Modelling and Pricing communication networks services in Markets for Bandwidth

Mega, Mirko Stefano (2010) Modelling and Pricing communication networks services in Markets for Bandwidth. Tesi di Dottorato, LUISS Guido Carli - Université Paris 13, Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance, tutor: Marco Isopi and Francesco Russo, p. 107. [Doctoral Thesis]

[img]
Preview
PDF (Full text) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
784Kb
[img]
Preview
PDF (Abstract in italiano, in francese e in inglese) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
82Kb

Abstract/Index

The subject of this thesis is pricing and modelling of communication network services in bandwidth markets, more precisely connections between two or more geographical locations, subject to a certain Quality of Service requirements. First, it is shown how network topology leads to additional arbitrage opportunities, like the so called network or geographical arbitrage, and how it influences hedging strategies. A solution to such a pricing problem is proposed on the simplest bandwidth topology, the triangle network, both for pricing and hedging strategy based on a risk-minimization criteria. Such solution is then applied to various underlying price processes, from a Cox-Ross-Rubinstein type model to a more complex Geometric Brownian Motion (GBM). Future developments for price models including spikes as typical features of non-storable commodities are then discussed. Second, the foundations for a realistic extension of results found in triangle networks to a global telecommunication network are laid. In addition, estimates for the correlation function between traffic activities on distant routes are derived. More precisely, it is found an upper bound for the exponential decay rate of space and time two-point correlation functions. Lastly, the analysis moves to real data. The dynamics of different forward contract prices are linked with a price process dynamics for a forward contract with fixed maturity. Subsequently, a truncated increments variation technique is used to detect and remove spike prices from real data, in order to estimate parameter values for a GBM process. Then a simple model for the price process, consisting of a GBM with Poissonian spikes, is proposed and simulated in order to mimic the empirical data.

References

Bibliografia: pp. 97-101.

Item Type:Doctoral Thesis (PhD)
Research documents and activity classification:LUISS PhD Thesis
Divisions:Department of Economics and Finance > PhD Program in Mathematical Methods for Economics, Business, Finance and Insurance
Thesis Advisor:Isopi, Marco and Russo, Francesco
Additional Information:Dottorato di Ricerca in Metodi matematici per l'economia, l'azienda, la finanza e le assicurazioni (XX ciclo), LUISS Guido Carli, Roma, 2010. Relatore: Prof. Marco Isopi, Correlatore: Prof. Francesco Russo.
MIUR Scientific Area:Area 13 - Economics and Statistics > SECS-S/06 Mathematics for Economics, Actuarial Studies and Finance
Deposited By:Maria Teresa Nistico
Deposited On:20 Jul 2010 10:28
Last Modified:20 Jul 2010 10:28

Repository Staff Only: item control page