Search results for: real estate pricing

Authors: Madia Safdar, G. Amjad Hussain, Mashhood Ahmad

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One of the major challenges of today’s era is peak demand which causes stress on the transmission lines and also raises the cost of energy generation and ultimately higher electricity bills to the end users, and it was used to be managed by the supply side management. However, nowadays this has been withdrawn because of existence of potential in the demand side management (DSM) having its economic and- environmental advantages. DSM in domestic load can play a vital role in reducing the peak load demand on the network provides a significant cost saving. In this paper the potential of demand response (DR) in reducing the peak load demands and electricity bills to the electric users is elaborated. For this purpose the domestic appliances are modeled in MATLAB Simulink and controlled by a module called energy management controller. The devices are categorized into controllable and uncontrollable loads and are operated according to real-time tariff pricing pattern instead of fixed time pricing or variable pricing. Energy management controller decides the switching instants of the controllable appliances based on the results from optimization algorithms. In GAMS software, the MILP (mixed integer linear programming) algorithm is used for optimization. In different cases, different constraints are used for optimization, considering the comforts, needs and priorities of the end users. Results are compared and the savings in electricity bills are discussed in this paper considering real time pricing and fixed tariff pricing, which exhibits the existence of potential to reduce electricity bills and peak loads in demand side management. It is seen that using real time pricing tariff instead of fixed tariff pricing helps to save in the electricity bills. Moreover the simulation results of the proposed energy management system show that the gained power savings lie in high range. It is anticipated that the result of this research will prove to be highly effective to the utility companies as well as in the improvement of domestic DR.

Keywords: controllable and uncontrollable domestic loads, demand response, demand side management, optimization, MILP (mixed integer linear programming)

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Authors: K. Iskandar, N. H. Radzi, R. Aziz, M. S. Kamaruddin, M. N. Abdullah, S. A. Jumaat

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Nowadays many developing countries have been undergoing a restructuring process in the power electricity industry. This process has involved disaggregating former state-owned monopoly utilities both vertically and horizontally and introduced competition. The restructuring process has been implemented by the Australian National Electricity Market (NEM) started from 13 December 1998, began operating as a wholesale market for supply of electricity to retailers and end-users in Queensland, New South Wales, the Australian Capital Territory, Victoria and South Australia. In this deregulated market, one of the important issues is the transmission pricing. Transmission pricing is a service that recovers existing and new cost of the transmission system. The regulation of the transmission pricing is important in determining whether the transmission service system is economically beneficial to both side of the users and utilities. Therefore, an efficient transmission pricing methodology plays an important role in the Australian NEM. In this paper, the transmission pricing methodologies that have been implemented by the Australian NEM which are the Cost Reflective Network Pricing (CRNP) and Modified Cost Reflective Network Pricing (MCRNP) methods are investigated for allocating the transmission service charges to the transmission users. A case study using 6-bus system is used in order to identify the best method that reflects a fair and equitable transmission service charge.

Keywords: cost-reflective network pricing method, modified cost-reflective network pricing method, restructuring process, transmission pricing

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Authors: Chris Durden, Peter Lane

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Cost accounting information potentially plays an important role in price setting. According to prior research fixed and variable cost information often is a key influence on pricing decisions. The literature highlights the benefits of applying systematic costing systems for enhanced price setting processes. This paper explores how costing systems are used for pricing decisions in the tourism and hospitality industry relative to other sources of price setting information. Pricing based on full cost information was found to have relatively greater importance and short-term survival and customer oriented objectives were found to be the more important pricing objectives. This paper contributes to the literature by providing a recent analysis of accounting’s role in price setting within the tourism and hospitality industry.

