A stochastic approach to solving bilevel natural gas cash-out problems
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Net cash flow analysis as stochastic processes theory application and the real options theory : a new approachMartha Beatríz Mota Aragón; MARTHA BEATRÍZ MOTA ARAGÓN (Instituto Tecnológico y de Estudios Superiores de Monterrey, 2006)
Mathematical Models of some Evolutionary Systems Under the Influence of Stochastic FactorsRodríguez Said, Roberto D. (Instituto Tecnológico y de Estudios Superiores de Monterrey, 2007-01-12)As it is known, the problem of availability of information is normally addressed using a buffer. Most of the times it is required that the effectiveness or reliability of the system is calculated to optimize the amount of stored information according to the customers random requests and to the amount of incoming information from the supply line. In this thesis, we consider the case of single buffer connected to any number of customers with bursty demands. We model the variation of the level of stored information in the buffer as an evolution in a random media. We assume that the customers can be modeled as semi-Markov stochastic processes and we use the phase merging algorithm to reduce the evolution process in a semi-Markov to an approximated evolutions in a Markov media. Then we obtain a general solution to the stationary probability density of the level of the buffer and general results for the stationary efficiency of the system.
Net Cash Flow Analysis as Stochastic Processes Theory Application and the Real Options Theory: A New Approach-Edición ÚnicaMota Aragón, Martha B. (Instituto Tecnológico y de Estudios Superiores de Monterrey, 2006-12-01)The main contribution of this dissertation is focused on the Capital Investments Theory that influences on Real Option Theory. My Ph.D Thesis asserts that net cash flow (NCF) and the interest rate (rt) of a investment project are stochastic processes. A new model of mean reversion for the NCF administration named “Vasicek extended” is made, among others; the Cox-Ingersoll-Ross (CIR) model for interest rate is considered. A fundamental contribution to this thesis is considering external control variables (Zt) which modify the Net Cash Flow trajectory. To the system of dynamic variables is joined Vector Autoregressive VAR(l) which captures the dynamic interaction of the control variables used by the council administration. We work through from a continuous to a discrete version. Then is explained NPV from my new point of view. The modified NPV(Zt) this gives a more accurate value for valuating VPN(Zt) +<�, � is the real option, therefore we see a step forward on the topic. There is a complete analysis for the discrete case and therefore a complete methodology for applying these ideas to any enterprise in any country. This methodology is applied to the Mexican case, particularly to large enterprises which are listed in the Mexican Stock Market and a taxonomy to get a classification of their situation derivates from it. We arrive 9 naturally possible cases and any enterprise is classified into one of them. The general model are estimated for 69 large enterprises and it shows where every enterprise is located over its corresponding quadrant, this also results as a map allowing having a clear panorama about industrial situation in Mexico. Through the thesis development, we enter upon the information asymmetry notion to obtain the “news cash flow curve” applied to the NCF profit as another contribution. An application on 69 large enterprises listed in the Mexican Stock Market is made.