{"id":247,"date":"2009-05-08T17:29:38","date_gmt":"2009-05-08T08:29:38","guid":{"rendered":"https:\/\/orsj.org\/chubu\/?p=247"},"modified":"2024-07-18T14:09:04","modified_gmt":"2024-07-18T05:09:04","slug":"2009%e5%b9%b4%e5%ba%a6%e7%ac%ac1%e5%9b%9e%e6%94%af%e9%83%a8%e7%a0%94%e7%a9%b6%e4%bc%9a613%e3%81%ae%e3%81%8a%e7%9f%a5%e3%82%89%e3%81%9b","status":"publish","type":"post","link":"https:\/\/orsj.org\/chubu\/?p=247","title":{"rendered":"2009\u5e74\u5ea6\u7b2c1\u56de\u652f\u90e8\u7814\u7a76\u4f1a(6\/13)\u306e\u304a\u77e5\u3089\u305b"},"content":{"rendered":"

\u672c\u5e74\u5ea6\u306e\u7b2c\uff11\u56de\u3081\u306e\u652f\u90e8\u7814\u7a76\u4f1a\u3092\u958b\u50ac\u3044\u305f\u3057\u307e\u3059\uff0e
\n\u4eca\u56de\u306f\uff0c\u5357\u5c71\u5927\u5b66\u306e\u4f50\u3005\u6728\u5148\u751f\u304a\u3088\u3073North Texas\u5927\u5b66\u306eAllaart\u5148\u751f\u306b\u5fa1\u8b1b\u6f14\u3044\u305f\u3060\u304d\u307e\u3059\uff0e
\n\u3067\u304d\u308b\u3060\u3051\u591a\u304f\u306e\u65b9\u306e\u3054\u53c2\u52a0\u3092\u304a\u9858\u3044\u7533\u3057\u4e0a\u3052\u307e\u3059\uff0e<\/p>\n

\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\u3000\u3000\u3000\u8a18\u3000\u3000\u3000\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d
\n\u65e5\u6642<\/strong>\uff1a6\u670813\u65e5\uff08\u571f\uff0915\u6642\uff5e17\u664230\u5206
\n\u5834\u6240<\/strong>\uff1a\u611b\u77e5\u5927\u5b66 \u8eca\u9053\u6821\u820e 201\u5ba4 <\/a>
\n\u3000\u3000\u3000\u3000\u3000\u540d\u53e4\u5c4b\u5e02\u5730\u4e0b\u9244 \u685c\u901a\u7dda \u8eca\u9053\u99c5\u4e0b\u8eca \u5f92\u6b692\u5206
\n\u8b1b\u6f14<\/strong>\uff1a <\/p>\n

\nTitle 1<\/em> :
\nHub Arc Location with Competition
\nAuthors<\/em> :
\nMihiro Sasaki (Nanzan University)
\nJames F. Campbell (University of Missouri – St. Louis, USA)
\nAndreas T. Ernst (CSIRO, Australia)
\nMohan Krishnamoorthy (Monash University, Australia)
\nAbstract<\/em> :
\nWe 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.\n<\/p><\/blockquote>\n

\nTitle 2<\/em>
\nOptimal exercise times for American and Russian options under a correlated random walk model”
\nAuthor<\/em> :
\nPieter Allaart (University of North Texas, USA)
\nAbstract<\/em> :
\nA 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.\n<\/p><\/blockquote>\n

\u61c7\u89aa\u4f1a<\/strong>\uff1a\u8b1b\u6f14\u7d42\u4e86\u5f8c\u306b\u61c7\u89aa\u4f1a\u3092\u884c\u3044\u307e\u3059\uff0e
\n\u5fa1\u51fa\u5e2d\u9802\u3051\u308b\u5834\u5408\u306b\u306f\uff0c\u61c7\u89aa\u4f1a\u4f1a\u5834\u4e88\u7d04\u306e\u90fd\u5408\u306e\u305f\u3081\u306b\uff0c\u4e88\u3081\u304a\u77e5\u3089\u305b\u9802\u3051\u308c\u3070\u5e78\u3044\u306b\u5b58\u3058\u307e\u3059\uff0e\u5927\u9444 ohi.fumio[at]nitech.ac.jp \u307e\u3067\u304a\u77e5\u3089\u305b\u4e0b\u3055\u3044\uff0e
\n\u4f1a\u8cbb\u306f\uff0c5\u5343\u5186\u304b\u30896\u5343\u5186\u306e\u9593\u3092\u4e88\u5b9a\u3057\u3066\u3044\u307e\u3059\uff0e<\/p>\n

\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d
\n\u3054\u8b1b\u6f14\u306e\u69d8\u5b50
\n\u3000\"sasa\"\u3000\"al\"<\/p>\n","protected":false},"excerpt":{"rendered":"

\u672c\u5e74\u5ea6\u306e\u7b2c\uff11\u56de\u3081\u306e\u652f\u90e8\u7814\u7a76\u4f1a\u3092\u958b\u50ac\u3044\u305f\u3057\u307e\u3059\uff0e \u4eca\u56de\u306f\uff0c\u5357\u5c71\u5927\u5b66\u306e\u4f50\u3005\u6728\u5148\u751f\u304a\u3088\u3073North Texas\u5927\u5b66\u306eAllaart\u5148\u751f\u306b\u5fa1\u8b1b\u6f14\u3044\u305f\u3060\u304d\u307e\u3059\uff0e \u3067\u304d\u308b\u3060\u3051\u591a\u304f\u306e\u65b9\u306e\u3054\u53c2\u52a0\u3092\u304a\u9858\u3044\u7533\u3057\u4e0a\u3052\u307e\u3059\uff0e \uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d\uff0d … \u7d9a\u304d\u3092\u8aad\u3080 →<\/span><\/a><\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"footnotes":""},"categories":[8],"tags":[],"class_list":["post-247","post","type-post","status-publish","format-standard","hentry","category-8"],"_links":{"self":[{"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=\/wp\/v2\/posts\/247","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=247"}],"version-history":[{"count":10,"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=\/wp\/v2\/posts\/247\/revisions"}],"predecessor-version":[{"id":3072,"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=\/wp\/v2\/posts\/247\/revisions\/3072"}],"wp:attachment":[{"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=247"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=247"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/orsj.org\/chubu\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=247"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}