Keywords: cost accounting systems, pricing decisions, cost-plus pricing, market pricing, tourism industry

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Authors: Kathy Pain, Nalumino Akakandelwa

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The study explores the potential to fill a gap in health and wellbeing evidence for purposeful urban real estate asset management to make investment a powerful force for societal good. Part of a five-year programme investigating the root causes of unhealthy urban development funded by the United Kingdom Prevention Research Partnership (UKPRP), the study pilots the use of a systems mapping approach to identify drivers and barriers to the incorporation of health and wellbeing evidence in urban brownfield asset management decision-making. Urban real estate not only provides space for economic production but also contributes to the quality of life in the local community. Yet market approaches to urban land use have, until recently, insisted that neo-classical technology-driven efficient allocation of economic resources should inform acquisition, operational, and disposal decisions. Buildings in locations with declining economic performance have thus been abandoned, leading to urban decay. Property investors are recognising the inextricable connection between sustainable urban production and quality of life in local communities. The redevelopment and operation of brownfield assets recycle existing buildings, minimising embodied carbon emissions. It also retains established urban spaces with which local communities identify and regenerate places to create a sense of security, economic opportunity, social interaction, and quality of life. Social implications of urban real estate on health and wellbeing and increased adoption of benign sustainability guidance in urban production are driving the need to consider how they affect brownfield real estate asset management decisions. Interviews with real estate upstream decision-makers in the study, find that local social needs and impact analysis is becoming a commercial priority for large-scale urban real estate development projects. Evidence of the social value-added of proposed developments is increasingly considered essential to secure local community support and planning permissions, and to attract sustained inward long-term investment capital flows for urban projects. However, little is known about the contribution of population health and wellbeing to socially sustainable urban projects and the monetary value of the opportunity this presents to improve the urban environment for local communities. We report early findings from collaborations with two leading property companies managing major investments in brownfield urban assets in the UK to consider how the inclusion of health and wellbeing evidence in social valuation can inform perceptions of brownfield development social benefit for asset managers, local communities, public authorities and investors for the benefit of all parties. Using holistic case studies and systems mapping approaches, we explore complex relationships between public health considerations and asset management decisions in urban production. Findings indicate a strong real estate investment industry appetite and potential to include health as a vital component of sustainable real estate social value creation in asset management strategies.

Keywords: brownfield urban assets, health and wellbeing, social needs and impact, social valuation, sustainable real estate, systems mapping

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Authors: Muhammad Sheraz, Vasile Preda, Silvia Dedu

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Concepts of econophysics are usually used to solve problems related to uncertainty and nonlinear dynamics. In the theory of option pricing the risk neutral probabilities play very important role. The application of entropy in finance can be regarded as the extension of both information entropy and the probability entropy. It can be an important tool in various financial methods such as measure of risk, portfolio selection, option pricing and asset pricing. Gulko applied Entropy Pricing Theory (EPT) for pricing stock options and introduced an alternative framework of Black-Scholes model for pricing European stock option. In this article, we present solutions to maximum entropy problems based on Tsallis, Weighted-Tsallis, Kaniadakis, Weighted-Kaniadakies entropies, to obtain risk-neutral densities. We have also obtained the value of European call and put in this framework.

Keywords: option pricing, Black-Scholes model, Tsallis entropy, Kaniadakis entropy, weighted entropy, risk-neutral density

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Authors: Li Yu, Chenlu Jiao, Hongrun Xin, Yan Wang, Kaiyang Wang

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In order to study the impact of various factors on the housing price, we propose to build different prediction models based on deep learning to determine the existing data of the real estate in order to more accurately predict the housing price or its changing trend in the future. Considering that the factors which affect the housing price vary widely, the proposed prediction models include two categories. The first one is based on multiple characteristic factors of the real estate. We built Convolution Neural Network (CNN) prediction model and Long Short-Term Memory (LSTM) neural network prediction model based on deep learning, and logical regression model was implemented to make a comparison between these three models. Another prediction model is time series model. Based on deep learning, we proposed an LSTM-1 model purely regard to time series, then implementing and comparing the LSTM model and the Auto-Regressive and Moving Average (ARMA) model. In this paper, comprehensive study of the second-hand housing price in Beijing has been conducted from three aspects: crawling and analyzing, housing price predicting, and the result comparing. Ultimately the best model program was produced, which is of great significance to evaluation and prediction of the housing price in the real estate industry.

