Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 28

Search results for: Options

28 A Real Options Analysis of Foreign Direct Investment Competition in a News Uncertain Environment

Authors: J. Zambujal-Oliveira

Abstract:

The relation between taxation states and foreign direct investment has been studied for several perspectives and with states of different levels of development. Usually it's only considered the impact of tax level on the foreign direct investment volume. This paper enhances this view by assuming that multinationals companies (MNC) can use transfer prices systems and have got investment timing flexibility. Thus, it evaluates the impact of the use of international transfer pricing systems on the states- policy and on the investment timing of the multinational companies. In uncertain business environments (with periodical release of news), the investment can increase if MNC detain investment delay options. This paper shows how tax differentials can attract foreign direct investments (FDI) and influence MNC behavior. The equilibrium is set in a global environment where MNC can shift their profits between states depending on the corporate tax rates. Assuming the use of transfer pricing schemes, this paper confirms the relationship between MNC behavior and the release of new business news.

Keywords: Corporate Taxation, International Profit Shifting, Real Options

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27 Agreement Options on Multi Criteria Group Decision and Negotiation

Authors: Christiono Utomo, Arazi Idrus, Madzlan Napiah, Mohd. Faris Khamidi

Abstract:

This paper presents a conceptual model of agreement options on negotiation support for civil engineering decision. The negotiation support facilitates the solving of group choice decision making problems in civil engineering decision to reduce the impact of mud volcano disaster in Sidoarjo, Indonesia. The approach based on application of analytical hierarchy process (AHP) method for multi criteria decision on three level of decision hierarchy. Decisions for reducing impact is very complicated since many parties involved in a critical time. Where a number of stakeholders are involved in choosing a single alternative from a set of solution alternatives, there are different concern caused by differing stakeholder preferences, experiences, and background. Therefore, a group choice decision support is required to enable each stakeholder to evaluate and rank the solution alternatives before engaging into negotiation with the other stakeholders. Such civil engineering solutions as alternatives are referred to as agreement options that are determined by identifying the possible stakeholder choice, followed by determining the optimal solution for each group of stakeholder. Determination of the optimal solution is based on a game theory model of n-person general sum game with complete information that involves forming coalitions among stakeholders.

Keywords: Agreement options, AHP, agent, negotiation, multicriteria, game theory, and coalition.

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26 The Application of Real Options to Capital Budgeting

Authors: George Yungchih Wang

Abstract:

Real options theory suggests that managerial flexibility embedded within irreversible investments can account for a significant value in project valuation. Although the argument has become the dominant focus of capital investment theory over decades, yet recent survey literature in capital budgeting indicates that corporate practitioners still do not explicitly apply real options in investment decisions. In this paper, we explore how real options decision criteria can be transformed into equivalent capital budgeting criteria under the consideration of uncertainty, assuming that underlying stochastic process follows a geometric Brownian motion (GBM), a mixed diffusion-jump (MX), or a mean-reverting process (MR). These equivalent valuation techniques can be readily decomposed into conventional investment rules and “option impacts", the latter of which describe the impacts on optimal investment rules with the option value considered. Based on numerical analysis and Monte Carlo simulation, three major findings are derived. First, it is shown that real options could be successfully integrated into the mindset of conventional capital budgeting. Second, the inclusion of option impacts tends to delay investment. It is indicated that the delay effect is the most significant under a GBM process and the least significant under a MR process. Third, it is optimal to adopt the new capital budgeting criteria in investment decision-making and adopting a suboptimal investment rule without considering real options could lead to a substantial loss in value.

