Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

This paper presents an efficient Monte Carlo simulation scheme based on the variance reduction methods to evaluate arithmetic average Asian options in the context of the double Heston's stochastic volatility model with jumps. This paper consists of two essential parts. The first part presents a new flexible stochastic volatility model, namely, the double Heston model with jumps. In the second part, by combining two variance reduction procedures via Monte Carlo simulation, we propose an efficient Monte Carlo simulation scheme for pricing arithmetic average Asian options under the double Heston model with jumps. Numerical results illustrate the efficiency of our method.     

Healthy Barbs: Activism Confronts Mortality

Barbara Brenner, JD, was the Executive Director of Breast Cancer Action (BCA) from 1995–2010. Before that, she was a longtime activist in the anti-war movement and an attorney who, for most of her career, practiced public policy law. After she was diagnosed with breast cancer in 1993 at the age of 41, she took the helm of BCA. Under her leadership, the organization moved into a position of national advocacy—demanding research on the causes and prevention of breast cancer, including the role of industrial pollutants. Barbara started the “Think Before You Pink” campaign, encouraging people to question whether companies that display pink ribbons actually produce products that harm women's health or generate any funds to fight breast cancer. Her blog, “Healthy Barbs,” challenged readers to critique routine healthcare practices and policies. Barbara received numerous awards, including a Jefferson Award for Public Service in 2007, the Smith College Medal in 2012, and the ACLU-Northern California's Lola Hanzel Courageous Advocacy Award in 2012. Barbara had a recurrence of breast cancer in 1996. She died of complications associated with amyotrophic lateral sclerosis, ALS, on May 10, 2013.     

Stochastic comparisons between extreme order statistics from scale models

Stochastic ordering relations between extreme order statistics from exponential, Weibull and gamma distributions have been studied extensively by many researchers in recent years. In this work, we obtain various ordering results for the comparisons of two extreme order statistics from scale models when one set of scale parameters majorizes the other. The new results obtained here are applied when the baseline distributions are exponentiated Weibull or generalized gamma distributions. In this way, we generalize and extend some results established recently in the literature.     

Foodborne Exposure to Pesticides and Methylmercury in the United Arab Emirates

As part of a comprehensive environmental health strategic planning project initiated by the government of Abu Dhabi, we assessed potential dietary exposure in the United Arab Emirates (UAE) to methylmercury (in seafood) and pesticides (in fruits and vegetables) above international guideline levels. We present results for the UAE population by age, gender, and body mass index. Our results show very low daily risks of exposure to pesticides in fruits and vegetables at levels exceeding WHO guidelines even under the conservative assumption that no pesticides are removed during washing and food preparation. Thus, exposure to pesticides on fruits and vegetables does not appear to be a major public health concern in the UAE. The chances of exposure to methylmercury in seafood are much higher; our model estimates a mean 1 in 5 daily risk of exceeding the FAO/WHO provisional tolerable weekly intake. However, great caution should be used in interpreting these results, as we analyzed only the risks and not the substantial benefits of fish consumption. In fact, previous studies have demonstrated that exposure to the n‐3 polyunsaturated fatty acids in fish can increase IQ in developing children, and it can substantially decrease the risk in adults of coronary heart disease and stroke. Further research is warranted to compare the risk of Me‐Hg exposure from fish to the nutritional benefits of fish consumption in the UAE and to determine appropriate methods to communicate risk and benefit information to the UAE population.     

Production and changeover control policies of a class of failure prone buffered flow-shops

This article deals with a stochastic optimal control problem for a class of buffered multi-parts flow-shops manufacturing system. The involved machines are subject to random breakdowns and repairs. The flow-shop under consideration is not completely flexible and hence requires setup time and cost in order to switch the production from a part type to another, this changeover is carried on the whole line. Our objective is to find the production plan and the sequence of setups that minimise the cost function, which penalises inventories/backlogs and setups. A continuous dynamic programming formulation of the problem is presented. Then, a numerical scheme is adopted to solve the obtained optimality conditions equations for a two buffered serial machines two parts case. A complete heuristic policy, based on the numerical observations which describe the optimal policies in system states, is developed. It will be shown that the obtained policy is a combination of a KANBAN/CONWIP and a modified hedging corridor policy. Moreover, based on our observations and existent research studies extension to cover more complex flow-shops is henceforth possible. The robustness of such a policy is illustrated through sensitivity analysis.     

