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 ...

This paper provides a general procedure for pricing American- and European-style interest rate derivatives within multifactor affine term structure models....

The risk-adjusted selection and timing performance (alphas and gammas) of a comprehensive and survivorship-free sample of Canadian equity SRI funds after (be...

This paper presents a framework where many existing structural credit risk models can be made hybrid by using a transformation of leverage to define the defa...

This paper develops a dynamic model to determine a firm's optimal risk management strategy when it faces uncertainty about its future profitability and inves...

Recent advances in coupling novel optimization methods to large-scale computing problems have opened the door to tackling a diverse set of physically realist...

This paper considers the application of a Variable Neighborhood Search (VNS) algorithm for finite-horizon (<i>H</i> stages) Markov Decision Processes (MDPs),...

The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...