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Foreign currency deposits as virtual derivative

Semenov V.P. Doctor of Economics, Professor of the Department of Higher Mathematics, the Russian Economic University named after G.V. Plekhanov ( kafedra_vm@mail.ru )

Ryabikin V.I. Doctor of Economics, Professor of the Department of Insurance, the Russian Economic University named after G.V. Plekhanov ( dr.vadim2201@yandex.ru )

Journal: Finance and Credit, #33, 2013

In the article the method of calculation of equivalent profitability (in national currency) investments to foreign currency is presented. It is shown that the currency deposit can be considered as the peculiar bond denominated not in national currency. It is possible to call such asset the virtual derivative (the derivative tool from the currency deposit). The method allows not only to define equivalent profitability, but also to calculate investment risks from positions of national currency. The results of calculations in terms of rubles of profitability and risks from investments of the Russian money to the main reserve world currencies are given. Consequences following from their analysis and arising opportunities are discussed.


Mathematical modeling of optimum use of not renewable natural resources

Kuznetsov Y.A. Doctor of Physical and Mathematical Sciences, Professor, Head of department "Mathematical Modeling of Economic Systems", the Nizhny Novgorod State University named after N.I. Lobachevski - the National Research University ( Yu-Kuzn@mm.unn.ru )

Semenov A.V. PhD of Physical and Mathematical Sciences, Associate Professor of department "Mathematical Modeling of Economic Systems", the Nizhny Novgorod State University named after N.I. Lobachevski - the National Research University ( mmes@mm.unn.ru )

Vlasova M.N. Master's Degree student of department "Mathematical Modeling of Economic Systems", the Nizhny Novgorod State University named after N.I. Lobachevski - the National Research University ( mmes@mm.unn.ru )

Journal: Economic Analysis: Theory and Practice, #32, 2012

In the article the short review of emergence and development of the mathematical dynamic models of not renewable natural resources is given. The role of natural resources as factor of economic growth is considered. Some problems of creation of endogenous mathematical models of economic growth taking into account not renewable natural resources are formulated.


Innovative investment: a concept and systematization

Semenov K.S. Astrakhan State Technical University, Astrakhan, Russian Federation ( kost_240789@mail.ru )

Journal: Finance and Credit, #18, 2016

Importance The innovation and investment development is a topical area of research under the modern conditions. Searching for ways to improve the management of innovation, investment and innovation-and-investment development is of special importance.
Objectives The study aims to review and systematize theoretical and applied economic aspects of innovation and investment development of enterprises, taking into consideration industry practices, classification and conceptual framework for this process management.
Methods The study draws upon the dialectic principle, revealing the opportunities of researching the mechanisms to manage innovation, investment and innovation-and-investment development over time.
Results I organize investments by the level of innovation; offer a specialized classification of innovative investment by economic-managerial and innovative characteristics and uniquely designed additions and comments. The classification shows the importance of investment in enhancing the efficiency of the innovation-and-investment development of enterprises on the gas sector case.
Conclusions and Relevance The specialized classification of innovative investment that I offer can be used for further theoretical studies in the field of economic development, innovation and investment and serve as a basis for further applications. Management of innovation and investment should be considered as a major component of management of innovation-and-investment development of companies, and my unique classification illustrates it.


Innovation and investment management to develop the multicomponent gas fields

Semenov K.S. Astrakhan State Technical University, Astrakhan, Russian Federation ( kost_240789@mail.ru )

Journal: National Interests: Priorities and Security, #7, 2016

Importance The decreasing high-quality hydrocarbon reserves necessitate researching the management of innovation, investment, economic risks and other economic issues related to development of gas fields with high content of impurities.
Objectives The study aims to streamline theoretical and applied aspects of innovation and investment development of gas industry enterprises extracting multicomponent raw materials under extreme environmental conditions, and present original proposals.
Methods A theoretical and methodological basis of the paper is the works of domestic and foreign academic economists on the theory and practice of management, production management, management of development, innovation and investment. The study rests on the dialectic principle revealing the opportunities to research mechanisms of management of innovation, investment, and innovation-and-investment-driven development over time and with reference to each other, and management tools.
Results I investigated and systematized economic-managerial and innovation-investment problems (and relevant risks) related to the development of gas and gas-condensate fields with high content of impurities, offered specific proposals and measures, including comprehensive investment promotion and innovation support by the State. The proposed system highlights innovation, investment, and relevant risks. It is especially important for gas fields under extreme environmental conditions, for instance, the Astrakhan gas-condensate field.
Conclusions and Relevance The offered economic measures may improve the development of multicomponent gas fields, primarily, integrated investment promotion and innovation support by the State.


A combinatorial model of option portfolio

Mitsel' A.А. Tomsk State University of Control Systems and Radio Electronics, Tomsk, Russian Federation ( maa@asu.tusur.ru )

Semenov M.E. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( sme@tpu.ru )

Fat'yanova M.E. National Research Tomsk Polytechnic University, Tomsk, Russian Federation ( mef1@tpu.ru )

Journal: Financial Analytics: Science and Experience, #25, 2016

Subject The study addresses an approach to building complex portfolios of stock options.
Objectives The aim is to design complex portfolios, namely, bull and bear market collars based on equity options. The objectives are to study the basic procedure for building complex portfolios of equity options; to implement the proposed approach using the MATLAB software.
Methods The optimum plan for call and put options is prepared under the Simplex method (for the non-integer plan) and the Monte-Carlo method (for integer plan) to solve the linear programming problem.
Results We built two complex portfolios based on bull and bear structured collars for falling and rising price of asset. The optimum plan and the objective function value were obtained under the Simplex method and the Monte-Carlo method.
Conclusions and Relevance The Simplex method allows us to find the non-integer optimum plan, therefore, it is necessary to round the obtained result and check all restrictions. To eliminate this deficiency, we applied the Monte-Carlo method. The optimum value of the objective function of the bull collar portfolio under the Monte-Carlo method is 1.63 times more than the corresponding value under the Simplex method. The optimum value of the objective function of the bear collar portfolio under the Simplex method in 1.06 times more than the corresponding value under the Monte-Carlo method.


