Approximate dynamic programming is emerging as a powerful tool for certain classes of multistage stochastic, dynamic problems that arise in operations research. It has been applie...
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...
We consider stochastic impulse control problems where the process is driven by one-dimensional diffusions. Impulse control problems are widely applied to financial engineering and...
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
Ideas by Statistical Mechanics (ISM) is a generic program to model evolution and propagation of ideas/patterns throughout populations subjected to endogenous and exogenous interac...