Now showing items 1-10 of 22
Parallel image restoration using surrogate constraint methods
(Academic Press, 2007)
When formulated as a system of linear inequalities, the image restoration problem yields huge, unstructured, sparse matrices even for images of small size. To solve the image restoration problem, we use the surrogate ...
Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming
We analyze the problem of pricing and hedging contingent claims in a financial market described by a multi-period, discrete-time, finite-state scenario tree using an arbitrage-adjusted Sharpe-ratio criterion. We show that ...
On closed-form solutions of a resource allocation problem in parallel funding of R & D projects
In order to reduce the risk of complete failure, research managers often adopt a parallel strategy by simultaneously funding several R&D activities and several research teams within each activity. The parallel strategy ...
Pricing American contingent claims by stochastic linear programming
(Taylor & Francis, 2009)
We consider pricing of American contingent claims (ACC) as well as their special cases, in a multi-period, discrete time, discrete state space setting. Until now, determining the buyer's price for ACCs required solving an ...
Measures of model uncertainty and calibrated option bounds
(Taylor & Francis, 2009)
Recently, Cont introduced a quantitative framework for measuring model uncertainty in the context of derivative pricing [Model uncertainty and its impact on the pricing of derivative instruments, Math. Finance, 16(3) (2006), ...
Optimal oblivious routing under linear and ellipsoidal uncertainty
In telecommunication networks, a common measure is the maximum congestion (i.e., utilization) on edge capacity. As traffic demands are often known with a degree of uncertainty, network management techniques must take into ...
An improved probability bound for the Approximate S-Lemma
The purpose of this note is to give a probability bound on symmetric matrices to improve an error bound in the Approximate S-Lemma used in establishing levels of conservatism results for approximate robust counterparts.
An exact algorithm for the capacitated vertex p-center problem
We develop a simple and practical exact algorithm for the problem of locating p facilities and assigning clients to them within capacity restrictions in order to minimize the maximum distance between a client and the ...
Restricted robust uniform matroid maximization under interval uncertainty
For the problem of selecting p items with interval objective function coefficients so as to maximize total profit, we introduce the r-restricted robust deviation criterion and seek solutions that minimize the r-restricted ...