The objective of the Vehicle Routing Problem (VRP), in the meaning of this paper, is to find the best path for a vehicle, or the best paths for a fleet of vehicles, with the aim of visiting a set of targets. Possible applications of the vehicle routing problem include surveillance, exploration,...

This paper describes a novel integration of shale-gas supply in geographical proximity to natural-gas power production. Shale-gas reservoirs hold special properties that make them particularly suited for intermittent shut-in based production schemes. The proposed scheme argues that shale-gas...

National and international investors are exposed to risk, stemming from volatile asset prices and inflation uncertainty. However investors can enter futures markets to hedge against these risks. The paper develops a dynamic hedging model, where the evolution of asset price, price level and...

A Markov model is constructed for studying the counterparty risk in a CDS contract. The "wrong-way risk" in this model is accounted for by the possibility of the common default of the reference name and of the counterparty. A dynamic copula property as well as affine model specifications make...

The interaction between rational hedgers and informed oil traders is parameterized and tested empirically with the help of a complex non linear smooth transition regime shift CCC-GARCH procedure. In spite of their gyrations, futures price changes are usually self-correcting. Well informed...

An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying,...

We present an algorithm for hedging option portfolios and custom-tailored derivative securities, which uses options to manage volatility risk. The algorithm uses a volatility band to model heteroskedasticity and a non- linear partial differential equation to evaluate worst-case volatility...

A jump diffusion model coupled with a local volatility function has been suggested by Andersen and Andreasen (2000). By generating a set of option prices assuming a jump diffusion with known parameters, we investigate two crucial challenges intrinsic to this type of model: calibration of...