Analysis of a Prey-Predator Fishery Model. with Prey Reserve
|
|
- Marilynn Goodman
- 5 years ago
- Views:
Transcription
1 Applied Mathematical Sciences, Vol., 007, no. 50, Analysis of a Prey-Predator Fishery Model with Prey Reserve Rui Zhang, Junfang Sun and Haixia Yang School of Mathematics, Physics & Software Engineering Lanzhou Jiaotong University, Lanzhou, Gansu , China Abstract In this paper, we consider a prey-predator fishery model with prey dispersal in a two-patch environment, one is assumed to be a free fishing zone and the other is a reserved zone where fishing and other extractive activities are prohibited. The existence of biological and bionomic equilibrium of the system is discussed. The local and global stability analysis has been carried out. An optimal harvesting policy is given using Pontryagin s maximum principle. Keywords: Prey-predator; Global stability; Optimal harvesting Introduction Biological resources are renewable resources. Economic and biological aspects of renewable resources management have been considered by Clark []. In recent years, the optimal management of renewable resources, which has a direct relationship to sustainable development, has been studied extensively by many authors [-7]. The reason is that mankind is facing the problems about shortage of resource at present. Extensive and unregulated harvesting of marine fishes can even lead to the depletion of several fish species. One potential solution to these problems is the creation of marine reserves where fishing and other extractive activities are prohibited. Marine reserve not only protect species inside the reserve area but they can also increase fish abundance Corresponding author. sunjf8@63.com
2 48 Rui Zhang, Junfang Sun and Haixia Yang in adjacent areas. Mathematical model of ecological system, reflecting these problems, has been given in Kar and Swarnakamal [6]. The paper is mainly concerned with the following prey-predator system dx = r x ( x K dt ) αx y σ x + σ x q E x, dx = r x ( x K dt )+σ x σ x, (.) dy = dy + kαx y q E y. dt Here, x (t) and y(t) are biomass densities of prey species and predator species inside the unreserved area which is an open-access fishing zone, respectively, at time t. x (t) is the biomass density of prey species inside the reserved area where no fishing is permitted at time t. All the parameters are assumed to be positive. r and r are the intrinsic growth rates of prey species inside the unreserved and reserved areas, respectively. d, α and k are the death rate, capturing rate and conversion rate of predators, respectively. and are the carrying capacities of prey species in the unreserved and reserved areas, respectively. σ and σ are migration rates from the unreserved area to the reserved area and the reserved area to the unreserved area, respectively. E and E are the effects applied to harvest the prey species and predator species in the unreserved area. q and q are the catchability coefficients. Considering the biological background, we only care about the dynamics of system (.) in the closed first quadrantr+ 3. Here we observe that, if there is no migration of fish population from the reserved area to the unreserved area (i.e., σ = 0) and r σ q E < 0, then ẋ < 0. Similarly, if there is no migration of fish population from the unreserved area to the reserved area (i.e., σ = 0) and r σ < 0, then. x < 0. Hence, throughout out analysis, we assume that r σ q E > 0, r σ > 0. (.) Existence of equilibria Equating the derivatives on the left hand sides to zero and solving the resulting algebraic equations we can find three possible equilibrium R (0, 0, 0),R ( x, x, 0) and R 3 (,x,y ).
3 Prey-predator fishery model 483 Here, x = σ [(σ + q E r ) x + r x ] and x is the positive solution of the following equation where c x 3 + c x + c 3x + c 4 =0, (.) c = r r σ > 0, c = r r (r σ q E ) σ c 3 = r (r σ q E ) σ < 0, r (r σ ) σ, c 4 = (r σ ) σ (r σ q E ) σ. Eq. (.) has a unique positive solution x = x if the following inequalities hold: For x to be positive, we must have r (r σ q E ) < r (r σ ) σ (r σ )(r σ q E ) >σ σ. (.) x > (r σ q E ) r. (.3) Again, = d+q E kα,x = {r σ +[(r σ ) +4r σ /] / }/r, y = (r σ q E ) r x K +σ x. α For y to be positive, we must have 3 Stability analysis (r σ q E ) + σ x > r x. (.4) In the absence of predator species, the model (.) becomes dx = r x ( x ) σ x + σ x q E x, dt dx dt = r x ( x )+σ x σ x, (3.)
