University of Macau / Faculty of Science and Technology / Department of Mathematics

University of Macau / Faculty of Science and Technology / Department of Mathematics

Closed-loop supply chains (CLSCs) that integrate the activities for reclaiming residual values in postconsumer products with the traditional forward supply chain activities are important from financial and environmental perspectives. This thesis develops models and analyses on three topics novel to the field of CLSC research with a goal of advancing knowledge about effective decision-makings in CLSCs. In the first part of the thesis, we study joint control of stochastic forward and stochastic reverse material flows in CLSCs. With an application to a CLSC where postconsumer products are collected for warranty service purposes, we demonstrate that the benefit of coordinating two production activities could be significant. We develop a model that can be used to obtain an effective inventory control policy for coordinating forward and reverse material flows. Through Monte Carlo simulation and global sensitivity analysis, we identify major influential factors that affect system's warranty cost savings performance. The results indicate that joint control of forward and reverse material flows greatly improves warranty cost savings performance as well as system's robustness to uncertainties. The second part of the thesis develops a differential game model for characterizing decentralized time-varying competitive decision-making in a CLSC. The differential game model is particularly useful for studying time-varying interactive decision-making in CLSCs that involve many stakeholders who pursue different objectives in forward and reverse production activities. We identify optimal prices and production strategies that evolve over time under fluctuating market demand. Also, the model provides a quantitative scheme that can be used to obtain an efficient apportionment of product recovery processes. The third part of the thesis describes the relationship among consumers' risk-aversion, product cannibalization of new products by remanufactured products, and growth of CLSCs through price optimization models. Whereas price is one of the most effective variables for managing market demand, previous CLSC research has mainly focused on operational problems without paying much attention on the interface between CLSCs and markets. We develop models that jointly determine optimal prices in forward and reverse channels considering consumers' willingness-to-pay (WTP) for remanufactured products, consumers' willingness-to-accept (WTA) for a buyback price, and consumers' risk aversion to uncertain quality perceptions. The results show that consumers' active participation in CLSC is an important factor for the viability and growth of a CLSC. Also, we show that companies can benefit from product remanufacturing although it may be accompanied by production cannibalization.

This thesis looks at three aspects related to the design of E-commerce systems, online auctions and distributed grid computing systems. We show how formal verification techniques from computer science can be applied to ensure correctness of system design and implementation at the code level. Through e-ticket sales example, we demonstrate that model checking can locate subtle but critical flaws that traditional control and auditing methods (e.g., penetration testing, analytical procedure) most likely miss. Auditors should understand formal verification methods, enforce engineering to use them to create designs with less of a chance of failure, and even practice formal verification themselves in order to offer credible control and assistance for critical e-systems. Next, we study why many online auctions offer fixed buy prices to understand why sellers and auctioneers voluntarily limit the surplus they can get from an auction. We show when either the seller of the dibbers are risk-averse, a properly chosen fixed permanent buy-price can increase the social surplus and does not decrease the expected utility of the sellers and bidders, and we characterize the unique equilibrium strategies of uniformly risk-averse buyers in a buy-price auction. In the final chapter we look at the design of a distributed grid-computing system. We show how code-instrumentation can be used to generate a witness of program execution, and show how this witness can be used to audit the work of self-interested grid agents. Using a trusted intermediary between grid providers and customers, the audit allows payment to be contingent on the successful audit results, and it creates a verified reputation history of grid providers. We show that enabling the free trade of reputations provides economic incentives to agents to perform the computations assigned, and it induces increasing effort levels as the agents' reputation increases. We show that in such a reputation market only high-type agents would have incentive to purchase a high reputation, and only low-type agents would use low reputations, thus a market works as a natural signaling mechanism about the agents' type. / text

There has been considerable interest in finding and explaining the basic elements that can drive product quality up. In the literature this is largely done by modelling the effects of investing in learning and process improvement, and of cost reduction. In the first essay, demand is modelled as a function of price and quality. With this demand function, the firm should produce output of higher quality, the increase in quality being dependent on consumers’ sensitivity to quality and to price, and the effect of technological improvement on product price and quality are very different from those when the demand is a function of price alone. Some twenty states in the U.S. have passed recycling laws which mandate consumption of old newspaper by the newsprint industry. To study the effect of regulation, a model is used in which two firms compete under the regulatory constraint—one firm producing the recycled product, the other the virgin product. Assuming the regulatory constraint is binding, and the demand for the recycled product is derived solely from the legislation, interesting results such as the two firms share equal profits, and consumers pay higher average price in competitive equilibrium than the cartel price, are obtained in the second essay. The two firm model is generalized to include n firms which compete under the same kind of regulatory constraint in the third essay. Results similar to the two firm case are obtained. When the recycled product and the virgin product are partially substitutable, regulation that mandates consumption of the recycled product results in infinitely many equilibria. A dominating equilibrium exists if the demand parameters satisfy a certain condition, otherwise it is not clear how to select an equilibrium. On the other hand, a suitable tax on the virgin product, or its producer, serves to induce compliance with the recycling policy and equilibrium selection. The equilibrium prices and profits of the two firms under the schemes of production tax, excessive consumption tax and progressive profit tax are examined and compared in the fourth essay. It is interesting to find that the tax rate for excessive consumption is comparatively low and, in equilibrium, this tax scheme collects no tax payment.

