This paper examines movement in implied volatility with the goal of enhancing the methods of options investment in the derivatives market. Indeed, directional movement of implied volatility is forecasted by being modeled into a function of the option Greeks. The function is structured as a locally stationary model that employs a sliding window, which requires proper selection of window width an...

Timely and accurate yield forecasts prior to and during the milling season present opportunities to improve various industry activities, such as milling operations, international trade and agronomic optimisation. The Canesim model-based yield forecasting system was used to quantify prediction skills at different times of the year, using historic climate data and a history of seasonal climate ou...

Multi-objective optimization algorithms are widely used for the calibration of conceptual hydrological models. Such algorithms yield a set of Pareto-optimal solutions, reflecting the model structure uncertainty. In this study, a multi-objective optimization strategy is suggested, which aims at reducing the model structure uncertainty by considering parameter interaction within Pareto-optimal so...

This paper summarises the result and findings of a research project, that was aiming at design and development of an information system which supports crop forecasting of major agricultural commodities in Iran. In this system, crop area estimates are generated through area frame sampling and processing of satellite data, and yields are derived through the application of crop growth simulation m...

Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, dynamic term structure models, equipped with stronger economic structure, have been mainly adopted to price derivatives and explain empirical stylized facts. In this paper, we c...

Many risk management strategies, including hedging the price risk using forward or futures contracts require accurate forecasts of basis, i.e., spot price minus the futures price. Recent literature in this area has applied nonlinear time-series models, which are refinements of the linear autoregressive models that allow the parameters to transition from one regime to another. These parametric n...

At the micro perspectives, many studies have identified total shipment quantity, wholesale price at previous day, national holiday effect, as the variables affecting the wholesale price level of stored apple. However, the report of production volume effect at a given year on wholesale price level from the point of macro perspectives in practice, especially in agricultural industry, has been rel...

The daily volatility is typically unobserved but can be estimated using high frequent tick-by-tick data. In this paper, we study the problem of forecasting the unobserved volatility using past values of measured volatility. Specifically, we use daily estimates of volatility based on high frequency data, called realized variance, and construct the optimal linear forecast of future volatility. Ut...

We investigate a simple adaptive approach to optimizing seat protection levels in airline revenue management systems. The approach uses only historical observations of the relative frequencies of certain seat-filling events to guide direct adjustments of the seat protection levels in accordance with the optimality conditions of Brumelle and McGill (1993). Stochastic approximation theory is used...

5 Warranty claims reported in recent months might carry more up-to-date information than 6 those reported in earlier months. Using weighted maximum likelihood estimation for esti7 mating model parameters might therefore lead to better performance of warranty forecast8 ing models than maximum likelihood estimation. This paper examines this issue and also 9 presents comparison of the forecasting ...