Keywords: deep learning, convolutional neural network, LSTM, housing prediction

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Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

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A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic

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Authors: Lincoln Panjaitan, Antonius Sumarlin

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The development of property businesses in the metropolitan area is growing rapidly forcing big real estate developers to come up with various strategies in winning the heart of consumers. This empirical research is focusing on how the two schools of marketing thoughts; namely, Modern and postmodern marketing employed by the preceding developers to retain consumers’ commitment toward their prospective brands. The data was collected from three different properties of PT. Intiland Tbk using accidental sampling technique. The data of 600 respondents was then put into Structural Equation Model (SEM). The result of the study suggests that both schools of thought can equally produce commitment and loyalty of consumers; however, the difference lays where the loyalty belongs to. The first is more toward developer’s brand and the latter is more toward the co-creation value of the housing community.

Keywords: consumer loyalty, consumer commitment, knowledge sharing platform, marketing mix

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Authors: Christopher Reichstein, Ralf-Christian Härting, Martina Häußler

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With a continuously increasing speed of information exchange on the World Wide Web, retailers in the E-Commerce sector are faced with immense possibilities regarding different online purchase processes like dynamic price settings. By use of Dynamic Pricing, retailers are able to set short time price changes in order to optimize producer surplus. The empirical research illustrates the basics of Dynamic Pricing and identifies six influencing factors of Dynamic Pricing. The results of a structural equation modeling approach show five main drivers increasing the potential of dynamic price settings in the E-Commerce. Influencing factors are the knowledge of customers’ individual willingness to pay, rising sales, the possibility of customization, the data volume and the information about competitors’ pricing strategy.

Keywords: e-commerce, empirical research, experts, dynamic pricing (DP), influencing factors, potentials

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Authors: Ruijuan Bi

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Discrimination in insurance pricing is a topic of increasing concern, particularly in the context of the rapid development of big data and artificial intelligence. There is a need to explore the various forms of discrimination, such as direct and indirect discrimination, proxy discrimination, algorithmic discrimination, and unfair discrimination, and understand their implications in insurance pricing models. This paper aims to analyze and interpret the definitions of discrimination in insurance pricing and explore measures to reduce discrimination. It utilizes a textual analysis methodology, which involves gathering qualitative data from relevant literature on definitions of discrimination. The research methodology focuses on exploring the various forms of discrimination and their implications in insurance pricing models. Through textual analysis, this paper identifies the specific characteristics and implications of each form of discrimination in the general insurance industry. This research contributes to the theoretical understanding of discrimination in insurance pricing. By analyzing and interpreting relevant literature, this paper provides insights into the definitions of discrimination and the laws and regulations surrounding it. This theoretical foundation can inform future empirical research on discrimination in insurance pricing using relevant theories of probability theory.

Keywords: algorithmic discrimination, direct and indirect discrimination, proxy discrimination, unfair discrimination, insurance pricing

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Authors: The Danh Phan

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House price forecasting is a main topic in the real estate market research. Effective house price prediction models could not only allow home buyers and real estate agents to make better data-driven decisions but may also be beneficial for the property policymaking process. This study investigates the housing market by using machine learning techniques to analyze real historical house sale transactions in Australia. It seeks useful models which could be deployed as an application for house buyers and sellers. Data analytics show a high discrepancy between the house price in the most expensive suburbs and the most affordable suburbs in the city of Melbourne. In addition, experiments demonstrate that the combination of Stepwise and Support Vector Machine (SVM), based on the Mean Squared Error (MSE) measurement, consistently outperforms other models in terms of prediction accuracy.

Keywords: house price prediction, regression trees, neural network, support vector machine, stepwise

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Authors: M. Babul Hasan

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Management sciences (MS), big group of companies and industries or government policies (GP) is affiliated with a huge number of decision ingredients and complicated restrictions. Every factor in MS, every product in Industries or decision in GP is not always bankable in practice. After formulating these models there arises large-scale mixed integer programming (MIP) problem. In this paper, we developed decomposition-based pricing procedure to filter the unnecessary decision ingredients from MIP where the variables in huge number will be abated and the complicacy of restrictions will be elementary. A real life numerical example has been illustrated to demonstrate the methods. We develop the computer techniques for these methods by using a mathematical programming language (AMPL).