The aim of this thesis is to estimate the volatility function of continuoustime stochastic models. The estimation of the volatility of the following wellknown international stock market indexes is presented as an application: Dow Jones Industrial Average, Standard and Poor’s 500, NIKKEI 225, CAC 40, DAX 30, FTSE 100 and IBEX 35. This estimation is studied from two different perspectives: a) assuming that the volatility of the stock market indexes displays shortrange dependence (SRD), and b) extending the previous model for processes with longrange dependence (LRD), intermediaterange dependence (IRD) or SRD. Under the efficient market hypothesis (EMH), the compatibility of the Vasicek, the CIR, the Anh and Gao, and the CKLS models with the stock market indexes is being tested. Nonparametric techniques are presented to test the affinity of these parametric volatility functions with the volatility observed from the data. Under the assumption of possible statistical patterns in the volatility process, a new estimation procedure based on the Whittle estimation is proposed. This procedure is theoretically and empirically proven. In addition, its application to the stock market indexes provides interesting results.

There has been considerable interest in finding and explaining the basic elements that can drive product quality up. In the literature this is largely done by modelling the effects of investing in learning and process improvement, and of cost reduction. In the first essay, demand is modelled as a function of price and quality. With this demand function, the firm should produce output of higher quality, the increase in quality being dependent on consumers’ sensitivity to quality and to price, and the effect of technological improvement on product price and quality are very different from those when the demand is a function of price alone. Some twenty states in the U.S. have passed recycling laws which mandate consumption of old newspaper by the newsprint industry. To study the effect of regulation, a model is used in which two firms compete under the regulatory constraint—one firm producing the recycled product, the other the virgin product. Assuming the regulatory constraint is binding, and the demand for the recycled product is derived solely from the legislation, interesting results such as the two firms share equal profits, and consumers pay higher average price in competitive equilibrium than the cartel price, are obtained in the second essay. The two firm model is generalized to include n firms which compete under the same kind of regulatory constraint in the third essay. Results similar to the two firm case are obtained. When the recycled product and the virgin product are partially substitutable, regulation that mandates consumption of the recycled product results in infinitely many equilibria. A dominating equilibrium exists if the demand parameters satisfy a certain condition, otherwise it is not clear how to select an equilibrium. On the other hand, a suitable tax on the virgin product, or its producer, serves to induce compliance with the recycling policy and equilibrium selection. The equilibrium prices and profits of the two firms under the schemes of production tax, excessive consumption tax and progressive profit tax are examined and compared in the fourth essay. It is interesting to find that the tax rate for excessive consumption is comparatively low and, in equilibrium, this tax scheme collects no tax payment. / Business, Sauder School of / Graduate

Chung Kwong-leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 80-84). / Abstracts in English and Chinese. / ACKNOWOLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTORDUCTION --- p.1 / Chapter TWO --- LITERATURE REVIEW --- p.5 / Volatility / ARCH Models / The Accuracy of ARCH Volatility Estimates / Chapter THREE --- METHODOLOGY --- p.11 / Testing and Estimation / Simulation / Chapter FOUR --- DATA DESCRIPTION AND EMPIRICAL RESULTS --- p.29 / Data Description / Testing and Estimation Results / Simulation Results / Chapter FIVE --- CONCLUSION --- p.45 / TABLES --- p.49 / ILLUSTRATIONS --- p.58 / APPENDICES --- p.77 / BIBOGRAPHY --- p.80

This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of this thesis is to investigate intraday patterns of key variables, the relative size of the components of the quoted bid-ask spread, and the order decisions of uninformed traders, in a continuous dealer market for index futures with market makers. Overall, our findings aim to contribute to a better understanding of the roles of market makers and public customers in price formation. Intraday patterns of financial market variables such as trade price, volume, trade size, quoted spreads, depth, and volatility separately for designated market makers and public customers are examined. The lack of relevant and appropriate data in futures markets, as evidenced by Hasbrouck (2003) and Kurov (2005), has inhibited the growth of market microstructure in futures markets. Individual orders, quotes, trader identification, and transactions from June 2003 to December 2004, for FTSEurofirst 80 and 100 index futures are used in the study. Inclusion of the parties to order execution distinguishes this data set from most other futures microstructure sources. As this thesis is the first known academic study of the extant market microstructure of the FTSEurofirst index futures, the institutional aspects of the trading process for the FTSEurofirst index futures are also explored. An alternative method for estimating three cost components as a proportion of the bid-ask spread is developed. A framework is developed for the order decision process of an uninformed trader for the first time in a futures market with market makers. The results of this thesis may have implications for other financial markets and the field of market microstructure.

Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2006. / An overview of modern and historical interest rate model theory is given with the specific aim of derivative pricing. A variety of stochastic interest rate models are discussed within a South African market context. The various models are compared with respect to characteristics such as mean reversion, positivity of interest rates, the volatility structures they can represent, the yield curve shapes they can represent and weather analytical bond and derivative prices can be found. The distribution of the interest rates implied by some of these models is also found under various measures. The calibration of these models also receives attention with respect to instruments available in the South African market. Problems associated with the calibration of the modern models are also discussed.