Change in Seasonality Pattern of EU Farmgate Milk Price

Since 2007 farmgate milk prices in EU have become much more volatile and their seasonal pattern has stopped being so explicit. The purpose of this research is to test the hypothesis that seasonality still plays an important role in shaping farmgate milk prices in EU while its amplitude decreases together with the growing integration of the EU milk market with the global market. The aforementioned issues are investigated using Census X-12 procedure of price decomposition and panel random effects model. The results indicate that after 2007 the role of seasonality in determining EU farmgate milk prices has significantly decreased which partially results from the higher integration of the EU milk market with the global market. Nevertheless, seasonality remains an important factor determining the farmgate milk prices in EU. It can be expected that with the further globalization of the milk market, the significance of seasonality in determining farmgate milk prices in EU will be diminishing.

Taxi planning: Branch and price decomposition

Taxi planning problem studies aircraft routing and scheduling on the airport ground. Taxi planning has been formulated using a binary multicommodity flow model in a space-time airport network. The flow capacity constraints are used to represent the conflicts among aircraft, given an airport’s capacity. Branch and price methodology has been adapted to take advantage of the integer model structures. The computational tests have been run with real data from Adolfo Suárez Madrid-Barajas airport. The tests were oriented toward comparing the new adapted branch and price with the classic Branch and Bound algorithm, trying to obtain conclusions that are useful for airport managers.

Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications

We obtain a Hull and White type option price decomposition for a general local volatility model. We apply the obtained formula to CEV model. As an application we give an approximated closed formula for the call option price under a CEV model and an approximated short term implied volatility surface. These approximated formulas are used to estimate model parameters. Numerical comparison is performed for our new method with exact and approximated formulas existing in the literature.

A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models

We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are nonanticipative. In particular, we also see that equivalent results can be obtained by using Functional Itô Calculus. Using the same generalizing ideas, we also extend to nonexponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the nonanticipative cases.