We propose an analytical formula for the evaluation of compound options when the underlying asset is described by a two-states Markov regime-switching log-...

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...

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach optimizing some terminal criterion that depends on the difference be...

Most structural models for valuing corporate securities assume a geometric-Brownian motion to describe the firm's assets value. However, this does not reflec...

The problem of output stabilization is studied for a class of linear hybrid systems subject to signal uncertainties: linear impulsive systems under dwell-t...

In this article, we discuss an alternative method for deriving conservative approximation models for two-stage robust optimization problems. The method main...

In this study, the problem environment consists of two fast fashion retailing firms where one can obtain the other's selling data from an outside agent. The ...

This paper proposes a multi-stage stochastic programming formulation based on affine decision rules for the reservoir management problem. Our approach seeks ...

Partially observed Mean Field Game (PO MFG) theory was introduced and developed in (Caines and Kizilkale, 2013, 2014, Şen and Caines 2014, 2015), where it i...

The object of study in the recent theory of Mean Field Games has been primarily large populations of agents interacting through a population dependent coupli...

This paper proposes a multi-stage stochastic programming formulation for the reservoir management problem. Our problem specifically consists in minimizing th...

We develop a general structural model for valuing risky corporate debts that takes into account both default and interest rate risk. We propose a two-dimensi...

The traditional mine planning framework employs a flawed approach in the design of ultimate pit limits and phases. Conventional methods arbitrarily confine ...

This paper presents three hyper-heuristic approaches for the stochastic open-pit mine production scheduling problem with one processing stream (SMPS) and one...

Locally weighted regression combines the advantages of polynomial regression and kernel smoothing. We present three ideas for appropriate and effective use...

In this paper, we study how uncertainties weighing on the climate system impact the optimal technological pathways the world energy system should take to com...

We consider a class of dynamic games played over an event tree, with random terminal. We assume that the players wish to jointly optimize their payoffs thr...

Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...

Blackbox optimization problems are often contaminated with numerical noise, and direct search methods such as the Mesh Adaptive Direct Search (MADS) algorit...

The authors investigate the complexity needed in the structure of the scenario trees to maximize energy production in a rolling-horizon framework. Three comp...