A simplified Wiener–Hopf factorization method for pricing double barrier options under Lévy processes Oleg Kudryavtsev Original Paper 09 June 2024 Article: 37
Optimal investment by large consumers in an electricity market with generator market power Pranjal Pragya VermaMohammad Reza HesamzadehDipti Srinivasan Original Paper Open access 01 June 2024 Article: 36
Distributional robustness, stochastic divergences, and the quadrangle of risk R. Tyrrell Rockafellar Original Paper 16 May 2024 Article: 34
Distributions and bootstrap for data-based stochastic programming Xiaotie ChenDavid L. Woodruff Original Paper 12 May 2024 Article: 33
Decomposition methods for multi-horizon stochastic programming Hongyu ZhangIgnacio E. GrossmannAsgeir Tomasgard Original Paper Open access 10 May 2024 Article: 32
Hybrid simplicial-randomized approximate stochastic dynamic programming for multireservoir optimization Luckny ZephyrBernard F. LamondPascal Lang Original Paper 10 May 2024 Article: 31
Predicting Airbnb pricing: a comparative analysis of artificial intelligence and traditional approaches Nicola CamattiGiacomo di TolloSara Ghilardi Original Paper Open access 06 May 2024 Article: 30
Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives Allan Jonathan da SilvaJack Baczynski Original Paper 27 April 2024 Article: 29
Decomposition methods for monotone two-time-scale stochastic optimization problems Tristan RigautPierre CarpentierMichel De Lara Original Paper 21 April 2024 Article: 28
Handling of long-term storage in multi-horizon stochastic programs Michal Kaut Original Paper Open access 10 April 2024 Article: 27
A financial trading system with optimized indicator setting, trading rule definition, and signal aggregation through Particle Swarm Optimization Marco CorazzaClaudio PizziAndrea Marchioni Original Paper 20 March 2024 Article: 26
Using interpolated implied volatility for analysing exogenous market changes Matúš MaciakSebastiano Vitali Original Paper Open access 11 March 2024 Article: 25
Notes on random optimal control equilibrium problem via stochastic inverse variational inequalities Annamaria BarbagalloBruno Antonio PanseraMassimiliano Ferrara Original Paper Open access 11 March 2024 Article: 24
Multiple obnoxious facility location: the case of protected areas Malgorzata Miklas-KalczynskaPawel Kalczynski Original Paper 27 February 2024 Article: 23
A distributed approach to meteorological predictions: addressing data imbalance in precipitation prediction models through federated learning and GANs Elaheh JafarigolTheodore B. Trafalis Original Paper 19 February 2024 Article: 22
Distributed continuous-time optimization for convex problems with coupling linear inequality constraints Oleg O. Khamisov Original Paper 18 February 2024 Article: 21
Reverse auctions with transportation and convex costs Benjamin HeymannAlejandro Jofré Original Paper 05 February 2024 Article: 20
Implicitly normalized forecaster with clipping for linear and non-linear heavy-tailed multi-armed bandits Yuriy DornNikita KornilovAlexander Gasnikov Original Paper 29 January 2024 Article: 19
Analysis of weakly correlated nodes in market network Dmitry SemenovAlexander KoldanovPetr Koldanov Original Paper 23 January 2024 Article: 18
Evaluation of strategy portfolios Anlan WangAleš KrestaTomáš Tichý Original Paper Open access 20 January 2024 Article: 17
Nested Benders’s decomposition of capacity-planning problems for electricity systems with hydroelectric and renewable generation Kenjiro YagiRamteen Sioshansi Original Paper Open access 13 January 2024 Article: 16
Primal-dual gradient methods for searching network equilibria in combined models with nested choice structure and capacity constraints Meruza KubentayevaDemyan YarmoshikAlexey Shurupov Original Paper 04 January 2024 Article: 15
Preconditioning meets biased compression for efficient distributed optimization Vitali PirauAleksandr BeznosikovAlexander Gasnikov Original Paper 24 December 2023 Article: 14
Affiliations based bibliometric analysis of publications on parkinson’s disease Fuad AleskerovOlga KhutorskayaKsenia Zinovyeva Original Paper 21 December 2023 Article: 13