Keywords: real options, capital budgeting, geometric Brownianmotion, mixed diffusion-jump, mean-reverting process

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25 Agreement Options in Multi-person Decision on Optimizing High-Rise Building Columns

Authors: Christiono Utomo, Arazi Idrus, Madzlan Napiah, Mohd. Faris Khamidi

Abstract:

This paper presents a conceptual model of agreement options for negotiation support in multi-person decision on optimizing high-rise building columns. The decision is complicated since many parties involved in choosing a single alternative from a set of solutions. There are different concern caused by differing preferences, experiences, and background. Such building columns as alternatives are referred to as agreement options which are determined by identifying the possible decision maker group, followed by determining the optimal solution for each group. The group in this paper is based on three-decision makers preferences that are designer, programmer, and construction manager. Decision techniques applied to determine the relative value of the alternative solutions for performing the function. Analytical Hierarchy Process (AHP) was applied for decision process and game theory based agent system for coalition formation. An n-person cooperative game is represented by the set of all players. The proposed coalition formation model enables each agent to select individually its allies or coalition. It further emphasizes the importance of performance evaluation in the design process and value-based decision.

Keywords: Agreement options, coalition, group choice, game theory, building columns selection.

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24 Using Exponential Lévy Models to Study Implied Volatility patterns for Electricity Options

Authors: Pinho C., Madaleno M.

Abstract:

German electricity European options on futures using Lévy processes for the underlying asset are examined. Implied volatility evolution, under each of the considered models, is discussed after calibrating for the Merton jump diffusion (MJD), variance gamma (VG), normal inverse Gaussian (NIG), Carr, Geman, Madan and Yor (CGMY) and the Black and Scholes (B&S) model. Implied volatility is examined for the entire sample period, revealing some curious features about market evolution, where data fitting performances of the five models are compared. It is shown that variance gamma processes provide relatively better results and that implied volatility shows significant differences through time, having increasingly evolved. Volatility changes for changed uncertainty, or else, increasing futures prices and there is evidence for the need to account for seasonality when modelling both electricity spot/futures prices and volatility.

Keywords: Calibration, Electricity Markets, Implied Volatility, Lévy Models, Options on Futures, Pricing

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23 The Use of Artificial Neural Network in Option Pricing: The Case of S and P 100 Index Options

Authors: Zeynep İltüzer Samur, Gül Tekin Temur

Abstract:

Due to the increasing and varying risks that economic units face with, derivative instruments gain substantial importance, and trading volumes of derivatives have reached very significant level. Parallel with these high trading volumes, researchers have developed many different models. Some are parametric, some are nonparametric. In this study, the aim is to analyse the success of artificial neural network in pricing of options with S&P 100 index options data. Generally, the previous studies cover the data of European type call options. This study includes not only European call option but also American call and put options and European put options. Three data sets are used to perform three different ANN models. One only includes data that are directly observed from the economic environment, i.e. strike price, spot price, interest rate, maturity, type of the contract. The others include an extra input that is not an observable data but a parameter, i.e. volatility. With these detail data, the performance of ANN in put/call dimension, American/European dimension, moneyness dimension is analyzed and whether the contribution of the volatility in neural network analysis make improvement in prediction performance or not is examined. The most striking results revealed by the study is that ANN shows better performance when pricing call options compared to put options; and the use of volatility parameter as an input does not improve the performance.

Keywords: Option Pricing, Neural Network, S&P 100 Index, American/European options

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22 Numerical Methods versus Bjerksund and Stensland Approximations for American Options Pricing

Authors: Marasovic Branka, Aljinovic Zdravka, Poklepovic Tea

Abstract:

Numerical methods like binomial and trinomial trees and finite difference methods can be used to price a wide range of options contracts for which there are no known analytical solutions. American options are the most famous of that kind of options. Besides numerical methods, American options can be valued with the approximation formulas, like Bjerksund-Stensland formulas from 1993 and 2002. When the value of American option is approximated by Bjerksund-Stensland formulas, the computer time spent to carry out that calculation is very short. The computer time spent using numerical methods can vary from less than one second to several minutes or even hours. However to be able to conduct a comparative analysis of numerical methods and Bjerksund-Stensland formulas, we will limit computer calculation time of numerical method to less than one second. Therefore, we ask the question: Which method will be most accurate at nearly the same computer calculation time?

Keywords: Bjerksund and Stensland approximations, Computational analysis, Finance, Options pricing, Numerical methods.