4 484 Rui Zhang, Junfang Sun and Haixia Yang which has two equilibria, R(0, 0) and a positive equilibrium R( x, x ) if (.) and (.3) hold. The Jacobian matrix of the system (3.) is ( ) r r x σ q E σ σ r r (3.) x σ The characteristic equation of the Jacobian matrix of (3.) at R is λ (r σ q E + r σ )λ +(r σ q E )(r σ ) σ σ =0. (3.3) Since λ + λ = r σ q E + r σ > 0 and λ λ =(r σ q E )(r σ ) σ σ > 0. Hence R(0, 0) is unstable. Similarly, the characteristic equation of the Jacobian matrix of (3.) at R is λ +( r x + r x + σ x + σ x )λ + r x ( r x + σ x )+ r σ x. (3.4) x x x x Since λ + λ = ( r x + r x + σ x x + σ x x ) < 0. and λ λ = r x ( r x + σ x x )+ r σ x x > 0. Thus R( x, x ) is locally asymptotically stable. Let us now suppose that system (.) has a unique positive equilibrium R 3 (,x,y ). The Jacobian matrix of (.) at R 3 is r r αy σ q E σ α σ r r x σ 0 kαy 0 d + kα q E The characteristic equation of the Jacobian matrix of (.) at R 3 is where a = r + r x + σ x (3.5) λ 3 + a λ + a λ + a 3 =0, (3.6) + σ, x a =( r K + σ x )( r x K + σ )+σ σ + kα y, a 3 =kα y ( r x + σ ). x x
5 Prey-predator fishery model 485 According to Routh-Hurwitz criteria, the necessary and sufficient conditions for local stability of equilibrium point R 3 are a > 0, a 3 > 0 and a a a 3 > 0. It is evident that a > 0, a 3 > 0. Thus, the stability of R 3 is determined by the sign of a a a 3. By direct calculations, we obtain a a a 3 =( r + r x + σ x + σ )[( r x + kα y ( r K + σ x ) > 0. K + σ x )( r x K + σ )+σ σ ] x Hence R 3 (,x,y ) is locally asymptotically stable. Theorem. The equilibrium point R is globally asymptotically stable. Proof. Let us consider the following Lyapunov function: V (x,x )=ω (x x x ln x x )+ω (x x x x x ), where ω,ω are positive constants, to be chosen later on. Differentiating V with respect to time t, we get dv dt = ω (x x ) dx x dt + ω (x x ) dx x dt. Choosing ω ω = x x σ σ, a little algebraic manipulation yields dv dt = r ω σ x σ x (x x ) r ω (x x ) ω σ x x x ( x x x x ) < 0. Therefore, R( x, x ) is globally asymptotically stable. Theorem. R 3 (,x,y ) is globally asymptotically stable. Proof. Let us choose the Lyapunov function V (x,x,y)=ω (x x ln x )
6 486 Rui Zhang, Junfang Sun and Haixia Yang +ω (x x x ln x )+ω x 3 (y y y ln y y ), where ω,ω and ω 3 are positive constants, to be chosen later on. Differentiating V with respect to time t, we get dv dt = ω (x ) dx x dt + ω (x x ) dx x dt + ω (y y ) dy 3 y dt. Choosing ω ω 3 = k, ω ω = x σ x σ, a little algebraic manipulation yields dv dt = r ω (x K ) r ω σ x σ (x x ) ω σ (x x x ) x x < 0. Therefore, R 3 (,x,y ) is globally asymptotically stable. 4 Bionomic equilibrium Let c =fishing cost per unit effort for prey species, c =fishing cost per unit effort for predator species, p =price per unit biomass of the prey, p =price per unit biomass of the predator. Therefore, the economic rent(net revenue)at any time is given by Π=(p q x c )E +(p q y c )E =Π +Π where Π =(p q x c )E, Π =(p q y c )E i.e., Π and Π represent the net revenues for the prey and predator species, respectively. The bionomic equilibrium (x,x,y,e,e ) is given by the following simultaneous equations r x ( x ) αx y σ x + σ x q E x =0, (4.) r x ( x )+σ x σ x =0, (4.) d + kαx q E =0, (4.3) Π=(p q x c )E +(p q y c )E =0. (4.4)
7 Prey-predator fishery model 487 In order to determine the bionomic equilibrium, we now consider the following cases: Case : If c > p q y, i.e.the cost is greater than the revenue for the predator, then the predator fishing will be stopped (E = 0). Only the prey fishing remains operational (i.e.c <p q x ). We then have x = c p q,x = r {r σ +[(r σ ) r +4σ c p q ] / }. Since c <p q x <p q. Hence c p q > 0. (y,e ) will be any point on the line σ + αy + q E = r ( c p q )+ σ p q r c {r σ +[(r σ ) +4σ r c p q ] / } in the first quadrant of the ye plane. Case : If c >p q x, i.e.the cost is greater than the revenue in the prey fishing, then prey fishing will be closed (E =0). Only predator fishing remains operational (i.e.c <p q y). We then have y = c p q. Substituting y into (4.) we get x = σ [ αc p q x + σ x r x ( x K )], x is the positive solution of the following equation where c x 3 + c x + c 3x + c 4 =0, (4.5) c = r r > 0, Kσ c = r r (r σ αc p q ), σ c 3 = r (r σ αc p q ) r (r σ ), σ σ c 4 = (r σ ) (r σ αc ) σ. σ p q Now, if () r σ αc p q < 0, r (r σ σ or () r σ αc p q > 0, r (r σ σ σ σ. αc ) p q αc ) p q < r (r σ ) σ, < r (r σ ) σ, (r σ )(r σ αc p q ) >
8 488 Rui Zhang, Junfang Sun and Haixia Yang then Eq (4.5) has a unique positive solution x = x. For x to be positive, we must have Substituting x into (4.3) we get x > σ r αc p q r. E = kαx d. q E > 0, provided kαx >d. Case 3: If c >p q x,c >p q y, then the cost is greater than revenues for both the species and the whole fishery will be closed. Case 4: If c <p q x,c <p q y, then the revenues for both the species being positive, then the whole fishing will be in operation. In this case, x = c /p q and y = c /p q. Now substituting x and y into (4.), (4.) and (4.3), we get and Now, x = {r σ +[(r σ ) r c +4σ ] / }, r p q (4.6) E = r ( c )+ p σ x σ αc, q p q c q q p q (4.7) E = kαc p q q d q. (4.8) E > 0, if r q ( c p q )+ p σ x c > σ q + αc q p q, (4.9) E > 0, if kαc >d. (4.0) p q Thus the nontrivial bionomic equilibrium point (x,x,e E ) exists if conditions (4.9) and (4.0) hold. 5 Optimal harvesting policy In this section, our objective is to maximize the present value J of a continuous time stream of revenues given by J = 0 e δt {(p q x c )E (t)+(p q y c )E (t)}dt, (5.)
