2024-03-28T20:54:06Zhttp://uvadoc.uva.es/oai/requestoai:uvadoc.uva.es:10324/214692021-06-23T10:07:46Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2016-12-07T13:45:40Z
urn:hdl:10324/21469
Valuation of commodity derivatives under jump-diffusion processes
Gómez del Valle, María Lourdes
Habibi Lashkari, Ziba
Martínez Rodríguez, Julia
Economía y empresa
Producción Científica
The estimation of the market prices of risk is an open question in the jumpdi
usion derivative literature when a closed-form solution for the future pricing
problem is not known. In this paper, we obtain some results that relate
the drifts and jump intensities of the risk-neutral processes with future and
spot prices. These results provide an original procedure to estimate the riskneutral
drifts and jump intensities. These functions are not observable but
their estimation is necessary for pricing commodity derivatives. Moreover,
this new approach avoids the estimation of the physical drift as well as the
market prices of risk in order to price commodity futures. Finally, an application
to NYMEX (New York Mercantile Exchange) data is illustrated.
2016-12-07T13:45:40Z
2016-12-07T13:45:40Z
2016
info:eu-repo/semantics/bookPart
Modelling for Engineering and Human Behaviour 2015. Valencia. Universidad Politécnica de Valencia, Instituto Universitario de Matemática Multidisciplinar, 2016, p. 161-165
978-84-608-5355-8
http://uvadoc.uva.es/handle/10324/21469
161
165
Modelling for Engineering and Human Behaviour 2015
eng
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
Attribution-NonCommercial-NoDerivatives 4.0 International
Universidad Politécnica de Valencia
oai:uvadoc.uva.es:10324/215012021-06-23T10:07:45Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2016-12-09T14:01:05Z
urn:hdl:10324/21501
Multidistances and Dispersion Measures
Martínez Panero, Miguel
García Lapresta, José Luis
Meneses Poncio, Luis Carlos
Dispersión (Matemáticas)
Producción Científica
In this paper, we provide a formal notion of absolute dispersion measure that
is satisfied by some classical dispersion measures used in Statistics, such as the
range, the variance, the mean deviation and the standard deviation, among others,
and also by the absolute Gini index, used in Welfare Economics for measuring
inequality. The notion of absolute dispersion measure shares some properties
with the notion of multidistance introduced and analyzed by Mart´ın and
Mayor in several recent papers. We compare absolute dispersion measures and
multidistances and we establish that these two notions are compatible by showing
some functions that are simultaneously absolute dispersion measures and
multidistances. We also establish that remainders obtained through the dual decomposition
of exponential means, introduced by Garc´ıa-Lapresta and Marques
Pereira, are absolute dispersion measures up to sign
2016-12-09T14:01:05Z
2016-12-09T14:01:05Z
2016
info:eu-repo/semantics/bookPart
Tomasa Calvo Sánchez, Joan Torrens Sastre (Editors). Fuzzy Logic and Information Fusion, 2016, Springer, p. 123-134 (Studies in Fuzziness and Soft Computing)
978-3-319-30421-2
http://uvadoc.uva.es/handle/10324/21501
123
134
Fuzzy Logic and Information Fusion
eng
http://rd.springer.com/
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
Attribution-NonCommercial-NoDerivatives 4.0 International
oai:uvadoc.uva.es:10324/215692021-06-23T10:07:47Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2016-12-13T09:23:56Z
urn:hdl:10324/21569
Aggregating Imprecise Linguistic Expressions
Falcó Díaz de Cerio, Edurne
García Lapresta, José Luis
Roselló, Llorenç
Group decision-making
Producción Científica
In this chapter, we propose a multi-person decision making procedure
where agents judge the alternatives through linguistic expressions generated by an
ordered finite scale of linguistic terms (for instance, ‘very good’, ‘good’, ‘acceptable’,
‘bad’, ‘very bad’). If the agents are not confident about their opinions, they
might use linguistic expressions composed by several consecutive linguistic terms
(for instance, ‘between acceptable and good’). The procedure we propose is based
on distances and it ranks order the alternatives taking into account the linguistic information
provided by the agents. The main features and properties of the proposal
are analyzed.
