本年度の第１回めの支部研究会を開催いたします．
今回は，南山大学の佐々木先生およびNorth Texas大学のAllaart先生に御講演いただきます．
できるだけ多くの方のご参加をお願い申し上げます．
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日時：6月13日（土）15時～17時30分
場所：愛知大学 車道校舎 201室
名古屋市地下鉄 桜通線 車道駅下車 徒歩2分
講演：
Title 1 :
Hub Arc Location with Competition
Authors :
Mihiro Sasaki (Nanzan University)
James F. Campbell (University of Missouri – St. Louis, USA)
Andreas T. Ernst (CSIRO, Australia)
Mohan Krishnamoorthy (Monash University, Australia)
Abstract :
We consider the design of large-scale hub-and-spoke transportation networks in a competitive environment. We adopt the hub arc location model that locates arcs with discounted transport costs connecting pairs of hub facilities. Two firms compete for customers in a Stackelberg framework where the leader firm locates hub arcs to maximize its revenue, given that the follower will subsequently locate its own hub arcs to maximize its own revenue. Several mechanisms are presented to allocate traffic between the two firms based on the relative utility of travel via the competing hub networks. Results with up to three hub arcs for each competing .rm show the role of a competitive environment in designing transportation systems.
Title 2
Optimal exercise times for American and Russian options under a correlated random walk model”
Author :
Pieter Allaart (University of North Texas, USA)
Abstract :
A popular notion among stock market technical analysts holds that movements in security prices are not memoryless. In particular, price changes from one day (or hour, etc.) to the next affect succeeding day changes. Various assertions have been given to justify this idea of price momentum. Although there is of course no general agreement that stock price movements follow any other kind of process than a random walk, it is of interest to see how an investor could take advantage of momentum in the market, if present. In this talk I will consider a simple correlated random walk model for stock price movements, and discuss the optimal stopping problems that arise naturally from trying to correctly price perpetual American and Russian options under this model.
懇親会：講演終了後に懇親会を行います．
御出席頂ける場合には，懇親会会場予約の都合のために，予めお知らせ頂ければ幸いに存じます．大鑄 ohi.fumio[at]nitech.ac.jp までお知らせ下さい．
会費は，5千円から6千円の間を予定しています．
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ご講演の様子
