Pricing & Revenue Management
Homework on Capacity Allocation (Phillips 7.8.2)
Arne Strauss
Granite State Airlines serves the route between New York and Portsmouth, with a singleflight-daily 100-seat aircraft. The one-way fare for discount tickets is $100,

Pricing & Revenue Management
Arne Strauss
Seminar: Pricing with capacity constraints
Solution
Problem 1: The football game in Stanford is taking place in a stadium with
60,000 seats. Customers can be segmented into students and the general
public with co

Fed Monetary
Experiment
Inflation in general and interest rates had a sharp increase in the late 1970s to early
1980s due to price shocks and a Federal Reserve experimental monetary policy. Can skip
by starting with 1983 data. Go to St. Louis Fed website

ID#070201
PUBLISHED ON
MAY 10, 2011
Personal Training at the New York Health
Club
BY COSTIS MAGLARAS*
ABSTRACT
CONTENTS
At the beginning of the 21st century, personal training
Introduction . 1
Industry Overview . 1
had become an increasingly significant p

Pricing & Revenue Management
Arne Strauss
Seminar: Fences for Market Segmentation
1
Demand modelling case study (using survey data)
Part A Q1
NEW YORK HEALTH CLUB
http:/www.surveymonkey.com/s.asp?u=72268941014
Revenue Management Seminar 2
2
New York Healt

Seminar 8
Exam Preparation
Arne Strauss
Warwick Business School
General Tips
Closed book exam
Examinable content: all lectures & seminars excluding
the guest lecture
the Lufthansa Systems & Ocado lecture
Dont provide only the narrowest possible answ

Stanford Football Stadium Problem With Cannibalisation
Max
Variables
Price
subject to
Demand
$1,237,184.87
General Public Students Fake Students
$22.35
$11.64
50294.12
5451.68
Total Demand
4254.20
60,000
<=
<=
Capacity
60,000
Stanford Football Stadium Pro

Pricing & Revenue Management
Arne Strauss
Revenue Management at Harrahs Entertainment, Inc
Question 1
Suppose that, at the start of August 15, most of the hotels rooms have been booked for the Labor
Day weekend and only the rooms in Table TN1 remain free.

Capacity
Discount fare
Full fare
optimal
booking limit
100
100
150
Demand
Mean
Stddev
Discount
88
44
Full
56
23
53.91 (round to 54)
Discount sales
scenarios
Revenue from
Remaining Seats Exp Full Fare Exp Rev from
Probability Discount Fare
for Full Fare
Sa

Pricing & Revenue Management - Seminar 3
Arne Strauss
Estimating Demand Models from Survey Data: NY
Health Club Case Study (Part A, Q2)
Part A Q2: Pricing the peak 5-9pm time slot at NYHC
Assumptions
All other time slots are priced at $50
Customers ma

Seminar 7
Markdown Management
Arne Strauss
Warwick Business School
Problem 2: Markdown policies
Optimization:
Estimate market size D
Disregard uncertainty in arrival pattern (given D)
Compute optimal price policy for deterministic model with market s

Pricing problems with capacity constraints
Problem 1. (Single-Period Pricing)
Suppose that one day we have 200 units of
product to sell. From our understanding of demand conditions, we estimate that 400
units could be sold at $20 each or 150 units at $40

Additional information, including supplemental material and rights and permission policies, is available at http:/ite.pubs.informs.org.
Vol. 9, No. 3, May 2009, pp. 160168
issn 1532-0545 09 0903 0160
informs
doi 10.1287/ited.1090.0031cs
2009 INFORMS
I N

Building and Testing Economic Scenario Generators for PC ERM
Gary Venter1
1 This presentation contains no explicit or implicit statement of the corporate
opinion or practice of any company or organization the presenter has ever worked
with or for or any a

ACTU 4846
02 Risk Measures
Chapter 6 QRM
Risk Measures
Assume all risk information is in the distribution
function which has been estimated
How can you compare risk across business units and
risk classes?
Example: 4 units invest in risky bonds:
Financial,

ACTU 4846
07 Insurance Losses and Equities
ESG paper
gary.venter@gmail.com
Guy Carpenter
1
MODELS FOR EQUITIES
Guy Carpenter
2
Problems with Geometric Brownian Motion for
Equities
Black-Scholes
options pricing is based on geometric
Brownian motion lo

ACTU 4846
06 Interest Rates and Ination
ESG paper
gary.venter@gmail.com
Guy Carpenter
1
Fitting Yield Curve
Problem
with the model as is seems to be that the
reverting mean of 4.6% for the short-term rate is due
to a rare historical period probably it

ACTU 4846
05 Interest Rates
ESG paper
gary.venter@gmail.com
Guy Carpenter
1
Some basic issues
entire yield curve at each time
One approach is to model short-term
rate, and derive yield curve from noarbitrage arguments
We will basically do that
But

ACTU 4846
11 FX & Credit Risk
QRM 8
gary.venter@gmail.com
Guy Carpenter
1
F/X Good place to use copulas
Japan, Sweden and Canada currencies monthly
change in US$ rate 1971 2007:
Correlations:
SJ ~ 50%
SC ~ 25%
JC ~ 10%
Fitted a t-copula

ACTU 4846
12 Extreme Value Theory
QRM 7
gary.venter@gmail.com
Guy Carpenter
1
EVT
Extreme
value theory (EVT)
Assessing risk for highly unusual events
100-year floods
Size of freak waves
Equity and market risk, etc.
Two main approaches
Block maxi

ACTU 4846
10 Copulas
QRM 5 and paper
gary.venter@gmail.com
Guy Carpenter
1
Multivariate Distributions
Usually
the distribution of a sum of random variables is
needed like profits from several profit centers
When the distributions are correlated, getti

ACTU 4846
03 Time Series Intro/Review
Chapter 4 QRM
gary.venter@gmail.com
Guy Carpenter
1
Goal Risk Management Models for Financial Time Series
Risk management and derivative pricing need
dierent models for the same series, like interest rates
Much

Personal Training at the New York Health Club
Author: Costis Maglaras
Columbia CaseWorks ID: 070201
Abstract:
This spreadsheet accompanies the PERSONAL TRAINING AT THE NEW YORK HEALTH CLUB case.
Health Club
G AT THE NEW YORK HEALTH CLUB case.
Copyright In

Customer Valuation Game
Pricing & Revenue Management Introduction
1
7 day All-Inclusive Cruise in the Caribbean
subtropical climate with a mild dry season from Jan-May, average
temperatures 26C-28C year round
Pricing & Revenue Management Introduction
2
F

Session: Capacity Control under Uncertainty
Arne Strauss
Warwick Business School
Relevant Literature
Chapter 7
R. Phillips, Pricing and Revenue
Optimization, Stanford University
Press, 2005
Pricing & Revenue Management Capacity Control with Uncertainty
2