 - 5 av 11 avhandlingar innehållade orden Nonlinear pricing.

1. 1. Essays on Nonlinear Pricing and Welfare

   Författare :Tommy Andersson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; ekonomisk teori; ekonomiska system; ekonomisk politik; economic policy; Nationalekonomi; ekonometri; economic systems; economic theory; econometrics; Economics; Monopoly.; Welfare; Budget-balance; Redistribution; Envy-freeness; Nonlinear pricing;

   Sammanfattning : The price of a good is said to be nonlinear if the unit price not is constant but depends on some aspect of the quantity (or quality) purchased. This form of pricing is commonly used in many industries, e.g. the electricity and water industries, and has many desirable properties. LÄS MER

3. 2. Feasible Direction Methods for Constrained Nonlinear Optimization : Suggestions for Improvements

   Författare :Maria Mitradjieva-Daneva; Maud Göthe-Lundgren; Torbjörn Larsson; Clas Rydergren; Anders Forsgren; Linköpings universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; constrained nonlinear optimization; feasible direction methods; conjugate directions; traffic equilibrium problem; sequential linear programming algorithm; stochastic transportation problem; Optimization; systems theory; Optimeringslära; systemteori;

   Sammanfattning : This thesis concerns the development of novel feasible direction type algorithms for constrained nonlinear optimization. The new algorithms are based upon enhancements of the search direction determination and the line search steps. LÄS MER

4. 3. Radial basis function methods for pricing multi-asset options

   Författare :Victor Shcherbakov; Elisabeth Larsson; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

   Sammanfattning : The price of an option can under some assumptions be determined by the solution of the Black–Scholes partial differential equation. Often options are issued on more than one asset. In this case it turns out that the option price is governed by the multi-dimensional version of the Black–Scholes equation. LÄS MER

5. 4. Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

   Författare :Daniel Deng; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

   Sammanfattning : Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 - July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. LÄS MER

7. 5. Localised Radial Basis Function Methods for Partial Differential Equations

   Författare :Victor Shcherbakov; Elisabeth Larsson; Grady B. Wright; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Radial basis function; Partition of unity; Computational finance; Option pricing; Credit default swap; Glaciology; Fluid dynamics; Non-Newtonian flow; Anisotropic RBF; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

   Sammanfattning : Radial basis function methods exhibit several very attractive properties such as a high order convergence of the approximated solution and flexibility to the domain geometry. However the method in its classical formulation becomes impractical for problems with relatively large numbers of degrees of freedom due to the ill-conditioning and dense structure of coefficient matrix. LÄS MER