Unraveling quantity discounts

We consider the situation in which a buying organization deals with a discrete quantity discount schedule offered by a selling organization. Furthermore, the buying organization can negotiate with the selling organization about the lot size and purchase price, but does not know the underlying function that was used by the selling organization to determine the quantity discount schedule. In this paper, we provide an analytical and empirical basis for one general quantity discount function (QDF) that can be used to describe the underlying function of almost all different quantity discount types. We first develop such a QDF analytically. Among other things, this QDF enables buying organizations to calculate detailed prices for a large number of quantities. We subsequently show that the QDF fits very well with 66 discount schedules found in practice. We discuss that the QDF and related indicators can be a useful tool in supplier selection and negotiation processes. It can also be used for competitive analyses, multiple sourcing decisions, and allocating savings for purchasing groups. Additionally, the QDF can be included in research models incorporating quantity discounts. We conclude the paper with an outlook on further QDF research regarding the characterization of commodity markets from a demand elasticity point of view.     

An evaluation of the tandem configuration automated guided vehicle system

The performance of a tandem automated guided vehicle (AGV) system is compared with that of conventional AGV track systems. In the tandem system the track is divided into non-overlapping, single-vehicle closed loops. Using simulation it is shown that, because of trips requiring delivery across loops, the tandem system has a higher expected travel time per load and thus a greater average time in system. When the loads are delivered within the original loop only, the tandem system has a lower average time in system than in conventional systems, although the difference is modest. Track layout appears to influence the average time in system much more than docs the dispatching rule invoked. The success of the tandem system is highly dependent on approximately even AGV utilization, which may be difficult to obtain in practice.     

The Continuum of Care System

Abstract

The Continuum of Care System is a Decision Support System designed to assist social workers responsible for identifying and selecting alternative living arrangements for children unable to remain in their own families. The Continuum of Care System consists of two software packages called MATCH and PROFILE. MATCH produces a rank-ordered list of prospective placement alternatives by statistically comparing an individual child to groups of children previously admitted into different residential facilities. PROFILE summarizes the characteristics and problems of children at each facility in the system.     

Oiling the wheels? Flexible labour markets and the migration industry

ABSTRACT

The growing commercialisation of migration, often through a multiplicity of labour market intermediaries, is an issue of increasing academic interest. We seek to contribute to an emerging research agenda on the migration industries by exploring how one of the key actors that constitutes it, recruitment agencies, sits at the nexus between flexible labour market structures and migrant labour. Interviews with U.K. labour providers and low-wage employers form the evidence base for an analysis of the strategies developed by recruiters to derive commercial gain from connecting the so-called ‘supply’ and ‘demand’ sides of the flexible international labour market. We seek to contribute to understandings of the analytical categories within migration systems by illustrating how the migration industry interacts with other key stakeholders to structure international migration.     

Equilibrium Labor Turnover,Firm Growth,and Unemployment

This paper considers equilibrium quit turnover in a frictional labor market with costly hiring by firms, where large firms employ many workers and face both aggregate and firm specific productivity shocks. There is exogenous firm turnover as new (small) startups enter the market over time, while some existing firms fail and exit. Individual firm growth rates are disperse and evolve stochastically. The paper highlights how dynamic monopsony, where firms trade off lower wages against higher (endogenous) employee quit rates, yields excessive job‐to‐job quits. Such quits directly crowd out the reemployment prospects of the unemployed. With finite firm productivity states, stochastic equilibrium is fully tractable and can be computed using standard numerical techniques.