Sharif Digital Repository

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... 

This thesis targets the multidisciplinary area of time-variant seismic risk analysis of transportation networks. For this purpose, a new methodology and a library of probabilistic models are developed. Risk, in this context, denotes the probability of exceeding the sum of direct and indirect losses due to seismic events. Direct economic losses are due to the repair cost of the physical damage in the components of the network, such as bridges. The indirect losses are due to the reduced capacity of the components for traffic flow, which results in increased travel times in the network. This leads to socioeconomic losses. In this research, a reliability-based approach is adopted to carry out... 

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... 

The purpose of this study is to provide a framework to demonstrate the organizational capabilities of chemical knowledge-based firms and analyze the relationship between these capabilities and exports. For this purpose, by combining 18 different output-based indicators, a model that includes six technological, manufacturing, research and development, marketing, organization and finance capabilities, was designed. Finally, in addition to analyzing the relationship between exports and the level of capabilities of knowledge-based firms, a comparison between the two groups of export and non-export firms and the analysis of these firms' current export situation was made in the period 2015-2018.... 

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... 

Internal corrosion is one of the most common defects in pipelines. In recent decades, the use of offshore natural oil and gas resources has increased dramatically, followed by the use of offshore pipelines to transport products. At the same time, numerous accidents and explosions in offshore pipelines and their economic and environmental consequences underscore the importance of ensuring safe operation. Pipeline integrity management has been developed to ensure the safe and correct operation of pipelines. Integrity management starts with planning, then leads to inspection, then evaluation, and finally to corrective action, and this loop is repeated regularly. In this loop, the importance of... 

A frequency comb is a tool for precise measurement of frequency and time, characterized by an equidistant frequency spectrum in the frequency domain. This tool has numerous applications, including in medicine, spectroscopy, and the calibration of astronomical spectrometers. Over the past two decades, various methods for generating frequency combs have been investigated. Among these methods, the use of mode-locked lasers and four-wave mixing techniques are commonly mentioned. This thesis explores and analyzes a novel method for generating frequency combs based on time-variant linear structures. This method, recently developed by researchers, including the Applied Electromagnetics Group at... 

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... 

In this research we focus on study and fabrication of ZnO composite nanofibers by electrospinning method for photocatalytic application. The most important challenges in the field of photocatalyst are photocatalytic activity under the visible light and efficiency enhancement. ZnO is a wide band gap semiconductor and it is not active under the visible light. In Iran, we have more than 300 sunny days in a year. Therefore fabrication and application of photocatalytic material with activity under the sun light that contained 40% of visible light is so vital in our country. In the first part of this project, ZnO-CNT nanofibers were fabricated and carbon doped in the crystal lattice of the ZnO.... 

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...