Keywords: Lagrangian relaxation, decomposition, sub-problem, master-problem, pricing, mixed IP, AMPL

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Authors: B. F. Nteumagne, E. Pindza, E. Mare

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We apply Lie symmetries analysis to price and hedge options in the fractional Brownian framework. The reputation of Lie groups is well spread in the area of Mathematical sciences and lately, in Finance. In the presence of transactions costs and under fractional Brownian motions, analytical solutions become difficult to obtain. Lie symmetries analysis allows us to simplify the problem and obtain new analytical solution. In this paper, we investigate the use of symmetries to reduce the partial differential equation obtained and obtain the analytical solution. We then proposed a hedging procedure and calibration technique for these types of options, and test the model on real market data. We show the robustness of our methodology by its application to the pricing of digital options.

Keywords: fractional brownian model, symmetry, transaction cost, option pricing

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Authors: Mimi Hafizah Abdullah, Hanani Farhah Harun, Nik Ruzni Nik Idris

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With the implied volatility as an important factor in financial decision-making, in particular in option pricing valuation, and also the given fact that the pricing biases of Leland option pricing models and the implied volatility structure for the options are related, this study considers examining the implied adjusted volatility smile patterns and term structures in the S&P/ASX 200 index options using the different Leland option pricing models. The examination of the implied adjusted volatility smiles and term structures in the Australian index options market covers the global financial crisis in the mid-2007. The implied adjusted volatility was found to escalate approximately triple the rate prior the crisis.

Keywords: implied adjusted volatility, financial crisis, Leland option pricing models, Australian index options

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Authors: Urmi Khatri

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Capital asset pricing model (CAPM) draws a direct relationship between the risk and the expected rate of return. There was a criticism on the beta and the assumptions of CAPM, as they are not applicable in the real world. Fama French Three Factor Model and Fama French Five Factor Model have given different factors, which have an impact on the return of any asset like size, value, investment and profitability. This study proposes to see Capital Asset pricing Model through the lenses of the quality aspect. In the study, the six factors are studied. The Fama French Five Factor Model and addition of the quality dimension are studied. Here, Graham’s seven quality and quantity criteria are measured to determine the score of the sample firms. Thus, this study tries to check the model fit. The beta coefficient of the quality dimension and the R square value is seen to determine validity of the proposed model. The sample is drawn from the firms listed on Indian Stock Exchange (BSE). For the study, only nonfinancial firms are been selected. The time period of the study is from January 1999 to December 2019. Hence, the primary objective of the study is to check how robust the model becomes after giving the quality dimension to the capital asset pricing model in addition to the size, value, profitability and investment.

Keywords: asset pricing model, CAPM, Graham’s score, G-score, multifactor model, quality

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Authors: Saeed Sayyad Hagh Shomar

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Traffic congestion pricing in urban streets is one of the most suitable options for solving the traffic problems and environment pollutions in the cities of the country. Unlike its acceptable outcomes, there are problems concerning the necessity to pay by the mass. Regarding the fact that public response in order to succeed in this strategy is so influential, studying their response and behavior to get the feedback and improve the strategies is of great importance. In this study, a questionnaire was used to examine the public reactions to the traffic congestion pricing schemes at the center of Tehran metropolis and the factors involved in people’s decision making in accepting or rejecting the congestion pricing schemes were assessed based on the data obtained from the questionnaire as well as the international experiences. Then, by analyzing and comparing the schemes, guidelines to reduce public objections to them are discussed. The results of reviewing and evaluating the public reactions show that all the pros and cons must be considered to guarantee the success of these projects. Consequently, with targeted public education and consciousness-raising advertisements, prior to initiating a scheme and ensuring the mechanism of the implementation after the start of the project, the initial opposition is reduced and, with the gradual emergence of the real and tangible benefits of its implementation, users’ satisfaction will increase.

