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作者：Cai, Ning; Song, Yingda; Chen, Nan
作者单位：Hong Kong University of Science & Technology; Shanghai Jiao Tong University; Chinese University of Hong Kong
摘要：The stochastic alpha-beta-rho (SABR) model becomes popular in the financial industry because it is capable of providing good fits to various types of implied volatility curves observed in the marketplace. However, no analytical solution to the SABR model exists that can be simulated directly. This paper explores the possibility of exact simulation for the SABR model. Our contribution is threefold, (i) We propose an exact simulation method for the forward price and its volatility in two special...
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作者：Anderson, Edward; Chen, Bo; Shao, Lusheng
作者单位：University of Sydney; University of Warwick; University of Melbourne
摘要：When a firm faces an uncertain demand, it is common to procure supply using some type of option in addition to spot purchases. A typical version of this problem involves capacity being purchased in advance, with a separate payment made that applies only to the part of the capacity that is needed. We consider a discrete version of this problem in which competing suppliers choose a reservation price and an execution price for blocks of capacity, and the buyer, facing known distributions of deman...
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作者：Chen, Li; Mersereau, Adam J.; Wang, Zhe (Frank)
作者单位：Cornell University; University of North Carolina; University of North Carolina Chapel Hill
摘要：We consider the allocation of inventory to stores in a merchandise test, whereby a fashion retailer deploys a new product to stores in limited quantities in order to learn about demand prior to the main selling season. Our problem formulation includes practical considerations like fixed costs and multiperiod inventory considerations but is challenging to analyze directly. Instead, we take a bounding approach that isolates the novel aspect of our problem: the impact of test inventory allocation...
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作者：Birge, John R.; Hortacsu, Ali; Pavlin, J. Michael
作者单位：University of Chicago; University of Chicago; Wilfrid Laurier University
摘要：We propose an inverse optimization-based methodology to determine market structure from commodity and transportation prices. The methods are appropriate for locational marginal price-based electricity markets where prices are shadow prices in the centralized optimization used to clear the market. We apply the inverse optimization methodology to outcome data from the Midcontinent ISO electricity market (MISO) and, under noise-free assumptions, recover parameters of transmission and related cons...
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作者：Abad, Ibrahim; Ehrenman, Andreas; Smeers, Yves
作者单位：Engie
摘要：Since its initial development, long-term contracts have been associated with the gas industry in all regions of the world. This was also the case in Europe where natural gas trade was, for a long time, dominated by bilateral long-term agreements between producers and midstreamers. These contracts fixed a minimum volume to be exchanged (take or pay) and indexed the gas price using a price formula that usually referred to oil product prices. These arrangements allowed market risk sharing between...
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作者：Balseiro, Santiago R.; Candogan, Ozan
作者单位：Duke University; University of Chicago
摘要：In online advertising, the prevalent method advertisers employ to acquire impressions is to contract with an intermediary. These contracts involve upfront payments made by the advertisers to the intermediary, in exchange for running campaigns on their behalf. This paper studies the optimal contract offered by the intermediary in a setting where advertisers' budgets and targeting criteria are private. This problem can naturally be formulated as a multidimensional mechanism design problem, which...
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作者：Chen, Ying-Ju
作者单位：Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：In this paper, we investigate the optimal dynamic auction design for the display advertising industry. Currently, display advertising is sold through two markets side by side. In the traditional guaranteed market, the publisher commits to deliver a prespecified number of impressions within a fixed time frame through a guaranteed contract. In the spot market, the publisher runs an auction to allocate the impressions every period, and the supply of heterogeneous impressions is highly uncertain a...
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作者：Vidal, Thibaut
作者单位：Pontificia Universidade Catolica do Rio de Janeiro
摘要：This article explores a structural neighborhood decomposition for arc routing problems, in which the decisions about traversal orientations during services are made optimally as part of neighbor evaluation procedures. Using memory structures, bidirectional dynamic programming, and lower bounds, we show that a large neighborhood involving classical moves on the sequences of services along with optimal orientation decisions can be searched in amortized O(1) time per move evaluation instead of O(...
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作者：Smith, James E.; Ulu, Canan
作者单位：Duke University; Georgetown University
摘要：We use a dynamic programming model to study the impacts of risk aversion on information acquisition in technology adoption decisions. In this model, the benefit of the technology is uncertain and, in each period, the decision maker (DM) may adopt the technology, reject the technology, or pay to acquire a signal about the benefit of the technology. The dynamic programming state variables are the DM's wealth and a probability distribution that describes the DM's beliefs about the benefit of the ...
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作者：Lee, Ilbin; Epelman, Marina A.; Romeijn, H. Edwin; Smith, Robert L.
作者单位：University of Alberta; University of Michigan System; University of Michigan; University System of Georgia; Georgia Institute of Technology
摘要：We consider discounted Markov decision processes (MDPs) with countablyinfinite state spaces, finite action spaces, and unbounded rewards. Typical examples of such MDPs are inventory management and queueing control problems in which there is no specific limit on the size of inventory or queue. Existing solution methods obtain a sequence of policies that converges to optimality in value but may not improve monotonically, i.e., a policy in the sequence may be worse than preceding policies. Our pr...