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21 Renewable Energy Supply Options in Kuwait

Authors: Osamah A. Alsayegh, Fatma A. Fairouz

Abstract:

This paper compares planning results of the electricity and water generation inventory up to year 2030 in the State of Kuwait. Currently, the generation inventory consists of oil and gas fired technologies only. The planning study considers two main cases. The first case, Reference case, examines a generation inventory based on oil and gas fired generation technologies only. The second case examines the inclusion of renewables as part of the generation inventory under two scenarios. In the first scenario, Ref-RE, renewable build-out is based on optimum economic performance of overall generation system. Result shows that the optimum installed renewable capacity with electric energy generation of 11% . In the second scenario, Ref-RE20, the renewable capacity build-out is forced to provide 20% of electric energy by 2030. The respective energy systems costs of Reference, Ref-RE and Ref-RE20 case scenarios reach US dollar 24, 10 and 14 billion annually in 2030.

Keywords: Generation inventory, solar, planning, TIMES, wind.

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20 The Context-s Influence on the Evolution of Cioran: The Options of an Engaged Philosopher

Authors: Mara Magda Maftei

Abstract:

The article emphasizes the ideological commitment of the philosopher Emil Cioran. It presents firstly Cioran's works on the theme announced by the title, then the European context that determined the political option of Cioran and a brief analysis of his relationship with History during his French period. The anti- Semitism of Cioran was favored by his attachment to a few philosophers, but also by the European extremist and anti-Semitic context. The article seeks to demonstrate that the philosopher Cioran, known more for his pessimism and nihilism, maintained in time an obsessive relationship with History. His political philosophy is as important as his subjective philosophy, better known than the former.

Keywords: Cioran, French writings, History, Iron Guard

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19 The Effects of Misspecification of Stochastic Processes on Investment Appraisal

Authors: George Yungchih Wang

Abstract:

For decades financial economists have been attempted to determine the optimal investment policy by recognizing the option value embedded in irreversible investment whose project value evolves as a geometric Brownian motion (GBM). This paper aims to examine the effects of the optimal investment trigger and of the misspecification of stochastic processes on investment in real options applications. Specifically, the former explores the consequence of adopting optimal investment rules on the distributions of corporate value under the correct assumption of stochastic process while the latter analyzes the influence on the distributions of corporate value as a result of the misspecification of stochastic processes, i.e., mistaking an alternative process as a GBM. It is found that adopting the correct optimal investment policy may increase corporate value by shifting the value distribution rightward, and the misspecification effect may decrease corporate value by shifting the value distribution leftward. The adoption of the optimal investment trigger has a major impact on investment to such an extent that the downside risk of investment is truncated at the project value of zero, thereby moving the value distributions rightward. The analytical framework is also extended to situations where collection lags are in place, and the result indicates that collection lags reduce the effects of investment trigger and misspecification on investment in an opposite way.

Keywords: GBM, real options, investment trigger, misspecification, collection lags

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18 Iran’s Gas Flare Recovery Options Using MCDM

Authors: Halle Bakhteeyar, Azadeh Maroufmashat, Abbas Maleki, Sourena Sattari Khavas

Abstract:

In this paper, five options of Iran’s gas flare recovery have been compared via MCDM method. For developing the model, the weighing factor of each indicator an AHP method is used via the Expert-choice software. Several cases were considered in this analysis. They are defined where the priorities were defined always keeping one criterion in first position, while the priorities of the other criteria were defined by ordinal information defining the mutual relations of the criteria and the respective indicators. The results, show that amongst these cases, priority is obtained for CHP usage where availability indicator is highly weighted while the pipeline usage is obtained where environmental indicator highly weighted and the injection priority is obtained where economic indicator is highly weighted and also when the weighing factor of all the criteria are the same the Injection priority is obtained.

Keywords: Flare, Gas, Iran.

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17 Municipal Solid Waste: Pre-Treatment Options and Benefits on Landfill Emissions

Authors: Bakare Babatunde Femi

Abstract:

Municipal solid waste (MSW) comprises of a wide range of heterogeneous materials generated by individual, household or organization and may include food waste, garden wastes, papers, textiles, rubbers, plastics, glass, ceramics, metals, wood wastes, construction wastes but it is not limited to the above mentioned fractions. The most common Municipal Solid Waste pretreatment method in use is thermal pretreatment (incineration) and Mechanical Biological pretreatment. This paper presents an overview of these two pretreatment methods describing their benefits and laboratory scale reactors that simulate landfill conditions were constructed in order to compare emissions in terms of biogas production and leachate contamination between untreated Municipal Solid Waste and Mechanical Biological Pretreated waste. The findings of this study showed that Mechanical Biological pretreatment of waste reduces the emission level of waste and the benefit over the landfilling of untreated waste is significant.

