Related papers: Timing Options for a Startup with Early Terminatio…
Scheduling with testing is a recent online problem within the framework of explorable uncertainty motivated by environments where some preliminary action can influence the duration of a task. Jobs have an unknown processing time that can be…
The active-time scheduling problem considers the problem of scheduling preemptible jobs with windows (release times and deadlines) on a parallel machine that can schedule up to $g$ jobs during each timestep. The goal in the active-time…
This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection…
In reinforcement learning, a decision needs to be made at some point as to whether it is worthwhile to carry on with the learning process or to terminate it. In many such situations, stochastic elements are often present which govern the…
We develop a model for lead-time quotation in a Markovian make-to-order production or service system with strategic customers who exhibit risk aversion. Based on a CARA utility function of their net benefit, customers make individual…
This paper considers a combination of the joint replenishment problem with single machine scheduling. There is a single resource, which is required by all the jobs, and a job can be started at time point $t$ on the machine if and only the…
This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with possibly negative interest rate and some constraints. Since…
This paper presents an improved mixed-integer model for the Thermal Unit Commitment Problem. By introducing new variables for the temperature of each thermal unit, the off-time-dependent start-up costs are modeled accurately and with a…
The importance of an adequate inner loop starting point (as opposed to a sufficient inner loop stopping rule) is discussed in the context of a numerical optimization algorithm consisting of nested primal-dual proximal-gradient iterations.…
Sequentially solving similar optimization problems under strict runtime constraints is essential for many applications, such as robot control, autonomous driving, and portfolio management. The performance of local optimization methods in…
We consider an online scheduling problem, motivated by the issues present at the joints of networks using ATM and TCP/IP. Namely, IP packets have to broken down to small ATM cells and sent out before their deadlines, but cells corresponding…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
Timing information leakage occurs whenever an attacker successfully deduces confidential internal information by observing some timed information such as events with timestamps. Timed automata are an extension of finite-state automata with…
In this article, we consider the optimal execution problem associated to accelerated share repurchase contracts. When firms want to repurchase their own shares, they often enter such a contract with a bank. The bank buys the shares for the…
We discuss importance sampling of exit problems that involve unbounded stopping times; examples are mean first passage times, transition rates or committor probabilities in molecular dynamics. The naive application of variance minimization…
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the…
Random-expiry options are nontraditional derivative contracts that may expire early based on a random event. We develop a methodology for pricing these options using a trinomial tree, where the middle path is interpreted as early expiry. We…
This study proposes a method for predicting startup inclusion, estimating the probability that a venture capital fund will invest in a given startup. Unlike general recommendation systems, which typically rank multiple candidates, our…
We study the online preemptive scheduling of intervals and jobs (with restarts). Each interval or job has an arrival time, a deadline, a length and a weight. The objective is to maximize the total weight of completed intervals or jobs.…
In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it…