Keywords: demand management, international experiences, traffic congestion pricing, public acceptance, public reactions, public objection

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Authors: Khalid Bashir, Hammad Zahid

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Most of the investors consider that economic and financial information is the most important at the time of making investment decisions. But it is not true, as in the past two decades, the Behavioral aspects and the behavioral biases have gained an important place in the decision-making process of an investor. This study is basically conducted on this fact. The purpose of this study is to examine the impact of behavioral factors on the decision-making of the individual real estate investor in Pakistan. Some important behavioral factors like overconfidence, anchoring, gambler’s fallacy, home bias, loss aversion, regret aversion, mental accounting, herding and representativeness are used in this study to find their impact on the psychology of individual investors. The targeted population is the real estate investor of Pakistan, and a sample of 650 investors is selected on the basis of convenience sampling technique. The data is collected through the questionnaire with a response rate of 46.15 %. Descriptive statistical techniques and SEM are used to analyze the data by using statistical software. The results revealed the fact that some behavioral factors have a significant impact on the decision-making of investors. Among all the behavioral biases, overconfidence, anchoring, gambler’s fallacy, loss aversion and representativeness have a significant positive impact on the decision-making of the individual investor, while the rest of biases like home bias, regret aversion, mental accounting, herding have less impact on the decision-making process of an individual.

Keywords: behavioral finance, anchoring, gambler’s fallacy, loss aversion

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Authors: Kien Vu, Jien Min Soh, Mohamed Jahangir Abubacker, Piyawut Pattamanon, Soojin Lee, Suvro Banerjee

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Recent advances in Generative Artificial Intelligence (GenAI), in particular Large Language Models (LLMs) have shown promise to disrupt multiple industries at scale. However, LLMs also present unique challenges, notably, these so-called "hallucination" which is the generation of outputs that are not grounded in the input data that hinders its adoption into production. Common practice to mitigate hallucination problem is utilizing Retrieval Agmented Generation (RAG) system to ground LLMs'response to ground truth. RAG converts the grounding documents into embeddings, retrieve the relevant parts with vector similarity between user's query and documents, then generates a response that is not only based on its pre-trained knowledge but also on the specific information from the retrieved documents. However, the RAG system is not suitable for tabular data and subsequent data analysis tasks due to multiple reasons such as information loss, data format, and retrieval mechanism. In this study, we have explored a novel methodology that combines planning-and-execution and code generation agents to enhance LLMs' data analysis capabilities. The approach enables LLMs to autonomously dissect a complex analytical task into simpler sub-tasks and requirements, then convert them into executable segments of code. In the final step, it generates the complete response from output of the executed code. When deployed beta version on DataSense, the property insight tool of PropertyGuru, the approach yielded promising results, as it was able to provide market insights and data visualization needs with high accuracy and extensive coverage by abstracting the complexities for real-estate agents and developers from non-programming background. In essence, the methodology not only refines the analytical process but also serves as a strategic tool for real estate professionals, aiding in market understanding and enhancement without the need for programming skills. The implication extends beyond immediate analytics, paving the way for a new era in the real estate industry characterized by efficiency and advanced data utilization.

Keywords: large language model, reasoning, planning and execution, code generation, natural language processing, prompt engineering, data analysis, real estate, data sense, PropertyGuru

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Authors: Mahdy Elhusseiny, Richard Gearhart, Mariam Alyammahi

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In this study we analyse the impact of a number of major macroeconomic variables on industry-specific excess rates of return. In later specifications, we include time and recession fixed effects, to potentially capture time-specific trends that may have been changing over our panel. We have a number of results that bear mentioning. Seasonal and temporal factors found to have very large role in sector-specific excess returns. Increases in M1(money supply) decreases bank, insurance, real estate, and telecommunications, while increases industrial and transportation excess returns. The results indicate that the market return increases every sector-specific rate of return. The 2007 to 2009 recession significantly reduced excess returns in the bank, real estate, and transportation sectors.

