Journal: Computers and Operations Research

Found 2748 papers in total
A spectral method for bonds
A spectral method for bonds
2008,
We present an spectral numerical method for the numerical valuation of bonds with...
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
2008,
This study presents a simple but powerful approximation approach that is both accurate...
Valuing pilot projects in a learning by investing framework: an approximate dynamic programming approach
Valuing pilot projects in a learning by investing framework: an approximate dynamic programming approach
2008,
We introduce a general discrete time dynamic framework to value pilot project...
The valuation of multidimensional American real options using the LSM simulation method
The valuation of multidimensional American real options using the LSM simulation method
2008,
In this paper we show how a multidimensional American real option may be solved using...
Evaluating financial time series models for irregularly spaced data: A spectral density approach
Evaluating financial time series models for irregularly spaced data: A spectral density approach
2008,
Engle and Russell's autoregressive conditional duration (ACD) models have been proven...
A note on Bayesian identification of change points in data sequences
A note on Bayesian identification of change points in data sequences
2008,
Recent research in mathematical methods for finance suggests that time series for...
Portfolio performance sensitivity for various asset-pricing kernels
Portfolio performance sensitivity for various asset-pricing kernels
2008,
This paper examines the sensitivity of various measures of portfolio performance to...
A multi-objective model for environmental investment decision making
A multi-objective model for environmental investment decision making
2008,
Investment in landscapes to achieve outcomes that have multiple environmental benefits...
Tabaris: An exact algorithm based on tabu search for finding a maximum independent set in a graph
Tabaris: An exact algorithm based on tabu search for finding a maximum independent set in a graph
1990,
A technique for finding in a graph an independent set with maximum cardinality is...
Inverse constrained bottleneck problems under weighted l∞ norm
Inverse constrained bottleneck problems under weighted l∞ norm
2007,
In this paper, we consider a class of inverse constrained bottleneck problems. Given...
A very fast TS/SA algorithm for the job shop scheduling problem
A very fast TS/SA algorithm for the job shop scheduling problem
2008,
The job shop scheduling problem (JSP) is one of the most notoriously intractable...
Speeding up the Hungarian algorithm
Speeding up the Hungarian algorithm
1990,
A simple modification to the ‘Hungarian’ algorithm for the linear...
A computational study of using preprocessing and stronger formulations to solve large general fixed charge problems
A computational study of using preprocessing and stronger formulations to solve large general fixed charge problems
1990,
The application of traditional branch-and-bound (B&B) procedures to the standard...
Experiments with external pivoting
Experiments with external pivoting
1990,
In this paper we explore a number of strategies for a modification of the primal...
A note on ‘an improved initial basis for the simplex algorithm’
A note on ‘an improved initial basis for the simplex algorithm’
2007,
In this note, we show a mathematical error in paper (‘An improved initial basis...
Computational efficiency and interactive multiobjective linear programming (MOLP) algorithms: An implementation of the SIMOLP procedure
Computational efficiency and interactive multiobjective linear programming (MOLP) algorithms: An implementation of the SIMOLP procedure
1990,
This paper presents an investigation of computational considerations that are relevant...
Modeling outranking process as a mathematical programming problem
Modeling outranking process as a mathematical programming problem
1990,
This paper suggests an approach to reformulate the outranking procedure of ELECTRE I,...
MOTGA: A multiobjective Tchebycheff based genetic algorithm for the multidimensional knapsack problem
MOTGA: A multiobjective Tchebycheff based genetic algorithm for the multidimensional knapsack problem
2007,
This paper presents a new multiobjective genetic algorithm based on the Tchebycheff...
Fictitious upper bounds in an algorithm for the symmetric traveling salesman problem
Fictitious upper bounds in an algorithm for the symmetric traveling salesman problem
1990,
The performance of a branch and bound algorithm depends on the quality of the upper...
Load balancing in a multi-server queuing system
Load balancing in a multi-server queuing system
1990,
A queuing system consists of N identical, exponential service channels, each with its...
A short note on the Poisson input queuing system with start-up time and under control-operating policy
A short note on the Poisson input queuing system with start-up time and under control-operating policy
1990,
The control policy for the M/G/1 queuing system in which the server is started-up when...
Scheduling arrivals to queues
Scheduling arrivals to queues
1990,
An algorithm is developed to determine the schedule for n arrivals to a single server...
On the departure process of the split and match queue
On the departure process of the split and match queue
1990,
In this paper we study the departure process from an exponential queuing system in...
Scheduling arrivals to queues for minimum average blocking: The S(n)/M/C/C system
Scheduling arrivals to queues for minimum average blocking: The S(n)/M/C/C system
1995,
Given a finite time interval [0, T ], a fixed number of customers N , a stochastic...
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