Electricity power grid operations require information about demand and supply on a variety of timescales and areas. The advent of significant generation contributions by time variable renewable energy sources means that forecasting methods are increasingly required. Some of the earliest...

We derive and analyze Monte Carlo estimators of price sensitivities ("Greeks") for contingent claims priced in a diffusion model. There have traditionally been two categories of methods for estimating sensitivities: methods that differentiate paths and methods that differentiate densities. A...

We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved explicitly by strategies of threshold type.

Condition-based maintenance has been proven effective in reducing unexpected failures with minimum operational costs. This study considers an optimal condition-based replacement policy with optimal inspection interval when the degradation conforms to an inverse Gaussian process with random...