The article addresses the efficiency of construction holding companies that operate in the housing market of oneRussian region. The main trends in the development of construction holding companies in the Penza region areoutlined within the framework of the Strategy for the social and economic development of the Penza region through2035. The co-authors analyze the principal characteristics of Termodom, a Penza-based construction holdingcompany. In particular, they explore the implementation of its market strategy, the cyclical nature of the housingmarket development, cycles of construction project development and implementation, and real estate sales overthe period exceeding the last five years. Research methods include theoretical analysis and empirical researchsuch as statistical data analysis, as well as data description and grouping. The co-authors have studied workson the operation of construction enterprises, research articles, monographs, electronic resources, and legal acts.Research methods, employed by the co-authors, include description, comparison, and classification. The coauthorsuse practical approaches to the monitoring and analysis of the activities performed by various constructionholding companies with a special focus on the milestones of their strategic development and with regard forthe factors of internal and external environments. This approach has enabled the co-author to project the mainpatterns of future sustainable development of these enterprises and the construction industry as a whole.It is necessary to develop a system of legislative, regulatory and economic standards to efficiently solve the problemof unfinished construction projects, to switch over to innovative technologies and implement other innovations andproper development strategies with a focus on investments, innovations, internal and external market potential. Theproper analysis of factors of external and internal environments is a must for the successful attainment of theseobjectives.
This thesis examines the problem of pricing and hedging spread options under market models with jumps driven by a Compound Poisson Process. Extending the work of Deng, Li and Zhou we derive the price approximation for Spread options in jump-diffusion framework. We find that the proposed model accurately approximates option prices and exhibits reasonable behavior when tested for sensitivity to the model parameters. Applying the method of Lamberton and Lepeyre, we minimize the squared error between the Spread option price and the hedge portfolio to arrive to an optimal hedging strategy for discontinuous underlying price modes. Additionally, we propose an alternative average Delta-hedging strategy that is derived by conditioning the underlying price processes on the number of jumps and summing over all the possible jump combinations; such an approach allows us to revert to a hedging problem in a Black-Scholes framework. Although the average Delta-hedging strategy offers a significantly simpler approach to hedge Spread options, we conclude that the former strategy performs better by examining the Profit and Loss Probability Density Function of the two competing strategies. Finally, we offer a model parameter calibration algorithm and test its performance using the transitional Probability Density Functions.
This thesis examines the problem of pricing and hedging spread options under market models with jumps driven by a Compound Poisson Process. Extending the work of Deng, Li and Zhou we derive the price approximation for Spread options in jump-diffusion framework. We find that the proposed model accurately approximates option prices and exhibits reasonable behavior when tested for sensitivity to the model parameters. Applying the method of Lamberton and Lepeyre, we minimize the squared error between the Spread option price and the hedge portfolio to arrive to an optimal hedging strategy for discontinuous underlying price modes. Additionally, we propose an alternative average Delta-hedging strategy that is derived by conditioning the underlying price processes on the number of jumps and summing over all the possible jump combinations; such an approach allows us to revert to a hedging problem in a Black-Scholes framework. Although the average Delta-hedging strategy offers a significantly simpler approach to hedge Spread options, we conclude that the former strategy performs better by examining the Profit and Loss Probability Density Function of the two competing strategies. Finally, we offer a model parameter calibration algorithm and test its performance using the transitional Probability Density Functions.
The temperature and amplitude dependence of internal friction fcc Mn45Cu55 alloy aged at 400 °C were studied. Two low-temperature internal friction peak observed in the quenched state. Physical mechanism of the peaks was determined by the effect of frequency and strain amplitude on the temperature dependence of internal friction. The influence of the heat treatment to the internal friction of the investigated alloy was shown.
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