We investigate the suitability of sparse grids for solving high-dimensional option pricing and interest rate models numerically. Starting from the partial differential equation, we try to - at least partially - break the curse of dimensionality through sparse grids which will result from a...

A new alternative in the analysis of manufacturing systems with finite buffers is presented. We propose and study a new approach in order to build tractable phase-type distributions, which are required by state-of-the-art analytical models. Called "probability masses fitting" (PMF), the approach...