Keywords: emissions, mechanical biological pretreatment, MSW, thermal pretreatment

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16 A Framework of Monte Carlo Simulation for Examining the Uncertainty-Investment Relationship

Authors: George Yungchih Wang

Abstract:

This paper argues that increased uncertainty, in certain situations, may actually encourage investment. Since earlier studies mostly base their arguments on the assumption of geometric Brownian motion, the study extends the assumption to alternative stochastic processes, such as mixed diffusion-jump, mean-reverting process, and jump amplitude process. A general approach of Monte Carlo simulation is developed to derive optimal investment trigger for the situation that the closed-form solution could not be readily obtained under the assumption of alternative process. The main finding is that the overall effect of uncertainty on investment is interpreted by the probability of investing, and the relationship appears to be an invested U-shaped curve between uncertainty and investment. The implication is that uncertainty does not always discourage investment even under several sources of uncertainty. Furthermore, high-risk projects are not always dominated by low-risk projects because the high-risk projects may have a positive realization effect on encouraging investment.

Keywords: real options, geometric Brownian motion, mixeddiffusion-jump process, mean- reverting process, jump amplitudeprocess

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15 Household Demand for Solid Waste Disposal Options in Malaysia

Authors: Pek Chuen-Khee, Jamal Othman

Abstract:

This paper estimates the economic values of household preference for enhanced solid waste disposal services in Malaysia. The contingent valuation (CV) method estimates an average additional monthly willingness-to-pay (WTP) in solid waste management charges of Ôé¼0.77 to 0.80 for improved waste disposal services quality. The finding of a slightly higher WTP from the generic CV question than that of label-specific, further reveals a higher WTP for sanitary landfill, at Ôé¼0.90, than incineration, at Ôé¼0.63. This suggests that sanitary landfill is a more preferred alternative. The logistic regression estimation procedure reveals that household-s concern of where their rubbish is disposed, age, ownership of house, household income and format of CV question are significant factors in influencing WTP.

Keywords: contingent valuation, logistic regression, solid waste disposal, willingness-to-pay.

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14 Investigating Different Options for Reheating the First Converter Inlet Stream of Sulfur Recovery Units (SRUs)

Authors: H. Ganji, H. R. Mahdipoor, J. Ahmadpanah, H. Naderi

Abstract:

The modified Claus process is the major technology for the recovery of elemental sulfur from hydrogen sulfide. The chemical reactions that can occur in the reaction furnace are numerous and many byproducts such as carbon disulfide and carbon carbonyl sulfide are produced. These compounds can often contribute from 20 to 50% of the pollutants and therefore, should be hydrolyzed in the catalytic converter. The inlet temperature of the first catalytic reactor should be maintained over than 250 °C, to hydrolyze COS and CS2. In this paper, the various configurations for the first converter reheating of sulfur recovery unit are investigated. As a result, the performance of each method is presented for a typical clause unit. The results show that the hot gas method seems to be better than the other methods.

Keywords: Sulfur recovery unit, reaction converter.

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13 Thermal Evaluation of Printed Circuit Board Design Options and Voids in Solder Interface by a Simulation Tool

Authors: B. Arzhanov, A. Correia, P. Delgado, J. Meireles

Abstract:

