Related papers: An approximate solution for options market-making …
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
The paper presents complexity results and performance guaranties for a family of approximation algorithms for an optimisation problem arising in software testing and manufacturing. The problem is formulated as a partitioning of a set where…
Constrained optimization problems appear in a wide variety of challenging real-world problems, where constraints often capture the physics of the underlying system. Classic methods for solving these problems rely on iterative algorithms…
We consider the problem of approximation of density functions which is important in the theory of pricing of basket options. Our method is well adopted to the multidimensional case. Observe that implementations of polynomial and spline…
Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual assets. The paper [5] gives a closed form approximation formula…
We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…
A master equation approach to the numerical solution of option pricing models is developed. The basic idea of the approach is to consider the Black--Scholes equation as the macroscopic equation of an underlying mesoscopic stochastic option…
In real case applications within the virtual prototyping process, it is not always possible to reduce the complexity of the physical models and to obtain numerical models which can be solved quickly. Usually, every single numerical…
The growing need for companies to reduce costs and maximize profits has led to an increased focus on logistics activities. Among these, inventory management plays a crucial role in minimizing organizational expenses by optimizing the…
A classical inventory problem is studied from the perspective of embedded options, reducing inventory-management to the design of optimal contracts for forward delivery of stock (commodity). Financial option techniques \`{a} la…
We study the menu complexity of optimal and approximately-optimal auctions in the context of the "FedEx" problem, a so-called "one-and-a-half-dimensional" setting where a single bidder has both a value and a deadline for receiving an…
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from…
Financial markets are complex environments that produce enormous amounts of noisy and non-stationary data. One fundamental problem is online portfolio selection, the goal of which is to exploit this data to sequentially select portfolios of…
Algorithms for determining quality/cost/price tradeoffs in saturated markets are considered. A product is modeled by $d$ real-valued qualities whose sum determines the unit cost of producing the product. This leads to the following…
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors that describe liquidity properties of…
Integrated task and motion planning has emerged as a challenging problem in sequential decision making, where a robot needs to compute high-level strategy and low-level motion plans for solving complex tasks. While high-level strategies…
In portfolio compression, market participants (banks, organizations, companies, financial agents) sign contracts, creating liabilities between each other, which increases the systemic risk. Large, dense markets commonly can be compressed by…
Efficiency of self-optimizing systems is heavily dependent on their optimization strategies, e.g., choosing exact or approximate solver. A choice of such a strategy, in turn, is influenced by numerous factors, such as re-optimization time,…
The paper introduces a limit version of multiple stopping options such that the holder selects dynamically a weight function that control the distribution of the payments (benefits) over time. In applications for commodities and energy…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…