9 Prey-predator fishery model 489 where δ denotes the instantaneous annual rate of discount. We intend to maximize (5.) subject to the state equations (.) by invoking Pontryagin s maximal principle (Clark []). The control variable E i (t)(i =, ) are subjected to the constraints 0 E i (t) (E i ) max. The Hamiltonian for the problem is given by H =e δt [(p q x c )E +(p q y c )E ]+λ [r x ( x / ) αx y σ x + σ x q E x ]+λ [r x ( r / )+σ x σ x ] + λ 3 ( dy + kαx y q E y), where λ,λ and λ 3 are the adjoint variables (Clark []). The control variables E and E appear linearly in the Hamiltonian function H. Assuming that the control constraints are not binding i.e., the optimal solution does not occur at (E i ) max or (E i ) max, we have singular control (Clark []). According to Pontryagin s maximum principle H H dλ =0; =0; E E dt = H dλ ; x dt = H dλ 3 ; x dt = H y. Substitution and simplification yields dh =0 λ = e δt (p c ), (5.) de q x dh =0 λ 3 = e δt (p c ), (5.3) de q y dλ dt = [e δt p q E + λ (r r x αy σ q E )+λ σ + λ 3 kαy], (5.4) dλ dt = [λ σ + λ (r r x σ )], (5.5) dλ 3 dt = [e δt p q E λ αx + λ 3 ( d + kαx q E )]. (5.6) Now, Substituting λ and λ 3 into (5.6) and using equilibrium equations we get y = δc q q p q (δ + d kα)+(p q c )αq. (5.7)
10 490 Rui Zhang, Junfang Sun and Haixia Yang From (5.5), we get dλ dt A λ = A e δt, whose solution is given by λ (t) = A A + δ e δt, (5.8) where A = r x + σ,a x =(p c q )σ x. From (5.4), we get dλ A dt 3 λ = A 4 e δt, whose solution is given by λ (t) = A 4 A 3 + δ e δt, (5.9) where A 3 = r + σ x, A x 4 = p q E + A +(p A +δ c q )kαy. y From (5.) and (5.9), we get the singular path (p c )= A 4 q A 3 + δ. (5.0) Using x = r {r σ +[(r σ ) + 4r σ ] / } and y δc = q, A q p q (δ+d kα )+αq (p q c ),A 3 and A 4 can be written as A = (r σ )+ [(r σ ) +4r σ / ] / + σ r /{r σ +[(r σ ) +4r σ /] / }, A 3 = r K + σ {r r x σ +[(r σ ) +4r σ /] / }, A 4 =p q E +(p c )σ /{ q x (r σ )+ [(r σ ) +4r σ /] / + σ r /r σ +[(r σ ) +4r σ / ] / + δ} + δkαq c p /[q p q (δ + d kα )+(p q c )αq ] kαc q. Thus (5.0) can be written as F ()=(p c ) A 4 q A 3 + δ =0. There exists a unique positive root = x δ of F () = 0 in the interval 0 < <, if the following inequalities hold: F (0) < 0,F( ) > 0,F () > 0 for > 0.
11 Prey-predator fishery model 49 For = x δ, we get y = y δ from (5.7) We then have and x δ = {r σ +[(r σ ) +4r σ x δ / ] / }, r E δ = {r ( x δ ) σ + σ x δ αy δ }, q x δ E δ = q ( d + kαx δ ). Hence once the optimal equilibrium (x δ,x δ,y δ ) is determined, the optimal harvesting effort E δ and E δ can be determined. From (5.3), (5.8) and (5.9), we observe that λ i (t)(i =,, 3) do not vary with time in optimal equilibrium. Hence they remain bounded as t. 6 Concluding remarks In this paper, we have analyzed a prey-predator fishery model with prey dispersal in a two-patch environment, one is assumed to be a free fishing zone and the other is a reserved zone where fishing and other extractive activities are prohibited. we have discussed the local and global stability of the system. It has been observed that, whether in the absence or in the presence of predators, the fishing populations may be sustained at an appropriate equilibrium level. The optimal harvesting policy has been discussed using Pontryagin s maximum principle. References [] C. W. Clark, Mathematical Bioeconomics:The Optimal Management of Renewable Resources, Wiley, New York, (976). [] K. S. Chaudhuri, A bioeconomic model of harvesting of a multispecies fishery, Ecol Model, 3(986), [3] K. S. Chaudhuri, Dynamic optimization of combined harvesting of twospecies fishery, Ecol Model, 4(988), 7-5.
12 49 Rui Zhang, Junfang Sun and Haixia Yang [4] G. Sunita, S. Brahampal, The dynamics of a food web consisting of two prey and a harvesting predator, Chaos, Solitons and Fractals, in press. [5] B. Dubey, P. Chandra and P. Sinha, A resource dependent fishery model with optimal harvesting policy, J.Biol.Syst, 0(00), -3. [6] T. K. Kar, M. Swarnakamal, Influence of prey reserve in a prey-predator fishery, Nonlinear Analysis, 65(006), [7] W. Wang, L. Chen, Optimal harvesting policy for single population with periodic coefficients, Math.Biosci, 5(998). [8] Y. Takeuchi, Global dynamical properties of Lotka-Volterra system, Word Scientific Publishing Co.Pte.Ltd (996). Received: April 4, 007
Lecture 7: Optimal management of renewable resources
Lecture 7: Optimal management of renewable resources Florian K. Diekert (f.k.diekert@ibv.uio.no) Overview This lecture note gives a short introduction to the optimal management of renewable resource economics.
