2011

最新文章

• Kernel Estimation of the Greeks for Options with Discontinuous Payoffs AI翻译
  作者：Liu, Guangwu; Hong, L. Jeff
  作者单位：City University of Hong Kong; Hong Kong University of Science & Technology
  摘要：The Greeks are the derivatives (also known as sensitivities) of the option prices with respect to market parameters. They play an important role in financial risk management. Among many Monte Carlo methods of estimating the Greeks, the classical pathwise method requires only the pathwise information that is directly observable from simulation and is generally easier to implement than many other methods. However, the classical pathwise method is generally not applicable to the Greeks of options...
• Integrated Optimization of Procurement, Processing, and Trade of Commodities AI翻译
  作者：Devalkar, Sripad K.; Anupindi, Ravi; Sinha, Amitabh
  作者单位：Indian School of Business (ISB); University of Michigan System; University of Michigan
  摘要：We consider the integrated optimization problem of procurement, processing, and trade of commodities in a multiperiod setting. Motivated by the operations of a prominent commodity processing firm, we model a firm that procures an input commodity and has processing capacity to convert the input into a processed commodity. The processed commodity is sold using forward contracts, while the input itself can be traded at the end of the horizon. We solve this problem optimally and derive closed-form...
• Parameterized Supply Function Bidding: Equilibrium and Efficiency AI翻译
  作者：Johari, Ramesh; Tsitsiklis, John N.
  作者单位：Stanford University; Massachusetts Institute of Technology (MIT)
  摘要：We consider a model where a finite number of producers compete to meet an infinitely divisible but inelastic demand for a product. Each firm is characterized by a production cost that is convex in the output produced, and firms act as profit maximizers. We consider a uniform price market design that uses supply function bidding: firms declare the amount they would supply at any positive price, and a single price is chosen to clear the market. We are interested in evaluating the impact of price...
• Support Vector Machines with the Ramp Loss and the Hard Margin Loss AI翻译
  作者：Brooks, J. Paul
  作者单位：Virginia Commonwealth University
  摘要：In the interest of deriving classifiers that are robust to outlier observations, we present integer programming formulations of Vapnik's support vector machine (SVM) with the ramp loss and hard margin loss. The ramp loss allows a maximum error of 2 for each training observation, while the hard margin loss calculates error by counting the number of training observations that are in the margin or misclassified outside of the margin. SVM with these loss functions is shown to be a consistent estim...
• An Integer Optimization Approach to Large-Scale Air Traffic Flow Management AI翻译
  作者：Bertsimas, Dimitris; Lulli, Guglielmo; Odoni, Amedeo
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Milano-Bicocca; Massachusetts Institute of Technology (MIT)
  摘要：This paper presents a new integer programming (IP) model for large-scale instances of the air traffic flow management (ATFM) problem. The model covers all the phases of each flight-i.e., takeoff, en route cruising, and landing-and solves for an optimal combination of flow management actions, including ground-holding, rerouting, speed control, and airborne holding on a flight-by-flight basis. A distinguishing feature of the model is that it allows for rerouting decisions. This is achieved throu...
• Find-and-Fetch Search on a Tree AI翻译
  作者：Alpern, Steve
  作者单位：University of London; London School Economics & Political Science; University of London; London School Economics & Political Science
  摘要：We introduce a new type of search game called the find-and-fetch game F(Q, O). The Hider simply picks any point H in the network Q. The Searcher starts at time zero at a given point O of Q, moving at unit speed until he reaches H (finds the Hider). Then he returns at a given speed rho along the shortest path back to O, arriving at time R, the payoff. This models the problem faced in many types of search, including search-and-rescue problems and foraging problems of animals (where food must be ...
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection AI翻译
  作者：Chen, Li; He, Simai; Zhang, Shuzhong
  作者单位：Chinese University of Hong Kong; City University of Hong Kong; University of Minnesota System; University of Minnesota Twin Cities
  摘要：In this paper we develop tight bounds on the expected values of several risk measures that are of interest to us. This work is motivated by the robust optimization models arising from portfolio selection problems. Indeed, the whole paper is centered around robust portfolio models and solutions. The basic setting is to find a portfolio that maximizes (respectively, minimizes) the expected utility (respectively, disutility) values in the midst of infinitely many possible ambiguous distributions ...
• Valuation of Storage at a Liquefied Natural Gas Terminal AI翻译
  作者：Lai, Guoming; Wang, Mulan X.; Kekre, Sunder; Scheller-Wolf, Alan; Secomandi, Nicola
  作者单位：University of Texas System; University of Texas Austin; Carnegie Mellon University
  摘要：The valuation of the real option to store liquefied natural gas (LNG) at the downstream terminal of an LNG value chain is an important problem in practice. Because the exact valuation of this real option is computationally intractable, we develop a novel and tractable heuristic model for its strategic valuation that integrates models of LNG shipping, natural gas price evolution, and inventory control and sale into the wholesale natural gas market. We incorporate real and estimated data to quan...
• Fault Reporting in Partially Known Networks and Folk Theorems AI翻译
  作者：Tomala, Tristan
  作者单位：Hautes Etudes Commerciales (HEC) Paris
  摘要：We consider a group of players who perform tasks repeatedly. The players are nodes of a communication network and observe their neighbors' actions. Players have partial knowledge of the network and only know their set of neighbors. We study the existence of protocols for fault reporting: whenever a player chooses a faulty action, the communication protocol starts and the output publicly reveals the identity of the faulty player. We consider two setups. In the first one, players do not share au...
• A Top-Down Approach to Multiname Credit AI翻译
  作者：Giesecke, Kay; Goldberg, Lisa R.; Ding, Xiaowei
  作者单位：Stanford University; MSCI Inc.; Morgan Stanley
  摘要：A multiname credit derivative is a security that is tied to an underlying portfolio of corporate bonds and has payoffs that depend on the loss due to default in the portfolio. The value of a multiname derivative depends on the distribution of portfolio loss at multiple horizons. Intensity-based models of the loss point process that are specified without reference to the portfolio constituents determine this distribution in terms of few economically meaningful parameters and lead to computation...