Axis 3: Decision support made under uncertainty

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Cahiers du GERAD

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Given buses of different types arriving at a depot during the evening, the bus parking problem consists of assigning these buses to parking slots in such a w...

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In this article we consider the problem of assigning parking slots to buses of different types so that the required buses can be dispatched easily in the mo...

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We propose a simple modification of lattice schemes reducing the bias of lattice option prices with respect to continuous time and state option prices. The m...

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We modify an existing model of climate and economy to address the effect of uncer- tain, threshold events on the choice of optimal emissions control policy....

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Installment options are a generalization of compound options, where the holder periodically decides whether to keep an option alive or not by paying the ins...

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Moody's KMV method is a popular commercial implementation of the structural credit risk model pioneered by Merton (1974). It is an algorithm for estimating...

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In Duan, Gauthier and Simonato (1999), analytical formulas to approximate the price European options in the GARCH framework were developed. These formulas a...

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One critical difficulty in implementing Merton’s (1974) credit risk model is that the underlying asset value cannot be directly observed. The model requires...

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We develop a Markov chain pricing method capable of handling several state vari- ables. The Markov chain construction of Duan and Simonato (2000) is modifie...

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Two methods of analytical approximations for computing the value of a European option on the conditional variance in a GARCH setting are presented. The firs...

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We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...

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A zone-dependent fixed cost is introduced within the framework of minisum location of facilities in the continuous space. An efficient algorithm for determin...

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Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, L...

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Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by ...

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The pooling problem, which is fundamental to the petroleum industry, describes a situation where products possessing different attribute qualities are mixed...

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Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...

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Although airlines plan aircraft routes and crew schedules in advance, perturbations occur everyday. As a result, flight schedules may become infeasible and ...

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This paper exposes in voluntarily simple terms the concept of <i>S</i>-adapted equilibrium introduced to represent and compute economic equilibria on stocha...

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Ce papier présente une nouvelle procédure de classification, appelée PROCFTN, basée sur le domaine de l'aide multicritère à la décision. Le principe général...

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The aim of this paper is to provide a concise portrayal of medical applications of a new fuzzy classification method called PROAFTN, which uses a multicrite...

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