2016-12-13T09:23:56Z
2016-12-13T09:23:56Z
2013
info:eu-repo/semantics/bookPart
Human-Centric Decision-Making Models for Social Sciences, Editors: Peijun Guo, Witold Pedrycz, Springer, 2013, vol.502, p. 97-113 (Studies in Computational Intelligence)
978-3-642-39307-5
http://uvadoc.uva.es/handle/10324/21569
97
113
Human-Centric Decision-Making Models for Social Sciences
eng
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
Attribution-NonCommercial-NoDerivatives 4.0 International
Human-Centric Decision-Making Models for Social Sciences, Editors: Peijun Guo, Witold Pedrycz, Springer, 2013, vol.502, p. 97-113 (Studies in Computational Intelligence)
oai:uvadoc.uva.es:10324/215712021-06-23T10:07:44Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2016-12-13T09:33:18Z
urn:hdl:10324/21571
Consensus-Based Agglomerative Hierarchical Clustering
García Lapresta, José Luis
Pérez Román, David
Matemáticas
Operadores, Teoría de
Producción Científica
In this contribution, we consider that a set of agents assess a set of alternatives
through numbers in the unit interval. In this setting, we introduce a measure
that assigns a degree of consensus to each subset of agents with respect to every
subset of alternatives. This consensus measure is defined as 1 minus the outcome
generated by a symmetric aggregation function to the distances between
the corresponding individual assessments. We establish some properties of the
consensus measure, some of them depending on the used aggregation function.
We also introduce an agglomerative hierarchical clustering procedure that is generated
by similarity functions based on the previous consensus measures
2016-12-13T09:33:18Z
2016-12-13T09:33:18Z
2017
info:eu-repo/semantics/bookPart
Fuzzy Sets, Rough Sets, Multisets and Clustering. eds. V. Torra, A. Dahlbom, Y. Narukawa. Springer, 2017 (Studies in Computational Intelligence 671)
978-3-319-47557-8
http://uvadoc.uva.es/handle/10324/21571
Fuzzy Sets, Rough Sets, Multisets and Clustering
eng
http://www.springer.com/us/book/9783319475561
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
© 2017 Springer
Attribution-NonCommercial-NoDerivatives 4.0 International
Springer
oai:uvadoc.uva.es:10324/229162021-07-06T08:33:27Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2017-03-31T08:47:16Z
urn:hdl:10324/22916
An ordinal multi-criteria decision-making procedure in the context of uniform qualitative scales
García Lapresta, José Luis
González del Pozo, Raquel
Producción Científica
In this contribution, we propose a multi-criteria decision-making procedure that has been devised in a purely ordinal way. Agents evaluate the alternatives regarding several criteria by assigning one or two consecutive terms of a uniform ordered qualitative scale to each alternative in each criterion. Weights assigned to criteria are managed through replications of the corresponding ratings, and alternatives are ranked according to the medians of their ratings after the replications.
2017-03-31T08:47:16Z
2017-03-31T08:47:16Z
2017
info:eu-repo/semantics/bookPart
Soft computing applications for group decision making and consensus modeling. eds.: Michael Colla and J. Kacprzyk, 2017
http://uvadoc.uva.es/handle/10324/22916
Soft computing applications for group decision making and consensus modeling
eng
Studies in Fuzziness and Soft Computing
http://www.springer.com/series/2941
info:eu-repo/semantics/restrictedAccess
© Springer
Springer
oai:uvadoc.uva.es:10324/362362021-07-06T08:33:27Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2019-06-08T08:16:38Z
urn:hdl:10324/36236
On the orness of SUOWA operators
Llamazares Rodríguez, Bonifacio
Producción Científica
There is in the literature a great variety of functions utilized in the aggregation processes. For this reason, numerous indicators have been suggested to understand the behavior of such functions. One of the measures proposed for this purpose is the orness, which allows to know the degree of closeness to the maximum. The aim of this paper is to provide the orness of some specific cases of SUOWA operators, a family of aggregation functions that simultaneously generalize weighted means and OWA operators.