More informationAnalysis of a highly migratory fish stocks fishery: a game theoretic approach
Analysis of a highly migratory fish stocks fishery: a game theoretic approach Toyokazu Naito and Stephen Polasky* Oregon State University Address: Department of Agricultural and Resource Economics Oregon
More informationNo-arbitrage theorem for multi-factor uncertain stock model with floating interest rate
Fuzzy Optim Decis Making 217 16:221 234 DOI 117/s17-16-9246-8 No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate Xiaoyu Ji 1 Hua Ke 2 Published online: 17 May 216 Springer
More information1 The Goodwin (1967) Model
page 1 1 The Goodwin (1967) Model In 1967, Richard Goodwin developed an elegant model meant to describe the evolution of distributional conflict in growing, advanced capitalist economies. The Goodwin model
More informationOPTIMAL PORTFOLIO CONTROL WITH TRADING STRATEGIES OF FINITE
Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference 005 Seville, Spain, December 1-15, 005 WeA11.6 OPTIMAL PORTFOLIO CONTROL WITH TRADING STRATEGIES OF
More informationIntroduction to Game Theory Evolution Games Theory: Replicator Dynamics
Introduction to Game Theory Evolution Games Theory: Replicator Dynamics John C.S. Lui Department of Computer Science & Engineering The Chinese University of Hong Kong www.cse.cuhk.edu.hk/ cslui John C.S.
More informationA Note on the Extinction of Renewable Resources
JOURNAL OF ENVIRONMENTAL ECONOMICS AND MANAGEMENT &64-70 (1988) A Note on the Extinction of Renewable Resources M. L. CROPPER Department of Economics and Bureau of Business and Economic Research, University
More informationPart 1: q Theory and Irreversible Investment
Part 1: q Theory and Irreversible Investment Goal: Endogenize firm characteristics and risk. Value/growth Size Leverage New issues,... This lecture: q theory of investment Irreversible investment and real
More informationA No-Arbitrage Theorem for Uncertain Stock Model
Fuzzy Optim Decis Making manuscript No (will be inserted by the editor) A No-Arbitrage Theorem for Uncertain Stock Model Kai Yao Received: date / Accepted: date Abstract Stock model is used to describe
More informationSingular Stochastic Control Models for Optimal Dynamic Withdrawal Policies in Variable Annuities
1/ 46 Singular Stochastic Control Models for Optimal Dynamic Withdrawal Policies in Variable Annuities Yue Kuen KWOK Department of Mathematics Hong Kong University of Science and Technology * Joint work
More informationEconomic Dynamic Modeling: An Overview of Stability
Student Projects Economic Dynamic Modeling: An Overview of Stability Nathan Berggoetz Nathan Berggoetz is a senior actuarial science and mathematical economics major. After graduation he plans to work
More informationOptimal retention for a stop-loss reinsurance with incomplete information
Optimal retention for a stop-loss reinsurance with incomplete information Xiang Hu 1 Hailiang Yang 2 Lianzeng Zhang 3 1,3 Department of Risk Management and Insurance, Nankai University Weijin Road, Tianjin,
More informationAquaculture Technology and the Sustainability of Fisheries
the Sustainability Esther Regnier & Katheline Paris School of Economics and University Paris 1 Panthon-Sorbonne IIFET 2012 50% of world marine fish stocks are fully exploited, 32% are overexploited (FAO
More informationOptimal decentralized management of a natural resource
Optimal decentralized management of a natural resource Sébastien Rouillon Université Bordeaux 4 Avenue Léon Duguit 33608 Pessac Cedex Email: rouillon@u-bordeaux4.fr July 6, 2010 1 Summary. We construct
More informationLecture 2 Dynamic Equilibrium Models: Three and More (Finite) Periods
Lecture 2 Dynamic Equilibrium Models: Three and More (Finite) Periods. Introduction In ECON 50, we discussed the structure of two-period dynamic general equilibrium models, some solution methods, and their
More information25 Increasing and Decreasing Functions
- 25 Increasing and Decreasing Functions It is useful in mathematics to define whether a function is increasing or decreasing. In this section we will use the differential of a function to determine this
More informationResearch Article Robust Stability Analysis for the New Type Rural Social Endowment Insurance System with Minor Fluctuations in China
Discrete Dynamics in Nature and Society Volume 01, Article ID 934638, 9 pages doi:10.1155/01/934638 Research Article Robust Stability Analysis for the New Type Rural Social Endowment Insurance System with
More informationZhiling Guo and Dan Ma
RESEARCH ARTICLE A MODEL OF COMPETITION BETWEEN PERPETUAL SOFTWARE AND SOFTWARE AS A SERVICE Zhiling Guo and Dan Ma School of Information Systems, Singapore Management University, 80 Stanford Road, Singapore
More information13.3 A Stochastic Production Planning Model
13.3. A Stochastic Production Planning Model 347 From (13.9), we can formally write (dx t ) = f (dt) + G (dz t ) + fgdz t dt, (13.3) dx t dt = f(dt) + Gdz t dt. (13.33) The exact meaning of these expressions
More information1 No capital mobility
University of British Columbia Department of Economics, International Finance (Econ 556) Prof. Amartya Lahiri Handout #7 1 1 No capital mobility In the previous lecture we studied the frictionless environment
More informationTechniques for Calculating the Efficient Frontier
Techniques for Calculating the Efficient Frontier Weerachart Kilenthong RIPED, UTCC c Kilenthong 2017 Tee (Riped) Introduction 1 / 43 Two Fund Theorem The Two-Fund Theorem states that we can reach any
More informationHomework # 8 - [Due on Wednesday November 1st, 2017]
Homework # 8 - [Due on Wednesday November 1st, 2017] 1. A tax is to be levied on a commodity bought and sold in a competitive market. Two possible forms of tax may be used: In one case, a per unit tax
More informationTHE OPTIMAL ASSET ALLOCATION PROBLEMFOR AN INVESTOR THROUGH UTILITY MAXIMIZATION
THE OPTIMAL ASSET ALLOCATION PROBLEMFOR AN INVESTOR THROUGH UTILITY MAXIMIZATION SILAS A. IHEDIOHA 1, BRIGHT O. OSU 2 1 Department of Mathematics, Plateau State University, Bokkos, P. M. B. 2012, Jos,
More informationEC476 Contracts and Organizations, Part III: Lecture 3
