Background: Forecasting nonlinear stochastic systems most often is quite difficult, without giving in to temptations to simply simplify models for the sake of permitting simple computations.Objective: Here, two basic algorithms, Adaptive Simulated Annealing (ASA) and path-integral codes...

Crack propagation could be catastrophic, and it needs the urgent attention of the user. A cracked structure needs to be repaired or replaced at the earliest. Costs associated with the complete replacement of the part paves the way for the former option, especially in the aircraft industry....

To value non-transferable non-hedgeable (NTNH) contingent claims and price executive stock options (ESOs), we use a replication argument to translate portfolios with NTNH derivatives into portfolios of primary assets (only) with stochastic portfolio constraints. By identifying stochastic...

This paper develops an optimal trading strategy explicitly linked to an agent's preferences and assessment of the distribution of asset returns. The price of this strategy is a portfolio of implied moments, and its expected excess returns naturally accommodate compensation for higher-order...

The multi-drop container loading problem (MDCLP) requires loading a truck so that boxes can be unloaded at each drop-off point without rearranging other boxes to deliver later. However, modeling such unloading constraints as hard constraints, as done in the literature, considerably limits the...

We study dynamic task allocation when providers' expertise evolves endogenously through training. We characterize optimal assignment protocols and compare them to discretionary procedures, where it is the clients who select their service providers. Our results indicate that welfare gains from...

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

This textbook provides all tools required to easily solve intertemporal optimization problems in economics, finance, business administration and related disciplines. The focus of this textbook is on 'learning through examples' and gives a very quick access to all methods required by an...