Quad Flat No-Lead (QFN) packages have become very popular for turners, converters and audio amplifiers, among others applications, needing efficient power dissipation in small footprints. Since semiconductor junction temperature (TJ) is a critical parameter in the product quality. And to ensure that die temperature does not exceed the maximum allowable TJ, a thermal analysis conducted in an earlier development phase is essential to avoid repeated re-designs process with huge losses in cost and time. A simulation tool capable to estimate die temperature of components with QFN package was developed. Allow establish a non-empirical way to define an acceptance criterion for amount of voids in solder interface between its exposed pad and Printed Circuit Board (PCB) to be applied during industrialization process, and evaluate the impact of PCB designs parameters. Targeting PCB layout designer as an end user for the application, a user-friendly interface (GUI) was implemented allowing user to introduce design parameters in a convenient and secure way and hiding all the complexity of finite element simulation process. This cost effective tool turns transparent a simulating process and provides useful outputs after acceptable time, which can be adopted by PCB designers, preventing potential risks during the design stage and make product economically efficient by not oversizing it. This article gathers relevant information related to the design and implementation of the developed tool, presenting a parametric study conducted with it. The simulation tool was experimentally validated using a Thermal-Test-Chip (TTC) in a QFN open-cavity, in order to measure junction temperature (TJ) directly on the die under controlled and knowing conditions. Providing a short overview about standard thermal solutions and impacts in exposed pad packages (i.e. QFN), accurately describe the methods and techniques that the system designer should use to achieve optimum thermal performance, and demonstrate the effect of system-level constraints on the thermal performance of the design.

Keywords: Quad Flat No-Lead packages, exposed pads, junction temperature, thermal management and measurements.

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12 The Participation of Refugee Children with Disabilities in Educational Options in Turkey: A Systematic Review

Authors: Robert L. Williamson, Baris Çetin

Abstract:

Turkey, due to its geographic location, finds itself the world’s largest host to refugees worldwide, and this nation has done much to educate their refugee population. Turkey’s considerable experience can inform other nations educating refugee children. This systematic review of the literature examined the context, barriers, and responses to successfully educating refugee children in Turkey. Additionally, because some refugee children may have an identified or unidentified disability, the educational experiences of refugee children with disabilities in Turkey were an ancillary focus. Results indicated that while some educational challenges have been successfully met within Turkey, others remain. Additionally, the education of children with disabilities in Turkey is largely unexamined.

Keywords: Disability, education, refugee, systematic review, Turkey.

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11 Opportunities and Options for Government to Promote Corporate Social Responsibility in the Czech Republic

Authors: Pavel Adámek

Abstract:

The concept of corporate social responsibility (CSR) in the Czech Republic has evolved notably during the last few years and an issue that started as an interest- and motive-based activity for businesses is becoming more commonplace. Governments have a role to play in ensuring that corporations behave according to the rules and norms of society and can legislate, foster, collaborate with businesses and endorse good practice in order to facilitate the development of CSR. The purpose of this paper is to examine the opportunities and options of CSR in government policy and research its relevance to a business sector. An increasing number of companies is engaging in responsible activities, the public awareness of CSR is rising, and customers are giving higher importance to CSR of companies in their choice. By drawing on existing CSR approach in Czech and understanding of CSR are demonstrated. The paper provides an overview, more detailed government approach of CSR.

Keywords: Approach, corporate social responsibility, government policy, instruments.

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10 Environmental and Economic Scenario Analysis of the Redundant Golf Courses in Japan

Authors: Osamu Saito

Abstract:

Commercial infrastructures intended for use as leisure retreats such as golf and ski resorts have been extensively developed in many rural areas of Japan. However, following the burst of the economic bubble in the 1990s, several existing resorts faced tough management decisions and some were forced to close their business. In this study, six alternative management options for restructuring the existing golf courses (park, cemetery, biofuel production, reforestation, pasturing and abandonment) are examined and their environmental and economic impacts are quantitatively assessed. In addition, restructuring scenarios of these options and an ex-ante assessment model are developed. The scenario analysis by Monte Carlo simulation shows a clear trade-off between GHG savings and benefit/cost (B/C) ratios, of which “Restoring Nature" scenario absorbs the most CO2 among the four scenarios considered, but its B/C ratio is the lowest. This study can be used to select or examine options and scenarios of golf course management and rural environmental management policies.

Keywords: golf courses, restructuring and management options, scenario analysis, Tokyo Metropolitan Area.

