We develop a Markov chain pricing method capable of handling several state vari- ables. The Markov chain construction of Duan and Simonato (2000) is modifie...

Two methods of analytical approximations for computing the value of a European option on the conditional variance in a GARCH setting are presented. The firs...

We propose a Dynamic Programming (DP) approach combined with approximation for pricing options embedded in bonds, the focus being on call and put options wit...

A zone-dependent fixed cost is introduced within the framework of minisum location of facilities in the continuous space. An efficient algorithm for determin...

Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, L...

Installment options are Bermudan-style options where the holder periodically decides whether to exercise or not and then to keep the option alive or not (by ...

The pooling problem, which is fundamental to the petroleum industry, describes a situation where products possessing different attribute qualities are mixed...

Call and put options embedded in bonds are of American-style, and cannot be priced in a closed-form. In this paper, we formulate the problem of pricing thes...

Although airlines plan aircraft routes and crew schedules in advance, perturbations occur everyday. As a result, flight schedules may become infeasible and ...

This paper exposes in voluntarily simple terms the concept of <i>S</i>-adapted equilibrium introduced to represent and compute economic equilibria on stocha...

Ce papier présente une nouvelle procédure de classification, appelée PROCFTN, basée sur le domaine de l'aide multicritère à la décision. Le principe général...

The aim of this paper is to provide a concise portrayal of medical applications of a new fuzzy classification method called PROAFTN, which uses a multicrite...

Pricing Asian options based on the arithmetic average, under the Black and Scholes model, involves estimating an integral (a mathematical expectation) for w...

A hedger of a contingent claim may decide to partially replicate on some states of nature and not on the others: A partial hedge initially costs less than a...

In recent years, several advances have been made towards the solution of stochastic vehicle routing problems (SVRPs). In particular, the Integer <i>L</i>-Sh...

Optimal control problems for linear stochastic continuous time systems are considered, where the time domain is decomposed into a finite set of <i>N</i> dis...

In this work, we examine how to combine the score function method with the standard crude Monte Carlo and experimental design approaches, in order to evalua...

The stochastic linear programming problem with recourse has a dual block angular structure. It can thus be handled by Benders decomposition or by Kelley's m...

This paper presents the first experiments undertaken with a stochastic programming model of gas contract portfolio management. This model is intended to be ...

This paper deals with a stochastic programming model which complements long range market simulation models such as those currently developed by several gas ...