The Scenario-Based Approach to Trade in Option Contracts

Semenov M.E. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( sme@tpu.ru )

Fat'yanova M.E. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( mef1@tpu.ru )

Journal: Digest Finance, #1, 2019

Subject Nowadays, traditional methods may hardly forecast how prices for assets will go. The scenario-based approach becomes more widely spread in various sciences, including financial mathematics. The key idea of the scenario-based approach is a scenario tree representing the hierarchical structure of data, outlining how things may unfold, and evaluating the probability. This approach helps model various scenarios of the future situation, thus allowing to make appropriate decisions.
Objectives The research produces a one-period scenario tree showing how the price for the asset may develop. We also analyze the sensitivity of the parameter influencing the number of descendants of vertices.
Methods The research is based on the economic-mathematic model of the geometric (Brownian) motion, which is expressed through the stochastic differential equation. The model and sensitivity analysis are implemented in MATLAB. We also applied methods of comparative and static analysis, graphic interpretation.
Results We constructed a one-period scenario tree for a change in the options price. Having analyzed the sensitivity of the descendant vertex parameter, we determined the optimal range of option strike price intervals.
Conclusions and Relevance We chose the geometric motion model as the basis for the scenario-based approach since it helps construct the one-period scenario tree. This approach allows to evaluate the scenario probability. However, its weakness is that it generates the unoptimal number of descendant vertex of a tree. Furthermore, the market situation requires to test the asset for liquidity through various metrics. For example, the number of deals and trading volume.


The use of the scenario-based approach for trade in options contracts

Semenov M.E. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( sme@tpu.ru )

Fat'yanova M.E. National Research Tomsk Polytechnic University (TPU), Tomsk, Russian Federation ( mef1@tpu.ru )

Journal: Financial Analytics: Science and Experience, #1, 2019

Subject Nowadays, traditional methods may hardly forecast how prices for assets will go. The scenario-based approach becomes more widely spread in various sciences, including financial mathematics. The key idea of the scenario-based approach is a scenario tree representing the hierarchical structure of data, outlining how things may unfold, and evaluating the probability. This approach helps model various scenarios of the future situation, thus allowing to make appropriate decisions.
Objectives The research produces a one-period scenario tree showing how the price for the asset may develop. We also analyze the sensitivity of the parameter influencing the number of descendants of vertices.
Methods The research is based on the economic-mathematic model of the geometric (Brownian) motion, which is expressed through the stochastic differential equation. The model and sensitivity analysis are implemented in MATLAB. We also applied methods of comparative and static analysis, graphic interpretation.
Results We constructed a one-period scenario tree for a change in the options price. Having analyzed the sensitivity of the descendant vertex parameter, we determined the optimal range of option strike price intervals.
Conclusions and Relevance We chose the geometric motion model as the basis for the scenario-based approach since it helps construct the one-period scenario tree. This approach allows to evaluate the scenario probability. However, its weakness is that it generates the unoptimal number of descendant vertex of a tree. Furthermore, the market situation requires to test the asset for liquidity through various metrics. For example, the number of deals and trading volume.


Economic-mathematical modeling as a function of control (a case study of regional gas industry enterprise)

Semenov K.S. Avtogradbank, Astrakhan, Russian Federation ( ks-semenov@mail.ru )

Journal: Regional Economics: Theory and Practice, #45, 2014

Importance In modern conditions of economic-mathematical modeling of the development and activity of an enterprise, in general, the specialized tools of analysis and management decisions become a powerful competitive advantage. This confirms the relevance of the chosen research topic and the need to develop the specialized methodological tools to improve the development management and gas industry enterprises investment.
     Objectives The research of the theoretical aspects of industrial enterprises' development was carried out with the refinement of the conceptual device of control and its complement by functions of economic-mathematical modeling with concrete proposals and application of the model.
     Methods The works of domestic and foreign economic scientists in the theory and practice of management, production management, development management and investment, modeling, investment planning are a theoretical-methodological basis of the research. Using my economic-mathematical models of analysis and management of efficiency, and on the basis of econometric methods, I substantiate the significance of economic-mathematical modeling as a control function. I have used the dialectic principle, which reveals the research possibilities of the development management mechanisms and investment in the dynamics and interactions.
     Results I have expanded and clarified the conceptual apparatus of development management, including a proposal and justification for the new management introduction - my own definition of the economic and mathematical modeling. The applied development and approbation confirm and further substantiate my theoretical conclusions and suggestions. Management should be seen as a single process of planning, management decision-making, organization, motivation, control, monitoring, analysis, accounting, economic-mathematical modeling and other components. I have developed and tested a model of analysis and management of the efficiency, regarding the operation, investment and financial activities, and the aggregate results of industrial companies, which ensure the formation and management of the enterprise's efficiency enhancement.
     Conclusions and Relevance I came to a conclusion on the validity of the economic-mathematical modeling examination as a function of management and the possibility to use my model in practice. Economic-mathematical modeling in economic-mathematical form reflects the development of enterprises and enables to ensure the improvement of its analysis and management.


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