2019-06-08T08:16:38Z
2019-06-08T08:16:38Z
2015
info:eu-repo/semantics/bookPart
J. Gil-Aluja, A. Terceño-Gómez, J. C. Ferrer-Comalat, J. M. Merigó-Lindahl, S. Linares-Mustarós (Eds.), Scientific Methods for the Treatment of Uncertainty in Social Sciences, Advances in Intelligent Systems and Computing, vol. 377, p. 41-51, 2015
978-3-319-19703-6
http://uvadoc.uva.es/handle/10324/36236
eng
https://doi.org/10.1007/978-3-319-19704-3_4
info:eu-repo/semantics/restrictedAccess
Springer
Springer
oai:uvadoc.uva.es:10324/362372021-06-23T10:07:50Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2019-06-08T08:29:07Z
urn:hdl:10324/36237
On the behavior of WOWA operators
Llamazares Rodríguez, Bonifacio
Producción Científica
In this paper we analyze the behavior of WOWA operators, a class of functions that simultaneously generalize weighted means and OWA operators. Moreover, we introduce functions that also generalize both operators and characterize those satisfying a condition imposed to maintain the relationship among the weights.
2019-06-08T08:29:07Z
2019-06-08T08:29:07Z
2011
info:eu-repo/semantics/bookPart
A. M. Fanelli, W. Pedrycz, A. Petrosino (Eds.), Fuzzy Logic and Applications, Lecture Notes in Artificial Intelligence, vol. 6857, 9–16, 2011
978-3-642-23712-6
http://uvadoc.uva.es/handle/10324/36237
eng
https://doi.org/10.1007/978-3-642-23713-3_2
info:eu-repo/semantics/restrictedAccess
Springer
Springer
oai:uvadoc.uva.es:10324/362382021-07-06T08:33:27Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2019-06-08T08:48:56Z
urn:hdl:10324/36238
new class of functions for integrating weighting means and OWA operators
Llamazares Rodríguez, Bonifacio
Producción Científica
In this paper we introduce the semi-uninorm based ordered weighted averaging (SUOWA) operators, a new class of aggregation functions that integrates weighted means and OWA operators. To do this we take into account that weighted means and OWA operators are particular cases of Choquet integrals. So, the capacities associated to SUOWA operators are defined by using the values of the capacities associated to these functions and idempotent semi-uninorms.
2019-06-08T08:48:56Z
2019-06-08T08:48:56Z
2013
info:eu-repo/semantics/bookPart
C. Bielza, A. Salmerón, A. Alonso-Betanzos, J. I. Hidalgo, L. Martínez, A. Troncoso, E. Corchado, J. M. Corchado (Eds.), Advances in Artificial Intelligence, Lecture Notes in Computer Science, vol. 8109, p. 80–90, 2013
978-3-642-40642-3
http://uvadoc.uva.es/handle/10324/36238
eng
https://doi.org/10.1007/978-3-642-40643-0_9
info:eu-repo/semantics/restrictedAccess
Springer
Springer
oai:uvadoc.uva.es:10324/378832021-06-23T10:07:52Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2019-09-11T15:30:41Z
urn:hdl:10324/37883
Compliance with Social Norms as an Evolutionary Stable Equilibrium
Cabo García, Francisco José
García González, Ana
Molpeceres Abellá, María de las Mercedes
Producción Científica
This paper studies a two-population evolutionary game in a new setting
in between a symmetric and an asymmetric evolutionary model. It distinguishes two
types of agents: Sanchos, whose payoffs are defined by a prisoner’s dilemma game,
and Quixotes, whose payoffs are defined by a snowdrift game. Considering an imita-
tive revision protocol, a revising agent is paired with someone from his own popula-
tion or the other population. When matched, they observe payoffs, but not identities.