EC476 Contracts and Organizations, Part III: Lecture 3 Leonardo Felli 32L.G.06 26 January 2015 Failure of the Coase Theorem Recall that the Coase Theorem implies that two parties, when faced with a potential
More informationProblem Set 4 Answers
Business 3594 John H. Cochrane Problem Set 4 Answers ) a) In the end, we re looking for ( ) ( ) + This suggests writing the portfolio as an investment in the riskless asset, then investing in the risky
More informationLecture 8: Asset pricing
BURNABY SIMON FRASER UNIVERSITY BRITISH COLUMBIA Paul Klein Office: WMC 3635 Phone: (778) 782-9391 Email: paul klein 2@sfu.ca URL: http://paulklein.ca/newsite/teaching/483.php Economics 483 Advanced Topics
More informationHomework 3: Asset Pricing
Homework 3: Asset Pricing Mohammad Hossein Rahmati November 1, 2018 1. Consider an economy with a single representative consumer who maximize E β t u(c t ) 0 < β < 1, u(c t ) = ln(c t + α) t= The sole
More informationPrice manipulation in models of the order book
Price manipulation in models of the order book Jim Gatheral (including joint work with Alex Schied) RIO 29, Búzios, Brasil Disclaimer The opinions expressed in this presentation are those of the author
More informationON AN IMPLEMENTATION OF BLACK SCHOLES MODEL FOR ESTIMATION OF CALL- AND PUT-OPTION VIA PROGRAMMING ENVIRONMENT MATHEMATICA
Доклади на Българската академия на науките Comptes rendus de l Académie bulgare des Sciences Tome 66, No 5, 2013 MATHEMATIQUES Mathématiques appliquées ON AN IMPLEMENTATION OF BLACK SCHOLES MODEL FOR ESTIMATION
More informationAn Approximation Algorithm for Capacity Allocation over a Single Flight Leg with Fare-Locking
An Approximation Algorithm for Capacity Allocation over a Single Flight Leg with Fare-Locking Mika Sumida School of Operations Research and Information Engineering, Cornell University, Ithaca, New York
More informationResearch Article Portfolio Selection with Subsistence Consumption Constraints and CARA Utility
Mathematical Problems in Engineering Volume 14, Article ID 153793, 6 pages http://dx.doi.org/1.1155/14/153793 Research Article Portfolio Selection with Subsistence Consumption Constraints and CARA Utility
More informationAccounting Conservatism, Market Liquidity and Informativeness of Asset Price: Implications on Mark to Market Accounting
Journal of Applied Finance & Banking, vol.3, no.1, 2013, 177-190 ISSN: 1792-6580 (print version), 1792-6599 (online) Scienpress Ltd Accounting Conservatism, Market Liquidity and Informativeness of Asset
More informationQuantitative Techniques (Finance) 203. Derivatives for Functions with Multiple Variables
Quantitative Techniques (Finance) 203 Derivatives for Functions with Multiple Variables Felix Chan October 2006 1 Introduction In the previous lecture, we discussed the concept of derivative as approximation
More informationSTOCHASTIC CALCULUS AND BLACK-SCHOLES MODEL
STOCHASTIC CALCULUS AND BLACK-SCHOLES MODEL YOUNGGEUN YOO Abstract. Ito s lemma is often used in Ito calculus to find the differentials of a stochastic process that depends on time. This paper will introduce
More informationLecture 8: Introduction to asset pricing
THE UNIVERSITY OF SOUTHAMPTON Paul Klein Office: Murray Building, 3005 Email: p.klein@soton.ac.uk URL: http://paulklein.se Economics 3010 Topics in Macroeconomics 3 Autumn 2010 Lecture 8: Introduction
More informationByungwan Koh. College of Business, Hankuk University of Foreign Studies, 107 Imun-ro, Dongdaemun-gu, Seoul KOREA
RESEARCH ARTICLE IS VOLUNTARY PROFILING WELFARE ENHANCING? Byungwan Koh College of Business, Hankuk University of Foreign Studies, 107 Imun-ro, Dongdaemun-gu, Seoul 0450 KOREA {bkoh@hufs.ac.kr} Srinivasan
More informationUtility Indifference Pricing and Dynamic Programming Algorithm
Chapter 8 Utility Indifference ricing and Dynamic rogramming Algorithm In the Black-Scholes framework, we can perfectly replicate an option s payoff. However, it may not be true beyond the Black-Scholes
More informationPrize offered for the solution of a dynamic blocking problem
Prize offered for the solution of a dynamic blocking problem Posted by A. Bressan on January 19, 2011 Statement of the problem Fire is initially burning on the unit disc in the plane IR 2, and propagateswith
More information1 Answers to the Sept 08 macro prelim - Long Questions
Answers to the Sept 08 macro prelim - Long Questions. Suppose that a representative consumer receives an endowment of a non-storable consumption good. The endowment evolves exogenously according to ln
More informationLocal vs Non-local Forward Equations for Option Pricing
Local vs Non-local Forward Equations for Option Pricing Rama Cont Yu Gu Abstract When the underlying asset is a continuous martingale, call option prices solve the Dupire equation, a forward parabolic
More informationOptimizing Portfolios
Optimizing Portfolios An Undergraduate Introduction to Financial Mathematics J. Robert Buchanan 2010 Introduction Investors may wish to adjust the allocation of financial resources including a mixture
More informationSTUDIES ON INVENTORY MODEL FOR DETERIORATING ITEMS WITH WEIBULL REPLENISHMENT AND GENERALIZED PARETO DECAY HAVING SELLING PRICE DEPENDENT DEMAND
International Journal of Education & Applied Sciences Research (IJEASR) ISSN: 2349 2899 (Online) ISSN: 2349 4808 (Print) Available online at: http://www.arseam.com Instructions for authors and subscription
More informationShort-time-to-expiry expansion for a digital European put option under the CEV model. November 1, 2017
Short-time-to-expiry expansion for a digital European put option under the CEV model November 1, 2017 Abstract In this paper I present a short-time-to-expiry asymptotic series expansion for a digital European
More information1.1 Basic Financial Derivatives: Forward Contracts and Options
Chapter 1 Preliminaries 1.1 Basic Financial Derivatives: Forward Contracts and Options A derivative is a financial instrument whose value depends on the values of other, more basic underlying variables
More informationQueens College, CUNY, Department of Computer Science Computational Finance CSCI 365 / 765 Fall 2017 Instructor: Dr. Sateesh Mane.
