Sharif Digital Repository

The need for a fast, light and affordable payment method, was a reason to produce multiple payment channel network on various of networks. To deploy and expand these networks, we need to deploy a profit model for new customers on the betweenness they add to network. In this research we maximum profit solutions for network with fixed payment cost and network with reduced betweenness profit for longer distances.At first, we suggest for a limited fund, we decide to make channels with most betweenness profit and prove it's a np-hard problem. Then for limited charge of making new channels, we show that it's a np-hard too. In graph of a path, we prove there is a solution based on length of path,... 

In the past decade, with the expansion of e-commerce, there has been an unprecedented growth in demand for online retailing. Due to this growth, fast, efficient, and flawless delivery of shipments to final customers has become especially important. On the other hand, the expansion of urbanization and the increase in urban traffic have also created obstacles to efficient delivery. These factors have introduced new challenges for logistics service provider companies. Several innovations have been proposed in recent years to address these problems. Delivery of goods to locations such as the trunk-in-car or shared delivery locations like lockers is one of the key innovations in solving logistics... 

Trip demand analysis is among the most important parts in comprehensive transportation studies. Developing four stage models including trip generation, trip distribution, mode choice, and assignment are so common in demand analyzing. In this study, trip generation models have been studied and to analyze data, two different methods including OLR and GWR are utilized. This study aims to examine relationship between aggregate zones in order to forecast future trips. Moreover, results of modeling trip generation with two different methods, OLR and GWR, are compared. Comparing different levels of aggregation reveals that as the number of zones decreases, the results get better. Decreasing number... 

In this thesis, we examine different forecasting methods to predict volatility in financial markets. Tehran Exchange Price Index (TEPIX) is adapted to forecast in short and long term periods. TEPIX is the most important index in Tehran Stock Market which is officially reported daily. Autoregressive Integrated Moveing Average models (ARIMA), Generalaized Autoregressive Heteroskedastic models (GARCH) and Artificial Neural Networks (ANN) are used for forecasting TEPIX. Spectral Analysis is also regarded as a completely new approach in financial mathematics to forecast TEPIX in short and long term periods. We consider different criteria to compare the performance of different methods of... 

In this thesis, three popular option pricing models, Black and Scholes Model, Heston Model and Bates Model are compared to each other in economic crises situation. We carry out a comparison between different option pricing models based on S&P500 Index options during 2008. First these data are classified regarding to moneyness and maturity time in nine categories and then the performance of the models, exerting two indexes, In Sample performance and Out Of Sample performance are compared in every category. To reach the prices via In Sample performance index, structural parameters of each model are estimated with the data of each day. Then, daily prices are computed by models and compared with... 

Predicting the price that has the least error and can provide the best and highest accuracy has been one of the most challenging issues and one of the most critical concerns among capital market activists and researchers. Therefore, a model that can solve problems and provide results with high accuracy is one of the topics of interest among researchers. In this project, using time series prediction models such as ARIMA to estimate the price, variables, and indicators related to technical analysis show the behavior of traders involved in involving psychological factors for the model. By linking all of these variables to stepwise regression, we identify the best variables influencing the... 

Water shortage, population growth, and high levels of urban water demand are among main challenges of water demand management for developing countries and cities, and also for megacities. Urban water management systems, as they are complex adaptive systems, complex interactions exist among elements affecting the system. In other words, action from a subpart can trigger other parts, and also the whole system to respond in reaction. In this study, socio-economic water consumption behavior of households is studies and simulated in an agent-based modeling platform. First, households are interviewed and, using the qualitative data extracted from interviews and also the behavioral science... 

Iran has the third largest reservoirs of oil and the second largest reservoirs of gas and has the greatest hydrocarbon reservoirs worldwide. Considering the fact that production of oil is highly dependent on gas injection, Iran is facing a great challenge in determining proper strategy for consuming natural gas. Due to the lack of proper strategy form the point of view of economical as well as scientific evaluation in political and social aspects, it has resulted in weakening Iran’s place in international markets and also reduction of oil wells’ productions.In this study, after a review of relevant literature, characteristics of oil and gas projects effective on modeling them were... 

In this thesis, first, the problem of valuation of a portfolio is considered. This portfolio consists of some risky assets and real options written on them, with capital budgeting constrain. Three major elements of this problem are: portfolio, capital budgeting and real options. After reviewing the relevant literature, we develop a framework for managerial decisions about risky assets, by applying of Option Valuation Theory and Stochastic Dynamic Programming. The objective is to fill the gap in the valuation literature and propose a model that considers three aspects of investment decisions– portfolio approach, capital budgeting and real options- simultaneously. The proposed model... 

