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...

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...

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...

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...

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....

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...

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...

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