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9 Between Policy Options and Technology Applications: Measuring the Sustainable Impacts on Distance Learning

Authors: Subramaniam Chandran

Abstract:

This paper examines the interplay of policy options and cost-effective technology in providing sustainable distance education. A case study has been conducted among the learners and teachers. The emergence of learning technologies through CD, internet, and mobile is increasingly adopted by distance institutes for quick delivery and cost-effective factors. Their sustainability is conditioned by the structure of learners and well as the teaching community. The structure of learners in terms of rural and urban background revealed similarity in adoption and utilization of mobile learning. In other words, the technology transcended the rural-urban dichotomy. The teaching community was divided into two groups on policy issues. This study revealed both cost-effective as well as sustainability impacts on different learners groups divided by rural and urban location.

Keywords: Distance Education, Mobile Learning, Policy, Technology

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8 Future Outlook and Current Situation for Security of Gas Supply in Eastern Baltic Region

Authors: Ando Leppiman, Kati Kõrbe Kaare, Ott Koppel

Abstract:

Growing demand for gas has rekindled a debate on gas security of supply due to supply interruptions, increasing gas prices, cross-border bottlenecks and a growing reliance on imports over longer distances. Security of supply is defined mostly as an infrastructure package to satisfy N-1 criteria. In case of Estonia, Finland, Latvia and Lithuania all the gas infrastructure is built to supply natural gas only from one single supplier, Russia. In 2012 almost 100% of natural gas to the Eastern Baltic Region was supplied by Gazprom. Under such circumstances infrastructure N-1 criteria does not guarantee security of supply. In the Eastern Baltic Region, the assessment of risk of gas supply disruption has been worked out by applying the method of risk scenarios. There are various risks to be tackled in Eastern Baltic States in terms of improving security of supply, such as single supplier risk, physical infrastructure risk, regulatory gap, fair price and competition. The objective of this paper is to evaluate the energy security of the Eastern Baltic Region within the framework of the European Union’s policies and to make recommendations on how to better guarantee the energy security of the region.

Keywords: Security of supply, supply routes for natural gas, energy balance, diversified supply options, common regulative package.

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7 Overview of Risk Management in Electricity Markets Using Financial Derivatives

Authors: Aparna Viswanath

Abstract:

Electricity spot prices are highly volatile under optimal generation capacity scenarios due to factors such as nonstorability of electricity, peak demand at certain periods, generator outages, fuel uncertainty for renewable energy generators, huge investments and time needed for generation capacity expansion etc. As a result market participants are exposed to price and volume risk, which has led to the development of risk management practices. This paper provides an overview of risk management practices by market participants in electricity markets using financial derivatives.

Keywords: Financial Derivatives, Forward, Futures, Options, Risk Management.

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6 An Improved GA to Address Integrated Formulation of Project Scheduling and Material Ordering with Discount Options

Authors: Babak H. Tabrizi, Seyed Farid Ghaderi

Abstract:

Concurrent planning of the resource constraint project scheduling and material ordering problems have received significant attention within the last decades. Hence, the issue has been investigated here with the aim to minimize total project costs. Furthermore, the presented model considers different discount options in order to approach the real world conditions. The incorporated alternatives consist of all-unit and incremental discount strategies. On the other hand, a modified version of the genetic algorithm is applied in order to solve the model for larger sizes, in particular. Finally, the applicability and efficiency of the given model is tested by different numerical instances.

Keywords: Genetic algorithm, material ordering, project management, project scheduling.

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5 Roadmapping as a Collaborative Strategic Decision-Making Process: Shaping Social Dialogue Options for the European Banking Sector

Authors: Christos A. Ioannou, Panagiotis Panagiotopoulos, Lampros Stergioulas

Abstract:

The new status generated by technological advancements and changes in the global economy raises important issues on how communities and organisations need to innovate upon their traditional processes in order to adapt to the challenges of the Knowledge Society. The DialogoS+ European project aims to study the role of and promote social dialogue in the banking sector, strengthen the link between old and new members and make social dialogue at the European level a force for innovation and change, also given the context of the international crisis emerging in 2008- 2009. Under the scope of DialogoS+, this paper describes how the community of Europe-s banking sector trade unions attempted to adapt to the challenges of the Knowledge Society by exploiting the benefits of new channels of communication, learning, knowledge generation and diffusion focusing on the concept of roadmapping. Important dimensions of social dialogue such as collective bargaining and working conditions are addressed.

