This paper proposes a state-of-the-art branch-cut-and-price algorithm for the vehicle routing problem with stochastic demands (VRPSD). We adapt the model of ...

This paper proposes a heuristic approach based on network flow techniques to schedule the production in open-pit mines, while accounting for metal uncertaint...

We design and implement a dynamic program (DP) for valuing corporate securities, seen as derivatives on a firm's assets, and computing the term structure o...

In this paper we consider the vehicle routing problem with hard time windows and stochastic service times (VRPTW-ST); in this variant of the classic VRPTW ...

We propose a new numerical method for evaluating long-maturity American put options. Most existing numerical approaches are based on the time discretization...

We propose a stochastic dynamic program for valuing options on stock-index futures. The model accounts for deterministic, seasonally varying dividends gene...

In this paper we introduce the discrete time window assignment vehicle routing problem. This problem consists of assigning a single time window from a ...

The aim of this paper is to compute upper and lower bounds for convex value functions of derivative contracts. Laprise et al. (2006) compute bounds for Ame...

The production routing problem (PRP) concerns the production and distribution of a single product from a production plant to multiple customers using capacit...

In this paper, we provide a decomposition over time of Shapley value for dynamic stochastic discrete-time games, where the uncertainty is described by an eve...

Blackbox optimization typically arises when the functions defining the objective and constraints of an optimization problem are computed through a computer...

Le secteur économique du transport aérien de passagers est soumis à de fortes contraintes dues aux nouveaux acteurs dans le domaine qui tendent les prix vers...

This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capita...

We develop a flexible discrete-time hedging methodology that miminizes the expected value of any desired penalty function of the hedging error within a gener...

In this paper, we derive and empirically test a regime-shifting dynamic term structure model for pricing interest rate caps. The central state variables are...

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. This strategy has two elements: first, for low ...

This paper presents a framework to determine optimal maintenance planning of a fleet of complex and independent systems. They are made up of several major co...

Although stochastic programming is probably the most effective frameworks for handling decision problems that involve uncertain variables, it is always a cos...

The problem of coordinating a fleet of vehicles so that all demand points on a territory are serviced and that the workload is most evenly distributed among ...

We explore the role of the discount on closed-end funds (CEFD) in asset pricing and weakly tests its validity as a proxy for sentiment in the Canadian stock ...