随机波动率模型的最小熵鞅测度和效用无差别定价

本文研究了随机波动率模型的最小熵鞅测度和效用无差别定价.利用动态规划方法,得到了效用无差别定价满足的偏微分方程以及效用无差别套期保值策略.利用指数效用函数的最优投资策略与最小熵鞅测度之间的关系,证明了最小熵鞅测度的存在性,并利用偏微分方程给出了最小熵鞅测度.     

易逝品最优定价、订货量和广告投入的联合确定

以需求受价格和广告投入影响的报童问题为研究对象,需求函数采用混合形式,研究了一类随机需求下易逝品最优定价、订货量和广告投入联合确定的报童问题.建立了需求受价格和广告投入影响的报童问题的数学模型,求解得出最优定价、广告投入和订货量.并与需求仅受价格影响的报童问题做了比较,最后给出算例说明了所得的结论.     

Indifference Functions For Price-Adjusted Acceptance Sampling

We present an approach for deriving indifference functions for use in implementing price-adjusted acceptance sampling plans. The key element underlying the application of PASS (Price Adjusted Single Sampling) methodology is an economic model of the ordering process that specifies the costs and benefits as functions of the amount of acceptable material received. The basic idea in deriving an indifference function is to adjust the price of the lot to compensate for departures from the planned amount of acceptable material received. Two simple scenarios are analyzed to illustrate the application of trie approach.     

Price Adjusted Single Sampling with Quadratic Indifference

The purpose of this paper is to expand the application of Price Adjusted Single Sampling, PASS, to include quadratic indifference. The concept of PASS is first reviewed. Secondly, the statistical background of PASS with quadratic indifference is formulated. Finally a step by step procedure for implementing a PASS plan is presented along with an example.     

Price-Adjusted Attribute Single Sampling with Polynomial Indifference

This paper extends the fundamental concepts developed for price-adjusted single sampling with quadratic indifference to sampling with polynomial indifference. The rationale of using indifference curves described by polynomial functions and a method of determining such functions are given. Modifications to the existing solution procedure are also discussed. As a result, a simple but general computational procedure is formulated for the determination of sampling plans which provide probabilistic protections to both the producer and consumer. These results widen the range of flexibility in the application of price-adjusted sampling.     

多产品供应商选择的模糊多目标整数规划模型

以成本、质量、交货为目标,考虑供应商供应能力、采购数量、供应数量的柔性、评价等级等约束,建立了多产品供应商选择的模糊多目标规划模型.采用降半梯形分布的隶属度函数将模糊多目标规划模型转化为单目标线性规划并求解,应用算例证明了模型的有效性和可行性.     

An Example of Indifference Curves in Inventory Control

In teaching the use of mathematical modeling in the Industrial Engineering area, one is often faced with situations where the decision variable is restricted to a few discrete values. In such circumstances I have found it pedagogically advantageous to use the concept of indifference curves, i.e., curves in a suitable two-dimensional space showing under what conditions we are indifferent between neighboring values of the decision variable. This note illustrates the use of indifference curves in a particular inventory control model.     

Pricing strategies for information goods

Digital or information goods are becoming the norm across a wide variety of industries including books, music, entertainment, gaming and education. Due to the fact that the marginal cost of producing or reproducing information goods is very low, it is much easier to customise and personalise them for individual users. Furthermore, sellers of these information goods are increasingly using bundling and versioning strategies to appropriate a greater share of the surplus. This paper examines recent research on pricing of information goods with particular focus on customisation, bundling and versioning strategies adopted by information goods providers. The paper highlights both game-theoretic as well as optimisation models that not only provide different perspectives, but also examine issues of information goods pricing at different levels of abstraction and complexity.     

论量值溯源和量值传递

介绍量值溯源及量值传递的定义,论述两者之间的关系。     

基于离散时间的短生命周期产品动态定价

研究了零售商销售短生命周期产品时的最优定价策略。零售商试图在一个有限计划期内将固定的存货全部售出,剩余存货在销售季节结束时价值变为零。提出了一个以顾客到达为泊松过程的连续时间最优定价模型。考虑到连续最优定价策略在实际中难以执行,提出了一种简化的离散时间最优定价策略。该策略允许零售商按预定的间隔周期调整价格,与实际生活中时装类商品零售商定期降价做法非常相似。分析了零售商最优初始存货水平决策问题,该问题可通过前面的连续时间模型较容易求解。     

Option Pricing of Weather Derivatives for Seoul

This article analyses temperature data for Seoul based on a well defined daily average temperature (DAT) derived from records dating from 1954 to 2009, and considers related weather derivatives using a previous methodology. The temperature data exhibit some quite distinctive features, compared to other cities that have been considered before. Thus Seoul has: (i) four clear seasons; (ii) a significant seasonal range, with high temperature and humidity in the summer but low temperature and very dry weather in winter; and (iii) cycles of three cold days and four warmer days in winter. Due to these characteristics, seasonal variance and oscillation in Seoul is more apparent in winter and less evident in summer than in the other cities. We construct a deterministic model for the average temperature and then simulate future weather patterns, before pricing various weather derivative options and calculating the market price of risk (MPR).     

The Economic Order Quantity for Freight Discount Costs

In this note we give algorithms to solve an important practical problem, the classical E.O.Q. model with set-up cost including a fixed cost and freight cost, where the freight cost has a quantity discount (economies of scale).     

竞争环境下航空公司动态定价特性

传统航空公司收益管理研究主要关注垄断厂商如何利用动态定价获得最大的期望收益,而对竞争的问题研究不足.以提供同一航线的2个航空公司为研究对象,应用H-J方程建立了竞争环境下航空公司动态定价的数学模型,并证明了两航空公司在销售期定价的一些特性,为竞争环境下航空公司价格决策提供了理论依据.算例分析展现了模型的实际应用过程,并发现:如果航空公司有更大空间进行动态定价,将提高均衡收益.     

加强过程质量控制提高企业质量管理水平

本文主要就企业在过程质量控制中。针对质量策划,过程管理,执行结果三大块来进行论述。旨在企业生产过程中能不断提高产品质量,视质量为企业第一生命。     

噪声传递中失配误差的再讨论及解决方案

针对我国实验室噪声传递不确定度较大的问题,以中频衰减法为例,给出噪声传递中失配误差的数学模型。基于无相位信息的复变量不确定度估计的研究成果,给出了失配引入不确定度的最佳估算方法。基于失配不确定度的准确估计,论证了隔离衰减器在噪声测量中的效用及使用策略。最后给出噪声测量中失配误差的最佳解决方案。     

A Review on Minimum Quantity Lubrication for Machining Processes

In the pursuit toward achieving dry cutting, air machining, minimum quantity lubrication (MQL), and cryogenically cooled machining are the stepping stones. Nevertheless, machining is always accompanied by certain difficulties, and hence none of these methods has provided a complete solution. Hence, this article reviews various MQL methods used by various machining processes for different materials. It also highlights the future work directions for research in this area.