Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations ei...

Crew pairing problems (CPP) are regularly solved by airlines to produce crew schedules. The goal of CPPs is to find a set of pairings (sequence of flights a...

The multi-depot scheduling problem (MDVSP) is one of the most studied problem in public transport service planning. It consists of assigning buses to each ti...

We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt(2018). Focu...

A new factor-based representation of implied volatility surfaces is proposed. The factors adequately capture the moneyness and maturity slopes, the smile att...

The transmission of the contagious COVID-19 is known to be highly dependent on individual viral dynamics. Since the cycle threshold (Ct) is the only semi-qua...

We investigate the ratio \(\mathcal{I}(G)\) of the average size of a maximal matching to the size of a maximum matching in a graph G. If many maximal mat...

The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be...

Optimization with stochastic dominance constraints has recently received an increasing amount of attention in the quantitative risk management literature. In...

Thermostatically-controlled loads have a significant impact on electricity demand after service is restored following an outage, a phenomenon known as cold l...

With the ongoing energy transition, electric power and energy systems are becoming increasingly multi-dimensional and complex with higher levels of uncertain...

The Tenth Montreal IPSW took place on August 13-27, 2020, and was jointly organized by the Centre de recherches mathématiques (CRM) and the Institute for Dat...

We propose a tone-based event study to reveal the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they co...

The increasingly complex energy systems are turning the attention towards model-free control approaches such as reinforcement learning (RL). This work propos...

Distance metric learning algorithms aim to appropriately measure similarities and distances between data points. In the context of clustering, metric learnin...

Optimal stopping is the problem of deciding the right time at which to take a particular action in a stochastic system, in order to maximize an expected rewa...

A coloring of a graph is an assignment of colors to its vertices such that adjacent vertices have different colors. Two colorings are equivalent if they indu...

A training-image free, high-order sequential simulation method is proposed herein, which is based on the efficient inference of high-order spatial statistics...

We study the average number \(A(G)\) of colors in the non-equivalent colorings of a graph \(G\). We show some general properties of this graph invariant ...

The Bell numbers count the number of different ways to partition a set of \(n\) elements while the graphical Bell numbers count the number of non-equivalen...