Dans le cadre du calcul du risque de contrepartie, le risque de corrélation réfère à une situation où la valeur d'une transaction financière est corrélée av...

À la suite de la crise financière de 2007, la réforme de Bâle III recommande, entre autres, la mise en place de frais de capital couvrant la variabilité de ...

This paper focuses on designing a state estimator for a discrete-time SEIR epidemic model of an influenza-like illness. It is assumed that only sets of adm...

This paper addresses the winner determination problem (WDP) for TL transportation procurement auctions under uncertain shipment volumes and uncertain carrier...

We use NORTA (NORmal To Anything) to enhance normal credit-risk factor settings in modeling common risk factors and capturing contagion effects...

The survivorship bias in credit risk modeling is the bias that results in parameter estimates when the survival of a company is ignored. We study the statist...

In this paper we consider a version of the capacitated vehicle routing problem (CVRP) where travel times are assumed to be uncertain and statistically corre...

In the last 20 years, there has been increasing interest in using advanced simulation and optimization techniques to develop and manage mineral resources a...

The current trend of deeper and lower-grade deposits makes open pit mining less profitable. Mass mining alternatives have to be developed if mining at a si...

For over a decade, stochastic optimization has emerged as a framework that is capable of generating a life-of-mine production schedule that increases ne...

Twin Creeks is a gold mining complex part of Newmont's Nevada Operations. The mining complex is comprised of two open pits, Mega and Vista, external ore sour...

A mining complex is a mineral value chain that consists of multiple activities, starting from material extraction to a set of sellable products delivered t...

Short-term production scheduling in open pit mining consists of defining the extraction sequence and process allocation of mineralized material over time-sca...

In this paper, we focus on the problem that has been described in the second international nurse rostering competition: a personalized nurse scheduling prob...

This study presents a production scheduling optimization method for a mining complex, which provides a flexible long-term plan for future investments and ope...

Partially observed major minor LQG mean field game theory is applied to an optimal execution problem in finance; following standard financial models, control...

La Programmation Dynamique Stochastique (PDS) est une puissante méthode applicable aux problèmes mutli-étapes non-convexes et stochastiques. Nous étudions ...

Nous proposons une formule analytique pour l'évaluation d'options composes lorsque la dynamique de l'actif sous-jacent est décrite par un modèle lognormal av...

An exchangeable bond is a debt that is convertible into shares of a firm's equity other than the bond's issuer. We evaluate an exchangeable bond within a two...

À la différence des méthodes de couverture de type delta-neutre, la couverture globale vise à optimiser un critère terminal relié à la différence entre la va...