Traceability has become an essential business function to consistently supply quality and safe food products to consumers. However, it has been not rare that the efforts in traceability are separately made from routine operations management decisions. In this paper, an integrated optimisation...

Recent variable annuities offer participation in the equity market and attractive protection against downside movements. Accurately quantifying this additional equity market risk and robustly hedging options embedded in the guarantees of variable annuities are new challenges for insurance...

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...