Queens College, CUNY, Department of Computer Science Computational Finance CSCI 365 / 765 Fall 217 Instructor: Dr. Sateesh Mane c Sateesh R. Mane 217 13 Lecture 13 November 15, 217 Derivation of the Black-Scholes-Merton
More informationHaiyang Feng College of Management and Economics, Tianjin University, Tianjin , CHINA
RESEARCH ARTICLE QUALITY, PRICING, AND RELEASE TIME: OPTIMAL MARKET ENTRY STRATEGY FOR SOFTWARE-AS-A-SERVICE VENDORS Haiyang Feng College of Management and Economics, Tianjin University, Tianjin 300072,
More informationExam M Fall 2005 PRELIMINARY ANSWER KEY
Exam M Fall 005 PRELIMINARY ANSWER KEY Question # Answer Question # Answer 1 C 1 E C B 3 C 3 E 4 D 4 E 5 C 5 C 6 B 6 E 7 A 7 E 8 D 8 D 9 B 9 A 10 A 30 D 11 A 31 A 1 A 3 A 13 D 33 B 14 C 34 C 15 A 35 A
More information1 The Solow Growth Model
1 The Solow Growth Model The Solow growth model is constructed around 3 building blocks: 1. The aggregate production function: = ( ()) which it is assumed to satisfy a series of technical conditions: (a)
More informationMartingale Pricing Theory in Discrete-Time and Discrete-Space Models
IEOR E4707: Foundations of Financial Engineering c 206 by Martin Haugh Martingale Pricing Theory in Discrete-Time and Discrete-Space Models These notes develop the theory of martingale pricing in a discrete-time,
More informationEC316a: Advanced Scientific Computation, Fall Discrete time, continuous state dynamic models: solution methods
EC316a: Advanced Scientific Computation, Fall 2003 Notes Section 4 Discrete time, continuous state dynamic models: solution methods We consider now solution methods for discrete time models in which decisions
More informationStock Loan Valuation Under Brownian-Motion Based and Markov Chain Stock Models
Stock Loan Valuation Under Brownian-Motion Based and Markov Chain Stock Models David Prager 1 1 Associate Professor of Mathematics Anderson University (SC) Based on joint work with Professor Qing Zhang,
More informationHedging. MATH 472 Financial Mathematics. J. Robert Buchanan
Hedging MATH 472 Financial Mathematics J. Robert Buchanan 2018 Introduction Definition Hedging is the practice of making a portfolio of investments less sensitive to changes in market variables. There
More informationGame Theory. Lecture Notes By Y. Narahari. Department of Computer Science and Automation Indian Institute of Science Bangalore, India October 2012
Game Theory Lecture Notes By Y. Narahari Department of Computer Science and Automation Indian Institute of Science Bangalore, India October 22 COOPERATIVE GAME THEORY Correlated Strategies and Correlated
More informationFeb. 4 Math 2335 sec 001 Spring 2014
Feb. 4 Math 2335 sec 001 Spring 2014 Propagated Error in Function Evaluation Let f (x) be some differentiable function. Suppose x A is an approximation to x T, and we wish to determine the function value
More informationAsymmetric Information: Walrasian Equilibria, and Rational Expectations Equilibria
Asymmetric Information: Walrasian Equilibria and Rational Expectations Equilibria 1 Basic Setup Two periods: 0 and 1 One riskless asset with interest rate r One risky asset which pays a normally distributed
More informationStructural Models of Credit Risk and Some Applications
Structural Models of Credit Risk and Some Applications Albert Cohen Actuarial Science Program Department of Mathematics Department of Statistics and Probability albert@math.msu.edu August 29, 2018 Outline
More informationA lower bound on seller revenue in single buyer monopoly auctions
A lower bound on seller revenue in single buyer monopoly auctions Omer Tamuz October 7, 213 Abstract We consider a monopoly seller who optimally auctions a single object to a single potential buyer, with
More informationA Controlled Optimal Stochastic Production Planning Model
Theoretical Mathematics & Applications, vol.3, no.3, 2013, 107-120 ISSN: 1792-9687 (print), 1792-9709 (online) Scienpress Ltd, 2013 A Controlled Optimal Stochastic Production Planning Model Godswill U.
