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 ...

We study a dynamic Cournot game with capacity accumulation under demand uncertainty, in which the investment is perfectly divisible, irreversible, and produc...

The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...

Most Fleet Assignment Problem (FAP) formulations use a leg-based estimation of revenue loss to derive the passenger revenue component of their objective fu...

We present a model that rapidly finds an approximation of the expected passenger flow on an airline network, given forecast data concerning 1) the distribut...

In Z. Ma, P.E. Caines, and R.P. Malhamé, ``Control of Loss Network Systems: Call Admission and Routing Control", (submitted to <i>SIAM J. Control...

In this paper the call admission control (CAC) and routing control (RC) problems for loss network systems are studied as optimal stochastic control (OSC) pr...

In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

We consider a dynamic marketing channel involving one manufacturer and one retailer. The strategic variables of the former are the wholesale price and the a...

We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS op...