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Design of a Participatory Decision Making Agent Architecture Based on Argumentation and Influence Function – Application to a Serious Game about Biodiversity Conservation

Alessandro Sordoni, Jean-Pierre Briot, Isabelle Alvarez, Eurico Vasconcelos, Marta de Azevedo Irving, Gustavo Melo (2010)

RAIRO - Operations Research

This paper addresses an ongoing experience in the design of an artificial agent taking decisions and combining them with the decisions taken by human agents. The context is a serious game research project, aimed at computer-based support for participatory management of protected areas (and more specifically national parks) in order to promote biodiversity conservation and social inclusion. Its objective is to help various stakeholders (e.g., environmentalist, tourism operator) to collectively understand...

Deterministic Markov Nash equilibria for potential discrete-time stochastic games

Alejandra Fonseca-Morales (2022)

Kybernetika

In this paper, we study the problem of finding deterministic (also known as feedback or closed-loop) Markov Nash equilibria for a class of discrete-time stochastic games. In order to establish our results, we develop a potential game approach based on the dynamic programming technique. The identified potential stochastic games have Borel state and action spaces and possibly unbounded nondifferentiable cost-per-stage functions. In particular, the team (or coordination) stochastic games and the stochastic...

DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike

Jiří Hozman, Tomáš Tichý (2017)

Applications of Mathematics

Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two...

DG method for pricing European options under Merton jump-diffusion model

Jiří Hozman, Tomáš Tichý, Miloslav Vlasák (2019)

Applications of Mathematics

Under real market conditions, there exist many cases when it is inevitable to adopt numerical approximations of option prices due to non-existence of analytical formulae. Obviously, any numerical technique should be tested for the cases when the analytical solution is well known. The paper is devoted to the discontinuous Galerkin method applied to European option pricing under the Merton jump-diffusion model, when the evolution of the asset prices is driven by a Lévy process with finite activity....

DG method for the numerical pricing of two-asset European-style Asian options with fixed strike

Jiří Hozman, Tomáš Tichý (2017)

Applications of Mathematics

The evaluation of option premium is a very delicate issue arising from the assumptions made under a financial market model, and pricing of a wide range of options is generally feasible only when numerical methods are involved. This paper is based on our recent research on numerical pricing of path-dependent multi-asset options and extends these results also to the case of Asian options with fixed strike. First, we recall the three-dimensional backward parabolic PDE describing the evolution of European-style...

DGM for real options valuation: Options to change operating scale

Hozman, Jiří, Tichý, Tomáš (2023)

Programs and Algorithms of Numerical Mathematics

The real options approach interprets a flexibility value, embedded in a project, as an option premium. The object of interest is to valuate real options to change operating scale, typical for natural resources industry. The evolution of the project as well as option prices is decribed by partial differential equations of the Black-Scholes type, linked through a payoff function given by a type of the flexibility provided. The governing equations are discretized by the discontinuous Galerkin method...

Diagnosing corporate stability using grammatical evolution

Anthony Brabazon, Michael O'Neill (2004)

International Journal of Applied Mathematics and Computer Science

Grammatical Evolution (GE) is a novel data-driven, model-induction tool, inspired by the biological gene-to-protein mapping process. This study provides an introduction to GE, and demonstrates the methodology by applying it to construct a series of models for the prediction of bankruptcy, employing information drawn from financial statements. Unlike prior studies in this domain, the raw financial information is not preprocessed into pre-determined financial ratios. Instead, the ratios to be incorporated...

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