Computing semiparametric bounds for option prices is a widely studied pricing technique. In contrast to parametric pricing techniques, such as Monte-Carlo simulations, semiparametric pricing techniques do not require strong assumptions about the underlying asset price distribution. We extend...

The demand for integrated risk management solutions and the need for new sources of capital have led to the development of innovative risk management products that mix the characteristics of traditional insurance and financial products. Such products, usually referred as Alternative Risk...

We study the problem of computing the sharpest static-arbitrage upper bound on the price of a European basket option, given the bid–ask prices of vanilla call options in the underlying securities. We show that this semi-infinite problem can be recast as a linear program whose size is linear in...

New structure is discovered in the suggestive “world†created by Axelrod, which is based on iterated play of the Prisoner's Dilemma game, and was studied to reveal how cooperative behavior can arise in a world of egoists. One of Axelrod's conclusions is that the viability of a strategy...

This paper presents a genetic algorithm (GA) to solve the Traveling Umpire Problem, which is a recently introduced sports scheduling problem that is based on the most important features of the real Major League Baseball umpire scheduling problem. In our GA, contrary to the traditional way of...

A voting rule maps voter preferences into outcomes, and is called sophisticated if there exists a voting tree whose sophisticated outcomes coincide with the voting rule for every voter preference. As yet, no complete characterization of such rules is available. In this paper, we provide an...