More informationThe Option Value of Harvesting a Renewable Resource
The Option Value of Harvesting a Renewable Resource Jean-Daniel Saphores Assistant Professor School of Social Ecology and Economics University of California, Irvine 9697. E-mail: saphores@uci.edu. Key
More informationAdvertising and entry deterrence: how the size of the market matters
MPRA Munich Personal RePEc Archive Advertising and entry deterrence: how the size of the market matters Khaled Bennour 2006 Online at http://mpra.ub.uni-muenchen.de/7233/ MPRA Paper No. 7233, posted. September
More informationCEMARE Research Paper 167. Fishery share systems and ITQ markets: who should pay for quota? A Hatcher CEMARE
CEMARE Research Paper 167 Fishery share systems and ITQ markets: who should pay for quota? A Hatcher CEMARE University of Portsmouth St. George s Building 141 High Street Portsmouth PO1 2HY United Kingdom
More informationRegression estimation in continuous time with a view towards pricing Bermudan options
with a view towards pricing Bermudan options Tagung des SFB 649 Ökonomisches Risiko in Motzen 04.-06.06.2009 Financial engineering in times of financial crisis Derivate... süßes Gift für die Spekulanten
More informationOptimal Order Placement
Optimal Order Placement Peter Bank joint work with Antje Fruth OMI Colloquium Oxford-Man-Institute, October 16, 2012 Optimal order execution Broker is asked to do a transaction of a significant fraction
More informationSupply Contracts with Financial Hedging
Supply Contracts with Financial Hedging René Caldentey Martin Haugh Stern School of Business NYU Integrated Risk Management in Operations and Global Supply Chain Management: Risk, Contracts and Insurance
More information1 Continuous Time Optimization
University of British Columbia Department of Economics, International Finance (Econ 556) Prof. Amartya Lahiri Handout #6 1 1 Continuous Time Optimization Continuous time optimization is similar to dynamic
More informationOnline Appendix to Financing Asset Sales and Business Cycles
Online Appendix to Financing Asset Sales usiness Cycles Marc Arnold Dirk Hackbarth Tatjana Xenia Puhan August 31, 2015 University of St. allen, Rosenbergstrasse 52, 9000 St. allen, Switzerl. Telephone:
More informationConditional Density Method in the Computation of the Delta with Application to Power Market
Conditional Density Method in the Computation of the Delta with Application to Power Market Asma Khedher Centre of Mathematics for Applications Department of Mathematics University of Oslo A joint work
More information1 Appendix A: Definition of equilibrium
Online Appendix to Partnerships versus Corporations: Moral Hazard, Sorting and Ownership Structure Ayca Kaya and Galina Vereshchagina Appendix A formally defines an equilibrium in our model, Appendix B
More informationLecture 7. The consumer s problem(s) Randall Romero Aguilar, PhD I Semestre 2018 Last updated: April 28, 2018
Lecture 7 The consumer s problem(s) Randall Romero Aguilar, PhD I Semestre 2018 Last updated: April 28, 2018 Universidad de Costa Rica EC3201 - Teoría Macroeconómica 2 Table of contents 1. Introducing
More informationIn this appendix, we examine extensions of the model in Section A and present the proofs for the
Online Appendix In this appendix, we examine extensions of the model in Section A and present the proofs for the lemmas and propositions in Section B. A Extensions We consider three model extensions to
More informationThe Neoclassical Growth Model
The Neoclassical Growth Model 1 Setup Three goods: Final output Capital Labour One household, with preferences β t u (c t ) (Later we will introduce preferences with respect to labour/leisure) Endowment
More informationFinancial Risk Management
Financial Risk Management Professor: Thierry Roncalli Evry University Assistant: Enareta Kurtbegu Evry University Tutorial exercices #4 1 Correlation and copulas 1. The bivariate Gaussian copula is given
More informationDISRUPTION MANAGEMENT FOR SUPPLY CHAIN COORDINATION WITH EXPONENTIAL DEMAND FUNCTION
Acta Mathematica Scientia 2006,26B(4):655 669 www.wipm.ac.cn/publish/ ISRUPTION MANAGEMENT FOR SUPPLY CHAIN COORINATION WITH EXPONENTIAL EMAN FUNCTION Huang Chongchao ( ) School of Mathematics and Statistics,
More information1 Two Period Exchange Economy
University of British Columbia Department of Economics, Macroeconomics (Econ 502) Prof. Amartya Lahiri Handout # 2 1 Two Period Exchange Economy We shall start our exploration of dynamic economies with
More informationMarket Liquidity and Performance Monitoring The main idea The sequence of events: Technology and information
Market Liquidity and Performance Monitoring Holmstrom and Tirole (JPE, 1993) The main idea A firm would like to issue shares in the capital market because once these shares are publicly traded, speculators
More informationConsumption and Asset Pricing
Consumption and Asset Pricing Yin-Chi Wang The Chinese University of Hong Kong November, 2012 References: Williamson s lecture notes (2006) ch5 and ch 6 Further references: Stochastic dynamic programming:
More informationEconomics 431 Final Exam 200 Points. Answer each of the questions below. Round off values to one decimal place where necessary.
