This is a revised version of our published paper Han et al. (2014). In this paper, valuation of a derivative, which is traded between default-free counterparties, partially collateralized in another specific (foreign) currency and funding in a third specific currency is studied. Replication...

As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective is to create monthly or quarterly TPMs with predefined...

The unequal-areas facility layout problem is concerned with finding the optimal arrangement of a given number of non-overlapping indivisible departments with unequal area requirements within a facility. We present a convex-optimisation-based framework for efficiently finding competitive...

The floorplanning (or facility layout) problem consists in finding the optimal positions for a given set of modules of fixed area (but perhaps varying height and width) within a facility such that the distances between pairs of modules that have a positive connection cost are minimized. This is...

The floorplanning (or facility layout) problem consists in finding the optimal positions for a given set of modules of fixed area (but perhaps varying height and width) within a facility such that the distances between pairs of modules that have a positive connection cost are minimized. This is...