The problem of developing optimal pricing and inventory allocation strategies has been extensively studied over the past two decades. However, most of the literature in this area assumes that customers are myopic price-takers, and do not respond to firm pricing strategically. In this study, we present review on a class of problems that consider a firm selling a finite number of items over a finite time horizon facing stochastic demand and a group of customers who act strategically by timing their purchases. We first review the optimal purchasing policy for the customers, and pricing policy for the firm that is the best response policy to the customer’s strategic behavior. Then we present a... 

In this project railway industry is introduced as an optimal alternative for transportation in this country. To select the best choice, four railway technologies that have commercial capacity are presented and the most appropriate one is selected with respect to several criteria, including fuel consumption. The purpose of this thesis is to present the best technology in order to improve Iranian railway transportation by considering the shortage of fossil resources as well as pollution.In this project,the copmparison of alternatives and assessment criteria for best technology selection is done by Analytical Hierarchy Process (AHP) and the questionaries are filled out by industry and... 

In this study, we introduce a systematic approach for valuation of Technology development projects by applying a discrete model of real options valuation. This framework is then applied to a real technology development project. The estimate of volatility is the most important argument that it is difficult to calculate. Data from the project’s feasibility study is gathered and classified in an appropriate format to be ready for simulation. Then uncertainty parameters are identified. The data is separated and their impacts on annual cash flows are considered. Volatility of the whole project is estimated to be relatively high. This is an advantage for the proposed method. In this project,... 

Location-allocation problem is known as one of the classical problems in industrial engineering. The goals of these problems are finding optimal location of facilities and assigning these facilities to service demands from a given set of point. Location-allocation decisions are widespread through all organization in the world concerning private and public businesses. Therefore, in this study, a practical mathematical model is formulated and solved.In this paper we present a new approach for a budgeted constraint capacitated location-allocation problem integrated with cellular layout approach containing cell formation and group scheduling. Main decisions are composed of formation of... 

In this investigation, two pricing models are extended with continuous and periodic price settings through dynamic programming approach. In this problem, we intend to sell a perishable product in a finite horizon with no salvage value through an advance-sale system. The objective function in these models is maximizing expected value of firms’ revenue by setting optimal prices in pricing periods. Demand is assumed to be stochastic time and price-dependent and also customers might cancel their reservations by paying a penalty before delivery. Structural properties of the optimal policy are investigated for both models and the concavity and inventory monotonicity properties are proved for both.... 

In electrical energy market, an economic game is running in which, power generating companies compete with each other in order to determine their suitable strategies and gain the highest possible profit. The literature shows the researchers actually use different algorithms to determine their suitable strategies but not Nash equilibrium method. These algorithms can not guarantee that the strategic equilibrium points can be found. In this research, the classic Nash method is used to determine GENCOs appropriate strategies and is simulated on some well known models (Cournot, Supply function equilibrium (SFE) and Bertrand), combined energy and reserve markets will be studied. The results of... 

In this study, four pricing models in a supply chain are developed. The first model includes a retailer. The second model also includes a retailer. However in this model we apply the learning technique to update the stochastic demand. In the third model, we consider a supply chain consisting of a retailer and a manufacturer. Finally, in the fourth model we consider a supply chain consisting of a retailer and a manufacturer and like the second model; we apply the learning technique to update the stochastic demand. In all models we assume that a single product is sold in a monopoly market. In this study we seek to simultaneously determine decisions about production, pricing and ordering to... 

Markowitz’s asset allocation model with mean-variance approach has well-known issues, amongst them are too much sensitivity to input parameters (especially asset returns) and portfolios that are not diversified well. In order to cope with these issues, risk parity approach has been suggested, which by omitting return parameter from the model, tries to balance portfolio’s risk among different assets. However, risk parity has not been appreciated by researchers due to ambiguity in the investor’s utility function, lack of a solid mathematical framework and its heuristic nature. This study, first tries to develop the mathematical theory of risk parity at the asset level and at the risk factors... 

The Operating Room (OR) is one of the most expensive resources of any hospital. Surgical costs typically account for approximately 40% of the total hospital resource costs, while surgeries typically generate around 67% of hospital revenues. Therefore, it is important to control the surgery costs while maintaining a high quality of care. In this study, all the decisions related to the Operating Theatre are being hierarchically considered in strategic, tactical and operational levels. The Operating Theatre consists of operation rooms, a recovery unit, an intensive care unit (ICU), a critical care unit (CCU), and ward units. In this model there exist many uncertainties, which the robust... 

This dissertation develops a new approach in network revenue management problems, with concentration on hotel industry. Several methods and heuristics are suggested in the literature to obtain an appropriate solution for network problems, however their focus is mostly on the transportation carriers. These heuristics do not seem to have satisfying effectiveness for hotel industry cases, because of significant difference between these two industries including the network structures, demand distributions and competition markets. On the other hand, with the tremendous growth of the internet and online sale channels, customers’ purchase behavior is modifying drastically. However this behavioral...