Thus, agents in one population interact and imitate agents from their own population
and from the other population. In this setting we prove that a unique mixed-strategy
asymptotically stable fixed point of the evolutionary dynamics exists. Taking as an
example the compliance with social norms, and depending on the parameters, two
type of equilibrium are possible, one with full compliance among Quixotes and par-
tial compliance among Sanchos, or another with partial compliance among Quixotes
and defection among Sanchos. In the former type, Sanchos comply above their Nash
equilibrium (as they imitate compliant Quixotes). In the latter type, Quixotes comply
below their Nash equilibrium (as they imitate defecting Sanchos).
2019-09-11T15:30:41Z
2019-09-11T15:30:41Z
2020
info:eu-repo/semantics/bookPart
Pierre-Olivier Pineau, Simon Sigué & Sihem Taboubi. Games in Management Science - 2020. Essays in Honor of Georges Zaccour. 2020, p. 283-313.
978-3-030-19107-8
http://uvadoc.uva.es/handle/10324/37883
283
313
eng
https://link.springer.com/book/10.1007%2F978-3-030-19107-8#toc
info:eu-repo/semantics/openAccess
Springer International Publishing
oai:uvadoc.uva.es:10324/405942021-06-23T10:07:53Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2020-03-09T13:24:40Z
urn:hdl:10324/40594
Measuring dispersion in the context of ordered qualitative scales
García Lapresta, José Luis
Borge González, Luis Moisés
Producción Científica
The main purpose of this contribution is to measure the dispersion associated with the different results of a variable when they form a set of linguistic terms obtained after examining different qualities of people, services, etc, ordered, but with a non-homogeneous and non-quantifiable distance between the linguistic terms.
2020-03-09T13:24:40Z
2020-03-09T13:24:40Z
2018
info:eu-repo/semantics/bookPart
Gil, Eduardo; Gil, Eva; Gil, Juan; Gil, María Ángeles. The Mathematics of the Uncertain. Cham: Spinger, 2018, p. 605-614
978-3-319-73848-2
http://uvadoc.uva.es/handle/10324/40594
eng
https://link.springer.com/chapter/10.1007%2F978-3-319-73848-2_56
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
© 2018 Elsevier
Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Springer Link
oai:uvadoc.uva.es:10324/405962021-06-23T10:07:54Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
2020-03-09T13:53:15Z
urn:hdl:10324/40596
Clustering U.S. 2016 presidential candidates through linguistic appraisals
González del Pozo, Raquel
García Lapresta, José Luis
Pérez Román, David
Producción Científica
The main purpose of this paper is to cluster the United States (U.S.) 2016 presidential candidates taking the linguistic appraisals made by a random representative sample of adults living in the U.S. as our starting point. To do this, we have used the concept of ordinal proximity measure (see García-Lapresta and Pérez-Román), which allows to determine the degree of consensus in a group of agents when a set of alternatives is evaluated through non-necessarily qualitative scales.
2020-03-09T13:53:15Z
2020-03-09T13:53:15Z
2017
info:eu-repo/semantics/bookPart
Kacprzyk, J.; Szmidt, E.; Zadrożny, S.; Atanassov, K.; Krawczak, M. (eds) Advances in Fuzzy Logic and Technology 2017. Advances in Intelligent Systems and Computing, vol. 642. Cham: Springer, 2017, p. 143-153
978-3-319-66824-6
http://uvadoc.uva.es/handle/10324/40596
eng
https://link.springer.com/chapter/10.1007%2F978-3-319-66824-6_13
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
© 2017 Springer
Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Springer Link