Posterior analysis of random taste coefficients in air travel behaviour modelling

Increasing use is being made of random coefficients structures, such as mixed logit, in the analysis of air travel choice behaviour. These models have the advantage of being able to retrieve random variations in sensitivities across travellers. An important issue, however, arises in the computation of willingness to pay indicators, such as the valuation of travel time savings, on the basis of randomly distributed coefficients. Indeed, with the standard approach of using simulation of the ratios across random draws, major problems can be caused by outliers, leading to biased trade-offs, which in turn lead to major issues in policy analyses. Here, a different approach is explored, making use of individual-specific draws from the random distributions, conditioned on the observed sequence of choices for each respondent. An analysis making use of stated preference data for airport and airline choice confirms the advantages of the approach using conditional draws, producing much more realistic distributional patterns for a range of willingness to pay indicators

Shear-stress controlled dynamics of nematic complex fluids

Based on a mesoscopic theory we investigate the non-equilibrium dynamics of a sheared nematic liquid, with the control parameter being the shear stress $\sigma_{\mathrm{xy}}$ (rather than the usual shear rate, $\dot\gamma$). To this end we supplement the equations of motion for the orientational order parameters by an equation for $\dot\gamma$, which then becomes time-dependent. Shearing the system from an isotropic state, the stress- controlled flow properties turn out to be essentially identical to those at fixed $\dot\gamma$. Pronounced differences when the equilibrium state is nematic. Here, shearing at controlled $\dot\gamma$ yields several non-equilibrium transitions between different dynamic states, including chaotic regimes. The corresponding stress-controlled system has only one transition from a regular periodic into a stationary (shear-aligned) state. The position of this transition in the $\sigma_{\mathrm{xy}}$-$\dot\gamma$ plane turns out to be tunable by the delay time entering our control scheme for $\sigma_{\mathrm{xy}}$. Moreover, a sudden change of the control method can {\it stabilize} the chaotic states appearing at fixed $\dot\gamma$.Comment: 10 pages, 11 figure

Cliquet option pricing in a jump-diffusion L\'{e}vy model

We investigate the pricing of cliquet options in a jump-diffusion model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a drifted L\'{e}vy process entailing a Brownian diffusion component as well as compound Poisson jumps. We also derive representations for the density and distribution function of the emerging L\'{e}vy process. In this setting, we infer semi-analytic expressions for the cliquet option price by two different approaches. The first one involves the probability distribution function of the driving L\'{e}vy process whereas the second draws upon Fourier transform techniques. With view on sensitivity analysis and hedging purposes, we eventually deduce representations for several Greeks while putting emphasis on the Vega.Comment: Published at https://doi.org/10.15559/18-VMSTA107 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/

Evidence of Passenger Preferences for Specific types of Airports

Studies of air travel choice behaviour increasingly make use of data collected through stated choice surveys. Here, we put forward the hypothesis that when making their choices in such surveys, respondents may complement the information presented to them by additional attributes. Specifically, we look at characteristics linked to airport size and breadth of service, as well as the proximity to a respondent's home. Our findings in a discrete choice analysis suggest that, all else being equal, respondents prefer larger to smaller airports while having a preference for the airport closest to their home. This could suggest that even though respondents associate a higher likelihood of delay and other inconveniences with larger airports, there is a perception that if things go wrong (e.g. flight cancellations), the backup options at larger airports (e.g. replacement aircraft) are superior to those at small or regional ones

Modelling airport and airline choice behaviour with the use of stated preference survey data

The majority of studies of air travel choice behavior make use of revealed preference (RP) data, generally in the form of survey data collected from departing passengers. While the use of RP data has certain methodological advantages over the use of stated preference (SP) data, major issues arise because of the often low quality of the data relating to the un-chosen alternatives, in terms of explanatory variables as well as availability. As such, studies using RP survey data often fail to recover a meaningful fare coefficient, and are generally not able to offer a treatment of the effects of airline allegiance. In this paper, we make use of SP data for airport and airline choice collected in the US in 2001. The analysis retrieves significant effects relating to factors such as airfare, access time, flight time and airline and airport allegiance, illustrating the advantages of SP data in this context. Additionally, the analysis explores the use of non-linear transforms of the explanatory variables, as well as the treatment of continuous variations in choice behavior across respondents