This study is on valuing Asian strike options and presents efficient and accurate quadratic approximation methods that work extremely well, both with regard to the volatility of a wide range of underlying assets, and longer average time windows. We demonstrate that most of the well-known...

We use an expected utility framework to integrate the liquidation risk of hedge funds into portfolio allocation problems. The introduction of realistic investment constraints complicates the determination of the optimal solution, which is solved using a genetic algorithm that mimics the...

One of the key problems in database marketing is the identification and profiling of households that are most likely to be interested in a particular product or service. Principal component analysis (PCA) of customer background information followed by logistic regression analysis of response...

Simulation models are becoming increasingly common in the analysis of critical scientific, policy, and management issues. Such models provide a way to analyze complex systems characterized by both large parameter spaces and nonlinear interactions. Unfortunately, these same characteristics make...

Allocation of specific cutting plans and their scheduling to individual cutting machines presents a combinatorial optimization problem. In this respect, various approaches and methods are used to arrive to a viable solution. The paper reports three approaches represented by three discreet...

TREPAN is decision tree algorithm that utilises artificial neural networks (ANNs) in order to improve partitioning conditions when sample data is sparse. When sample sizes are limited during the tree-induction process, TREPAN relies on an ANN oracle in order to create artificial sample...

Location problems are NP-hard combinatorial optimisation problems which are widely studied. This paper presents a hybrid algorithm to solve the Uncapacitated Facility Location (UFL) problems. Denoted as hGA-PSO, this method combines the concepts of Genetic Algorithm (GA) and Particle Swarm...