Journal: Computational Management Science

Found 180 papers in total
Pricing cliquet options by tree methods
Pricing cliquet options by tree methods
2011,
This paper focuses on the problem of pricing the cliquet options which provide a...
Collective adjustment of pension rights in ALM models
Collective adjustment of pension rights in ALM models
2011,
Collective adjustment of pension rights is a way to keep defined benefit systems...
Bottom-up design of strategic options as finite automata
Bottom-up design of strategic options as finite automata
2010,
In this paper we look at the problem of strategic decision making. We start by...
DrAmpl: a meta solver for optimization problem analysis
DrAmpl: a meta solver for optimization problem analysis
2010,
Optimization problems modeled in the AMPL modeling language may be examined by a set...
Formulation and analysis of horizontal mergers among oligopolistic firms with insights into the merger paradox: a supply chain network perspective
Formulation and analysis of horizontal mergers among oligopolistic firms with insights into the merger paradox: a supply chain network perspective
2010,
In this paper, we consider oligopolistic firms with supply chain networks who are...
MILP-based approaches for medium-term planning of single-stage continuous multiproduct plants with parallel units
MILP-based approaches for medium-term planning of single-stage continuous multiproduct plants with parallel units
2010,
In this paper, we address the problem of medium-term planning of single-stage...
A new path-based cutting plane approach for the discrete time-cost tradeoff problem
A new path-based cutting plane approach for the discrete time-cost tradeoff problem
2010,
Determining discrete time-cost tradeoffs in project networks allows for the control of...
Reformulations and solution algorithms for the maximum leaf spanning tree problem
Reformulations and solution algorithms for the maximum leaf spanning tree problem
2010,
Given a graph G = ( V , E ), the maximum leaf spanning tree problem (MLSTP) is to find...
An approximate solution approach for a scenario-based capital budgeting model
An approximate solution approach for a scenario-based capital budgeting model
2010,
Real options techniques such as contingent claims analysis and dynamic programming can...
An exact solution framework for a broad class of vehicle routing problems
An exact solution framework for a broad class of vehicle routing problems
2010,
This paper presents an exact solution framework for solving some variants of the...
A metaheuristic for the min–max windy rural postman problem with K vehicles
A metaheuristic for the min–max windy rural postman problem with K vehicles
2010,
In this paper we deal with the min–max version of the windy rural postman...
Optimal routing of vehicles with communication capabilities in disasters
Optimal routing of vehicles with communication capabilities in disasters
2010,
Major emergencies and disasters such as acts of terrorism, acts of nature, or...
Towards a practical parallelisation of the simplex method
Towards a practical parallelisation of the simplex method
2010,
The simplex method is frequently the most efficient method of solving linear...
American option pricing under stochastic volatility: an efficient numerical approach
American option pricing under stochastic volatility: an efficient numerical approach
2010,
This paper develops a new numerical technique to price an American option written upon...
American option pricing under stochastic volatility: an empirical evaluation
American option pricing under stochastic volatility: an empirical evaluation
2010,
Over the past few years, model complexity in quantitative finance has increased...
Computational study of the GDPO dual phase-1 algorithm
Computational study of the GDPO dual phase-1 algorithm
2010,
The GDPO algorithm for phase-1 of the dual simplex method developed by Maros possesses...
Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing
2010,
We introduce a method for generating ( W x , T ( μ , σ ) , m x , T ( μ ,...
A mixed-integer mathematical modeling approach to exam timetabling
A mixed-integer mathematical modeling approach to exam timetabling
2010,
This paper explores mathematical programming models for an exam timetabling problem...
A maximal predictability portfolio using absolute deviation reformulation
A maximal predictability portfolio using absolute deviation reformulation
2010,
This paper shows that a large-scale maximal predictability portfolio (MPP)...
A hydrodynamic modelling framework for production networks
A hydrodynamic modelling framework for production networks
2010,
This paper is concerned with a fluid approach towards modelling of production...
Active control of visual sensor for navigation and guidance
Active control of visual sensor for navigation and guidance
2010,
This paper addresses the problem of on-board estimation of the state and/or the...
Exact methods for large-scale multi-period financial planning problems
Exact methods for large-scale multi-period financial planning problems
2009,
A relevant financial planning problem is the periodical rebalance of a portfolio of...
A global optimization problem in portfolio selection
A global optimization problem in portfolio selection
2009,
This paper deals with the issue of buy-in thresholds in portfolio optimization using...
A multicriteria approach for rating the credit risk of financial institutions
A multicriteria approach for rating the credit risk of financial institutions
2009,
Within the new bank regulatory context, the assessment of the credit risk of financial...
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