Keywords: macroeconomic factors, industry returns, fixed effects, temporal factors

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Authors: Saeed Sayyad Hagh Shomar

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Traffic congestion pricing – as a strategy in travel demand management in urban areas to reduce traffic congestion, air pollution and noise pollution – has drawn many attentions towards itself. Unlike the satisfying findings in this method, there are still problems in determining the best functional congestion pricing scheme with regard to the situation. The so-called problems in this process will result in further complications and even the scheme failure. That is why having proper knowledge of the significance of congestion pricing schemes and the effective factors in choosing them can lead to the success of this strategy. In this study, first, a variety of traffic congestion pricing schemes and their components are introduced; then, their functional usage is discussed. Next, by analyzing and comparing the barriers, limitations and advantages, the selection criteria of pricing schemes are described. The results, accordingly, show that the selection of the best scheme depends on various parameters. Finally, based on examining the effective parameters, it is concluded that the implementation of area-based schemes (cordon and zonal) has been more successful in non-diversion of traffic. That is considering the topology of the cities and the fact that traffic congestion is often created in the city centers, area-based schemes would be notably functional and appropriate.

Keywords: congestion pricing, demand management, flat toll, variable toll

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Authors: Jasman Tuyon, Zamri Ahmad

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Behavioral asset pricing research has been gaining momentum since in 1990s. However, it is still incomplete and has been criticized for some philosophical, theoretical and model specification limitations. Due to these drawbacks, investors’ behaviors as a source of risk in behavioral asset pricing modeling still remains disputable. This paper aims to address these issues with an alternative perspective based on behavioral finance paradigm. Specifically, this paper proposes a theoretical linkages of both fundamental and behavioral risks on stock prices formation and an extension of the multifactor stock pricing model by combining multi-factor fundamentals and behavioral risks factors.

Keywords: behavioral finance, multifactor asset pricing, behavioral risks, fundamental risks

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Authors: Virgilio Angelo Gelera Gener

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This study investigates the role of short-term accommodations on the place brand and real estate development of urban areas. It aims to know the perceptions of the general public, real estate developers, as well as city and barangay-level local government units (LGUs) on how these lodgings affect the place brand and land value of a community. It likewise attempts to identify the personal and institutional variables having a great influence on said perceptions in order to provide a better understanding of these establishments and their relevance within urban localities. Using certain sources, Malate, Manila was identified to be the ideal study area of the thesis. This prompted the employment of mixed methods research as the study’s fundamental data gathering and analytical tool. Here, a survey with 350 locals was done, asking them questions that would answer the aforementioned queries. Thereafter, a Pearson Chi-square Test and Multinomial Logistic Regression (MLR) were utilized to determine the variables affecting their perceptions. There were also Focus Group Discussions (FGDs) with the three (3) most populated Malate barangays, as well as Key Informant Interviews (KIIs) with selected city officials and fifteen (15) real estate company representatives. With that, survey results showed that although a 1992 Department of Tourism (DOT) Circular regards short-term accommodations as lodgings mainly for travelers, most people actually use it for their private/intimate moments. Because of this, the survey further revealed that short-term accommodations exhibit a negative place brand among the respondents though they also believe that it’s still one of society’s most important economic players. Statistics from the Pearson Chi-square Test, on the other hand, indicate that there are fourteen (14) out of seventeen (17) variables exhibiting great influence on respondents’ perceptions. Whereas MLR findings show that being born in Malate and being part of a family household was the most significant regardless of socio-economic level and monthly household income. For the city officials, it was revealed that said lodgings are actually the second-highest earners in the City’s lodging industry. It was further stated that their zoning ordinance treats short-term accommodations just like any other lodging enterprise. So it’s perfectly legal for these establishments to situate themselves near residential areas and/or institutional structures. A sit down with barangays, on the other hand, recognized the economic benefits of short-term accommodations but likewise admitted that it contributes a negative place brand to the community. Lastly, real estate developers are amenable to having their projects built near short-term accommodations, for they do not have any bad views against it. They explained that their projects sites have always been motivated by suitability, liability, and marketability factors only. Overall, these findings merit a recalibration of the zoning ordinance and DOT Circular, as well as the imposition of regulations on their sexually suggestive roadside advertisements. Then, once relevant measures are refined for proper implementation, it can also pave the way for spatial interventions (like visual buffer corridors) to better address the needs of the locals, private groups, and government.

