In this paper we will discuss a general framework for single item inventory models based on the theory of regenerative processes. After presenting without proof the main theorems for regenerative processes we analyze in detail how the different single item models can be embedded within this...

Multi-dimensional transformation algorithms can be an excellent tool for solving multi-variate stochastic models, such as a financial model with features including underlying modeled by a stochastic process, stochastic volatility, stochastic interest rates. Our algorithm builds on the recently...

We demonstrate a fast and numerically stable pricing algorithm that can determine the price of a guaranteed rate product, as well as its sensitivity to changes in the market (the Greeks) both for lognormal and jump-diffusion asset price processes, with almost machine precision in a fraction of a...

In this paper we consider stochastic processes with an embedded Harris chain. The embedded Harris chain describes the dependence structure of the stochastic process. That is, all the relevant information of the past is contained in the state of the embedded Harris chain. For these processes we...

In this paper we consider a two level decentralized distribution system, consisting of one warehouse and N retailers. The warehouse and each retailer follows each his own (s,nQ) order policy. We extended the models as known in the literature to compound renewal demand

This paper extends a fundamental result about single-item inventory systems. This approach allows more general performance measures, demand processes and order policies, and leads to easier analysis and implementation, than prior research. We obtain closed form expressions for the Laplace...

The most recent optimization algorithm for (s,S) order policies with continuous demand was developed by Federgruen and Zipkin (1985). This was also the first efficient algorithm, which uses policy iteration instead of discretization. Zheng and Federgruen (1991) developed an even more efficient...

This paper presents a method to determine the price of a cliquet option, as well as its sensitivity to changes in the market, the Greeks, for deterministic (also incorporating skews) and stochastic (Hestonian) volatility and, lognormal and jump-diffusion asset price - processes, with almost...

The paper introduces a method which reduces the computation of the Greeks back to a similar problem as of computing the price of the derivative in question; that is, if there is an efficient algorithm pricing the derivative then in order to compute the Greeks we will use the same efficient...