Titlebook: Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queue; A Volume in Honor of Houmin Yan,Georg

Lumbar-Stenosis

degradation

Supply Portfolio Selection and Execution with Demand Information Updates,a buyer’s decision on selecting sourcing mix from among a group of suppliers. We develop a framework for optimal supply portfolio selection and execution. Further, we demonstrate that the optimal portfolio selection follows a base-stock policy and the option execution follows a modified base-stock p

HAUNT

moribund

Pricing American Put Options Using Stochastic Optimization Methods,wnian motion. The switching process represents macro market states such as market trends, interest rates, etc. The solutions of pricing American options may be characterized by certain threshold values. Here, we show how one can use a stochastic approximation (SA) method to determine the optimal thr

独特性

Optimal Portfolio Application with Double-Uniform Jump Model,sing parameter estimation for the market in one phase and then applying the resulting model to a stochastic optimal portfolio application in a second phase. The new developments are the use of double-uniform jump-amplitude distributions and time-varying market parameters, introducing more realism in

腐蚀

poliosis

prick-test

Hedging Options with Transaction Costs,cept of a viscosity solution to describe the indirect utility function. A numerical scheme is proposed to compute the indirect utility function. This in turn enables the asking price for an option to be computed.

网络添麻烦

Pricing American Put Options Using Stochastic Optimization Methods,gence methods and martingale averaging techniques. The proposed approach provides us with a viable computational approach, and has advantage in terms of the reduced computational complexity compared with the variational or quasi-variational inequality approach for optimal stopping.

LAITY