Local Distribution Companies (LDCs) play the role of purchasing and delivering natural gas to their consumers and state regulators oversee the pricing of natural gas to consumers. The common method of regulation, based on the cost of service, provides arguably little incentive for the LDC to...

Purpose Authorities have set up numerous security checkpoints during times of armed conflict to control the flow of commercial and humanitarian trucks into and out of areas of conflict. These security checkpoints have become highly utilized because of the complex security procedures and...

Classical facility location problems do not incorporate the possibility of disruptions among facilities and usually result in solutions that do not perform well under disruptions. Existent literature on disreputable facility locations focuses on independent or extreme dependence scenarios where...

We present a method to solve the free-boundary problem that arises in the pricing of classical American options. The method presented herein leverages on a one factor approximation and the moving boundary approach to yield an algorithm which has superior run times and accuracy as compared other...

Performance fees that are designed to incentivize money managers to exert more effort may also distort a manager's risk choices. In this paper, we analyze the impact of the standard performance fee contract that includes what is known as a high-water mark provision. We investigate the effect the...

Most academic studies on interest rate dynamics and derivative pricing assume that interest rates move freely in an open market, while there has been relatively little attention paid to the situation where a nation's central bank has the power to intervene in the interest rate market. This paper...

We address the problem of poor portfolio performance when a minimum-variance portfolio is constructed using the sample estimates. Estimation errors are mostly blamed for the poor portfolio performance. However, we argue that even small unbiased estimation errors can lead to significantly bad...

We consider a portfolio optimization problem where the investor's objective is to maximize the long-term expected growth rate, in the presence of proportional transaction costs. This problem belongs to the class of stochastic control problems with singular controls, which are usually solved by...

This paper analyzes optimal replenishment policies that minimize expected discounted cost of multi-product stochastic inventory systems. The distinguishing feature of the multi-product inventory system that we analyze is the existence of correlated demand and joint-replenishment costs across...

This paper describes a method to solve the free-boundary problem that arises in the pricing of American options. Most numerical methods for American option pricing exploit the representation of the option price as the expected pay-off under the risk-neutral measure and calculate the price for a...