Simulation-and-regression methods have been recently proposed to solve multi-period, dynamic portfolio choice problems. In the constant relative risk aver...

In deregulated markets, electricity prices are typically characterized by four key features: seasonality, mean-reversion, the possibility of large downward o...

Simulation-and-regression algorithms have become a standard tool for solving dynamic programs in many areas, in particular financial engineering and computat...

We investigate the optimum control of a stochastic system, in the presence of both exogenous (control-independent) stochastic state variables and endogenous...

<p> The complementarity of two renewable energy sources, namely hydro and wind, is investigated. We consider the diversification effect of wind power to re...

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...

In the Black-Scholes framework, the American option pricing problem can be discretized into a finite-dimensional linear complementarity problem. We compare t...

The Analytic Center, Cutting Plane Method for Variational Inequalities with quadratic cuts, ACCPM-VI(quadratic cuts), was introduced in Denault and Goffin,...

We introduce a cutting plane, analytic center algorithm for strongly monotone variational inequalities (VIs). The approach extends that of Goffin, Marcotte...

We present an algorithm for variational inequalities <i>VI</i>( <img src="G9756.gif" align=bottom>,<i>Y</i>) that is based on the Analytic Center Cutting Pl...