Keywords: Banking sector, knowledge society, road mapping, social dialogue.

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4 A New Classification of Risk-Reduction Options to Improve the Risk-Reduction Readiness of the Railway Industry

Authors: Eberechi Weli, Michael Todinov

Abstract:

The gap between the selection of risk-reduction options in the railway industry and the task of their effective implementation results in compromised safety and substantial losses. An effective risk management must necessarily integrate the evaluation phases with the implementation phase. This paper proposes an essential categorisation of risk reduction measures that best addresses a standard railway industry portfolio. By categorising the risk reduction options into design, operational, procedural and technical options, it is guaranteed that the efforts of the implementation facilitators (people, processes and supporting systems) are systematically harmonised. The classification is based on an integration of fundamental principles of risk reduction in the railway industry with the systems engineering approach.

This paper argues that the use of a similar classification approach is an attribute of organisations possessing a superior level of risk-reduction readiness. The integration of the proposed rational classification structure provides a solid ground for effective risk reduction.

Keywords: Cost effectiveness, organisational readiness, risk reduction, railway, system engineering.

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3 Water Resources Crisis in Saudi Arabia, Challenges and Possible Management Options: An Analytic Review

Authors: A. A. Ghanim

Abstract:

The Kingdom of Saudi Arabia (KSA) is heading towards a severe and rapidly expanding water crisis, which can have negative impacts on the country’s environment and economy. Of the total water consumption in KSA, the agricultural sector accounts for nearly 87% of the total water use and, therefore, any attempt that overlooks this sector will not help in improving the sustainability of the country’s water resources. KSA Vision 2030 gives priority of water use in the agriculture sector for the regions that have natural renewable water resources. It means that there is little concern for making reuse of municipal wastewater for irrigation purposes in any region in general and in water-scarce regions in particular. The use of treated wastewater is very limited in Saudi Arabia, but it has very considerable potential for future expansion due its numerous beneficial uses. This study reviews the current situation of water resources in Saudi Arabia, providing more highlights on agriculture and wastewater reuse. The reviewed study is proposing some corrective measures for development and better management of water resources in the Kingdom. Suggestions also include consideration of treated water as an alternative source for irrigation in some regions of the country. The study concluded that a sustainable solution for the water crisis in KSA requires implementation of multiple measures in an integrated manner. The integrated solution plan should focus on two main directions: first, improving the current management practices of the existing water resources; second, developing new water supplies from both conventional and non-conventional sources.

Keywords: Saudi Arabia, water resources, water crisis, treated wastewater.

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2 Implied Adjusted Volatility by Leland Option Pricing Models: Evidence from Australian Index Options

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

Abstract:

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.

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1 Self-Adaptive Differential Evolution Based Power Economic Dispatch of Generators with Valve-Point Effects and Multiple Fuel Options

Authors: R.Balamurugan, S.Subramanian

Abstract:

This paper presents the solution of power economic dispatch (PED) problem of generating units with valve point effects and multiple fuel options using Self-Adaptive Differential Evolution (SDE) algorithm. The global optimal solution by mathematical approaches becomes difficult for the realistic PED problem in power systems. The Differential Evolution (DE) algorithm is found to be a powerful evolutionary algorithm for global optimization in many real problems. In this paper the key parameters of control in DE algorithm such as the crossover constant CR and weight applied to random differential F are self-adapted. The PED problem formulation takes into consideration of nonsmooth fuel cost function due to valve point effects and multi fuel options of generator. The proposed approach has been examined and tested with the numerical results of PED problems with thirteen-generation units including valve-point effects, ten-generation units with multiple fuel options neglecting valve-point effects and ten-generation units including valve-point effects and multiple fuel options. The test results are promising and show the effectiveness of proposed approach for solving PED problems.

Keywords: Multiple fuels, power economic dispatch, selfadaptivedifferential evolution and valve-point effects.

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