Decentralized convex optimization on time-varying networks with application to Wasserstein barycenters Olga YuferevaMichael PersiianovDmitry Kovalev Original Paper 16 December 2023 Article: 12
Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages E. Di LorenzoG. PiscopoM. Sibillo Original Paper Open access 08 December 2023 Article: 11
Decentralized optimization with affine constraints over time-varying networks Demyan YarmoshikAlexander RogozinAlexander Gasnikov Original Paper 07 December 2023 Article: 10
Decentralized optimization over slowly time-varying graphs: algorithms and lower bounds Dmitry MetelevAleksandr BeznosikovAnton Proskurnikov Original Paper 28 November 2023 Article: 8
A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series Carlin C. F. ChuSimon S. W. Li Original Paper Open access 17 November 2023 Article: 7
A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures Massimiliano KaucicFilippo PiccottoGabriele Sbaiz Original Paper Open access 08 November 2023 Article: 6
Decentralized saddle-point problems with different constants of strong convexity and strong concavity Dmitry MetelevAlexander RogozinDmitry Kovalev Original Paper 06 November 2023 Article: 5
The Value of Shared Information for allocation of drivers in ride-hailing: a proof-of-concept study Gianfranco LiberonaDavid SalasLéonard von Niederhäusern Original Paper 03 November 2023 Article: 4
Approximate option pricing under a two-factor Heston–Kou stochastic volatility model Youssef El-KhatibZororo S. MakumbeJosep Vives Original Paper Open access 03 November 2023 Article: 3
A refinement of the gravity model for competitive facility location Zvi DreznerDawit Zerom Original Paper 02 November 2023 Article: 2
Emergency exit layout planning using optimization and agent-based simulation Maren S. BarthKatharina PalmAndreas Krüger Original Paper Open access 30 October 2023 Article: 1
Non-smooth setting of stochastic decentralized convex optimization problem over time-varying Graphs Aleksandr LobanovAndrew VeprikovDmitry Kovalev Original Paper 24 October 2023 Article: 48
Integration of inventory control, maintenance policy, and quality control for selling products under warranty Ali SalmasniaSoudabeh HajihajiMohammad Reza Maleki Original Paper 18 October 2023 Article: 47
Wrong Way Risk corrections to CVA in CIR reduced-form models Fabio AntonelliAlessandro RamponiSergio Scarlatti Original Paper Open access 16 October 2023 Article: 46
Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making Wei WangHuifu Xu Original Paper 05 October 2023 Article: 45
An ALNS-based matheuristic algorithm for a multi-product many-to-many maritime inventory routing problem Nooshin HeidariAhmad Hemmati Original Paper Open access 30 September 2023 Article: 44
Approximate variational inequalities and equilibria Giancarlo BigiLorenzo LamparielloValerio Giuseppe Sasso Original Paper Open access 25 September 2023 Article: 43
On efficiency and the Jain’s fairness index in integer assignment problems Nahid RezaeiniaJulio C. GóezMario Guajardo Original Paper Open access 22 September 2023 Article: 42
Renewable electricity capacity planning with uncertainty at multiple scales Michael C. FerrisAndy Philpott Original Paper Open access 08 September 2023 Article: 41
Mathematical modeling for further improving task scheduling on Big Data systems Stavros SouravlasSofia AnastasiadouAngelo Sifaleras Original Paper Open access 06 September 2023 Article: 40
Competitive facility location under attrition Zvi DreznerDawit Zerom Original Paper 29 August 2023 Article: 39
Solving linear multiplicative programs via branch-and-bound: a computational experience R. CambiniR. RiccardiD. Scopelliti Original Paper Open access 29 August 2023 Article: 38
Gradient-free methods for non-smooth convex stochastic optimization with heavy-tailed noise on convex compact Nikita KornilovAlexander GasnikovDarina Dvinskikh Original Paper 28 August 2023 Article: 37
Accelerated methods for weakly-quasi-convex optimization problems Sergey GuminovAlexander GasnikovIlya Kuruzov Original Paper 27 July 2023 Article: 36