Keywords: estate planning, place brand, real estate development, short-term accommodations

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Authors: Changhong Guo, Shaomei Fang, Yong He

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In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional g-Brownian motion, Taylor's series of fractional order, uncertain volatility

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Authors: Hasibe Berfu Demi̇r, Şakir Esnaf

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In the past decade, extensive improvements have been done in electrical grid infrastructures. It is very important to make plans on supply, demand, transmission, distribution and pricing for the development of the electricity energy sector. Based on this perspective, in this study, Stackelberg game approach is proposed for demand participation management (DRM), which has become an important component in the smart grid to effectively reduce power generation costs and user bills. The purpose of this study is to examine electricity consumption from a dynamic pricing perspective. The results obtained were compared with the current situation and the results were interpreted.

Keywords: lectricity, stackelberg, smart grid, demand response managment, dynamic pricing

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Authors: Mohammad Saber Rohi, Saghar Heidari

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In this paper, we studied the pricing problem of American options under a regime-switching model with the possibility of a non-optimal exercise policy (early or late exercise time) which is called an irrational strategy. For this, we consider a Markovmodulated model for the dynamic of the underlying asset as an alternative model to the classical Balck-Scholes-Merton model (BSM) and an intensity-based model for the irrational strategy, to provide more realistic results for American option prices under the irrational behavior in real financial markets. Applying a partial differential equation (PDE) approach, the pricing problem of American options under regime-switching models can be formulated as coupled PDEs. To solve the resulting systems of PDEs in this model, we apply a finite element method as the numerical solving procedure to the resulting variational inequality. Under some appropriate assumptions, we establish the stability of the method and compare its accuracy to some recent works to illustrate the suitability of the proposed model and the accuracy of the applied numerical method for the pricing problem of American options under the regime-switching model with irrational behaviors.

Keywords: irrational exercise strategy, rationality parameter, regime-switching model, American option, finite element method, variational inequality

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Authors: Sun-Young Jang, Sung-Ah Kim, Dongyoun Shin

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Current real-estate value estimation, difficult for laymen, usually is performed by specialists. This paper presents an automated estimation process based on big data and machine-learning technology that calculates influences of building conditions on real-estate price measurement. The present study analyzed actual building sales sample data for Nonhyeon-dong, Gangnam-gu, Seoul, Korea, measuring the major influencing factors among the various building conditions. Further to that analysis, a prediction model was established and applied using RapidMiner Studio, a graphical user interface (GUI)-based tool for derivation of machine-learning prototypes. The prediction model is formulated by reference to previous examples. When new examples are applied, it analyses and predicts accordingly. The analysis process discerns the crucial factors effecting price increases by calculation of weighted values. The model was verified, and its accuracy determined, by comparing its predicted values with actual price increases.

Keywords: apartment complex, big data, life-cycle building value analysis, machine learning

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Authors: Arlan Zandro Brucal, John Lynham

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With the accelerated sea-level rise (SLR) increasingly becoming a concern, demand for coastal management and protection is expected to grow. Among the coastal management and protection methods, building seawalls are among the most controversial due to the negative externalities they impose on beachgoers and neighboring properties. This paper provides estimates of the external cost associated with building seawalls on the island of Oahu in Hawaii. Using hedonic pricing approach on real properties sold between 1980-2010 and aerial photographs of seawalls in 1995, the paper finds that (1) while seawalls do increase the value of protected properties, the share of armored properties appear to be negatively correlated with property sale prices, suggesting that the positive effect of seawalls tend to decline as more and more rely on this coastal management method; and (2) the value of beachfront properties tend to decline as they get approach seawalls. Results suggest that policymakers should devise a policy that would internalize the externalities associated with private-sector adaptation to climate change.