Fall 009 Name KEY Economics 431 Final Exam 00 Points Answer each of the questions below. Round off values to one decimal place where necessary. Question 1. Think (30 points) In an ideal socialist system,
More informationOption pricing in the stochastic volatility model of Barndorff-Nielsen and Shephard
Option pricing in the stochastic volatility model of Barndorff-Nielsen and Shephard Indifference pricing and the minimal entropy martingale measure Fred Espen Benth Centre of Mathematics for Applications
More informationA distributed Laplace transform algorithm for European options
A distributed Laplace transform algorithm for European options 1 1 A. J. Davies, M. E. Honnor, C.-H. Lai, A. K. Parrott & S. Rout 1 Department of Physics, Astronomy and Mathematics, University of Hertfordshire,
More informationHomework Assignments
Homework Assignments Week 1 (p 57) #4.1, 4., 4.3 Week (pp 58-6) #4.5, 4.6, 4.8(a), 4.13, 4.0, 4.6(b), 4.8, 4.31, 4.34 Week 3 (pp 15-19) #1.9, 1.1, 1.13, 1.15, 1.18 (pp 9-31) #.,.6,.9 Week 4 (pp 36-37)
More informationFrom Solow to Romer: Teaching Endogenous Technological Change in Undergraduate Economics
MPRA Munich Personal RePEc Archive From Solow to Romer: Teaching Endogenous Technological Change in Undergraduate Economics Angus C. Chu Fudan University March 2015 Online at https://mpra.ub.uni-muenchen.de/81972/
More informationOnline Shopping Intermediaries: The Strategic Design of Search Environments
Online Supplemental Appendix to Online Shopping Intermediaries: The Strategic Design of Search Environments Anthony Dukes University of Southern California Lin Liu University of Central Florida February
More informationMaster 2 Macro I. Lecture 3 : The Ramsey Growth Model
2012-2013 Master 2 Macro I Lecture 3 : The Ramsey Growth Model Franck Portier (based on Gilles Saint-Paul lecture notes) franck.portier@tse-fr.eu Toulouse School of Economics Version 1.1 07/10/2012 Changes
More informationDynamic Protection for Bayesian Optimal Portfolio
Dynamic Protection for Bayesian Optimal Portfolio Hideaki Miyata Department of Mathematics, Kyoto University Jun Sekine Institute of Economic Research, Kyoto University Jan. 6, 2009, Kunitachi, Tokyo 1
More informationInvestment, Capacity Choice and Outsourcing under Uncertainty
Investment, Capacity Choice and Outsourcing under Uncertainty Makoto Goto a,, Ryuta Takashima b, a Graduate School of Finance, Accounting and Law, Waseda University b Department of Nuclear Engineering
More informationAn overview of some financial models using BSDE with enlarged filtrations
An overview of some financial models using BSDE with enlarged filtrations Anne EYRAUD-LOISEL Workshop : Enlargement of Filtrations and Applications to Finance and Insurance May 31st - June 4th, 2010, Jena
More informationMANAGEMENT SCIENCE doi /mnsc ec pp. ec1 ec14
MANAGEMENT SCIENCE doi 10.1287/mnsc.1080.0886ec pp. ec1 ec14 e-companion ONLY AVAILABLE IN ELECTRONIC FORM informs 2008 INFORMS Electronic Companion Strategic Customer Behavior, Commitment, and Supply
More informationInvestigation of Dependency between Short Rate and Transition Rate on Pension Buy-outs. Arık, A. 1 Yolcu-Okur, Y. 2 Uğur Ö. 2
Investigation of Dependency between Short Rate and Transition Rate on Pension Buy-outs Arık, A. 1 Yolcu-Okur, Y. 2 Uğur Ö. 2 1 Hacettepe University Department of Actuarial Sciences 06800, TURKEY 2 Middle
More informationFebruary 2 Math 2335 sec 51 Spring 2016
February 2 Math 2335 sec 51 Spring 2016 Section 3.1: Root Finding, Bisection Method Many problems in the sciences, business, manufacturing, etc. can be framed in the form: Given a function f (x), find
More information(v 50) > v 75 for all v 100. (d) A bid of 0 gets a payoff of 0; a bid of 25 gets a payoff of at least 1 4
Econ 85 Fall 29 Problem Set Solutions Professor: Dan Quint. Discrete Auctions with Continuous Types (a) Revenue equivalence does not hold: since types are continuous but bids are discrete, the bidder with
More informationLecture 5. Xavier Gabaix. March 4, 2004
14.127 Lecture 5 Xavier Gabaix March 4, 2004 0.1 Welfare and noise. A compliment Two firms produce roughly identical goods Demand of firm 1 is where ε 1, ε 2 are iid N (0, 1). D 1 = P (q p 1 + σε 1 > q
More informationWeek 1 Quantitative Analysis of Financial Markets Basic Statistics A
Week 1 Quantitative Analysis of Financial Markets Basic Statistics A Christopher Ting http://www.mysmu.edu/faculty/christophert/ Christopher Ting : christopherting@smu.edu.sg : 6828 0364 : LKCSB 5036 October
More informationUtility Maximization for an Investor with Asymmetric Attitude to Gains and Losses over the Mean Variance Efficient Frontier
Journal of Physics: Conference Series PAPER OPEN ACCESS Utility Maximization for an Investor with Asymmetric Attitude to Gains and Losses over the Mean Variance Efficient Frontier To cite this article:
More informationSolutions to Problem Set 1
Solutions to Problem Set Theory of Banking - Academic Year 06-7 Maria Bachelet maria.jua.bachelet@gmail.com February 4, 07 Exercise. An individual consumer has an income stream (Y 0, Y ) and can borrow
More informationOptimal Dividend Policy of A Large Insurance Company with Solvency Constraints. Zongxia Liang
Optimal Dividend Policy of A Large Insurance Company with Solvency Constraints Zongxia Liang Department of Mathematical Sciences Tsinghua University, Beijing 100084, China zliang@math.tsinghua.edu.cn Joint
More informationAMH4 - ADVANCED OPTION PRICING. Contents
AMH4 - ADVANCED OPTION PRICING ANDREW TULLOCH Contents 1. Theory of Option Pricing 2 2. Black-Scholes PDE Method 4 3. Martingale method 4 4. Monte Carlo methods 5 4.1. Method of antithetic variances 5
More informationSome Bounds for the Singular Values of Matrices
Applied Mathematical Sciences, Vol., 007, no. 49, 443-449 Some Bounds for the Singular Values of Matrices Ramazan Turkmen and Haci Civciv Department of Mathematics, Faculty of Art and Science Selcuk University,
More informationPricing Dynamic Solvency Insurance and Investment Fund Protection
Pricing Dynamic Solvency Insurance and Investment Fund Protection Hans U. Gerber and Gérard Pafumi Switzerland Abstract In the first part of the paper the surplus of a company is modelled by a Wiener process.
More informationDiscrete models in microeconomics and difference equations
Discrete models in microeconomics and difference equations Jan Coufal, Soukromá vysoká škola ekonomických studií Praha The behavior of consumers and entrepreneurs has been analyzed on the assumption that
More informationOptions. An Undergraduate Introduction to Financial Mathematics. J. Robert Buchanan. J. Robert Buchanan Options
Options An Undergraduate Introduction to Financial Mathematics J. Robert Buchanan 2014 Definitions and Terminology Definition An option is the right, but not the obligation, to buy or sell a security such
More information