A dynamic global hedging procedure making use of futures contracts is developed for a retailer of the electricity market facing price, load and basis risk. S...

Since its inception, stochastic Data Envelopment Analysis (DEA) has found many applications. The approach commonly taken in stochastic DEA is via chance cons...

In this paper, we propose a multivariate random forest method for multiple responses of mixed types with missing responses. Imputation is performed for eac...

In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the p...

Variations and extensions of the basic vertex-colouring and edge-colouring models have been developed to deal with increasingly complex scheduling problems. ...

A graph \(G = (V,E)\) is \(r\)-equitably \(k\)-colorable if there exists a partition of \(V\) into \(k\) independent sets `(V1, V2, \ldots, V_k...

We study the number \({\cal{P}}(G)\) of non-equivalent ways of coloring a given graph \(G\). We show some similarities and differences between this graph...

In this paper a new procedure for finding an upper bound on the clique number of a given graph is described. Gendron, Hertz and St-Louis (2008) proposed a se...

Given a directed graph with weights on the vertices and on the arcs, a &theta;-improper <i>k</i>-coloring is an assignment of at most <i>k</i> different colo...

Given a graph <i>G</i>, an integer <i>k</i>, and a cost <i>c_uv</i> associated with all pairs <i>uv</i> of non-adjacent vertices in <i>G</i>, the ...

The BIRCH algorithm (Balanced Iterative Reducing and Clustering Hierarchies) handles massive dataset by reading the data file only once, clustering the data ...

Application of the dispersion models in order to address the cannibalization phenomenon within franchised chains is a new approach. In this work we have deve...

This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger, while keeping the capita...

In this paper, we derive and empirically test a regime-shifting dynamic term structure model for pricing interest rate caps. The central state variables are...

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. This strategy has two elements: first, for low ...

In this article we study a network design problem that arises in the exploitation of wind energy. We formulate this problem as a mixed integer programming ...

Our main interest is the prediction of future events for recurrent event processes. We intend to build a Bayesian model, based on sound philosophical princip...

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These mo...

In a recent paper, Zhan, Zhang, Guan, and Zhou [Phys. Rev. E <b>83</b>, 066120 (2011)] presented a modified adaptive genetic algorithm (MAGA) tailored to the...

Finding communities, or clusters, in networks, or graphs, has been the subject of intense studies in the last ten years. The most used criterion for that pu...