Keywords: private sector climate change adaptation, externalities, sea-level rise, hedonic pricing

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Authors: Mehak Masood

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This paper aims to design an integrated solid waste management plan for industrial estates taking Sundar Industrial Estate as case model. The issue of solid waste management is on the rise in Pakistan especially in the industrial sector. In this regard, the concept of development and establishment of industrial estates is gaining popularity nowadays. Without proper solid waste management plan it is very difficult to manage day to day affairs of industrial estates. An industrial estate contains clusters of different types of industrial units. It is necessary to identify different types of solid waste streams from each industrial cluster within the estate. In this study, Sundar Industrial Estate was taken as a case model. Primary and secondary data collection, waste assessment, waste segregation and weighing and field surveys were essential elements of the study. Wastes from each industrial process were identified and quantified. Currently 130 industries are in production but after full colonization of industries this number would reach 385. Elaborated process flow diagrams were made to characterize the recyclable and non-recyclables waste. From the study it was calculated that about 12354.1 kg/captia/day of solid waste is being generated in Sundar Industrial Estate. After the full colonization of the industrial estate, the estimated quantity will be 4756328.5 kg/captia/day. Furthermore, solid waste generated from each industrial sector was estimated. Suggestions for collection and transportation are given. Environment friendly solid waste management practices are suggested. If an effective integrated waste management system is developed and implemented it will conserve resources, create jobs, reduce poverty, conserve natural resources, protect the environment, save collection, transportation and disposal costs and extend the life of disposal sites. A major outcome of this study is an integrated solid waste management plan for the Sundar Industrial Estate which requires immediate implementation.

Keywords: integrated solid waste management plan, industrial estates, Sundar Industrial Estate, Pakistan

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Authors: Yasmine Essafi Zouari, Aya Nasreddine

Abstract:

Following a long inflationary period from the post-war era to the mid-1980s (+10.1% annually), France went through a moderate inflation period between 1986 and 2001 (+2.1% annually) and even lower inflation between 2002 and 2016 (+1.4% annually). In 2022, inflation in France increased rapidly and reached 4.5% over one year in March, according to INSEE estimates. Over a long period, even low inflation has an impact on portfolio value and households’ purchasing power. In such a context, inflation hedging should remain an important issue for investors. In particular, long-term investors, who are concerned with the protection of their wealth, seek to hold effective hedging assets. Considering a mixed-asset portfolio composed of housing assets (residential real estate in 150 Grand Paris communes) as well as financial assets, and using both correlation and regression analysis, results confirm the attribute of the direct housing investment as an inflation hedge especially particularly against its unexpected component. Further, cash and bonds were found to provide respectively a partial and an over hedge against unexpected inflation. Stocks act as a perverse hedge against unexpected inflation and provide no significant positive hedge against expected inflation.

Keywords: direct housing, inflation, hedging ability, optimal portfolio, Grand Paris metropolis

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Authors: Peng Yew Wong

Abstract:

House prices in the Australian capital cities were at record levels subsequent to Global Financial Crisis (GFC) 2008 and many believed that foreign investors, especially the Chinese investors, were the main reason for the Australian capital cities’ house prices escalation. This research conducted an Australian cross border semi-structured interviews in Shanghai, China to uncover historical evidence and emerging trend supporting the existence of a significant relationship between overseas investors and residential housing markets performance in Australia subsequent to the GFC 2008. Some unique investment strategies of private investors from China which emphasised on non-capitalist factors such as early education were identified, alongside with some insights on the significant China government policies that have incentivised the cross border investments from China. It is believed that this understanding will assist policy makers to effectively manage the overheated Australian residential property market without compromising the steady flow of FREI.

Keywords: Australian housing market, residential property, foreign real estate investment, education, China investor

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