We present a model that rapidly finds an approximation of the expected passenger flow on an airline network, given forecast data concerning 1) the distribut...

In Z. Ma, P.E. Caines, and R.P. Malhamé, ``Control of Loss Network Systems: Call Admission and Routing Control", (submitted to <i>SIAM J. Control...

In this paper the call admission control (CAC) and routing control (RC) problems for loss network systems are studied as optimal stochastic control (OSC) pr...

In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

We consider a dynamic marketing channel involving one manufacturer and one retailer. The strategic variables of the former are the wholesale price and the a...

We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS op...

Given buses of different types arriving at a depot during the evening, the bus parking problem consists of assigning these buses to parking slots in such a w...

In this article we consider the problem of assigning parking slots to buses of different types so that the required buses can be dispatched easily in the mo...

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...

We modify an existing model of climate and economy to address the effect of uncer- tain, threshold events on the choice of optimal emissions control policy....

Installment options are a generalization of compound options, where the holder periodically decides whether to keep an option alive or not by paying the ins...

Moody's KMV method is a popular commercial implementation of the structural credit risk model pioneered by Merton (1974). It is an algorithm for estimating...

In Duan, Gauthier and Simonato (1999), analytical formulas to approximate the price European options in the GARCH framework were developed. These formulas a...

One critical difficulty in implementing Merton’s (1974) credit risk model is that the underlying asset value cannot be directly observed. The model requires...

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 ...