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Stochastic Models eJournal

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Viewing: 1 - 50 of 385 papers

1.

Credit Scoring with Social Network Data

Yanhao Wei, Pinar Yildirim, Christophe Van den Bulte, Chrysanthos Dellarocas (2016) Credit Scoring with Social Network Data. Marketing Science 35(2):234-258.
Number of pages: 26 Posted: 03 Aug 2014 Last Revised: 02 Mar 2018
Accepted Paper Series
University of Southern California - Marshall School of Business, University of Pennsylvania - The Wharton School, University of Pennsylvania - Marketing Department and Boston University, Questrom School of Business - Department of Information Systems
Downloads 3,198
2.

Dynamic Matching for Real-Time Ridesharing

Stochastic Systems
Number of pages: 76 Posted: 28 Sep 2016 Last Revised: 16 May 2019
Accepted Paper Series
Koc University - College of Administrative Sciences and Economics and The University of Chicago Booth School of Business
Downloads 1,288
3.

Supercomputing for Finance: A Gentle Introduction (Presentation Slides)

Number of pages: 20 Posted: 30 Jan 2017 Last Revised: 01 Feb 2017
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,197
4.

Personalized Dynamic Pricing with Machine Learning

Number of pages: 50 Posted: 25 May 2017 Last Revised: 12 Nov 2018
Working Paper Series
London Business School and Duke University - Fuqua School of Business
Downloads 1,152
5.

Stochastic Volatility

Number of pages: 55 Posted: 21 Dec 2007 Last Revised: 16 Jul 2010
Working Paper Series
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department

Multiple version iconThere are 2 versions of this paper

Downloads 1,033
6.

Integrated Marketing Communications in Markets with Uncertainty and Competition

Automatica, Vol. 45, pp. 601-610, 2009
Number of pages: 37 Posted: 28 Jan 2007 Last Revised: 25 Sep 2010
Accepted Paper Series
University of California, Riverside (UCR) and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 942
7.

Pricing and Matching with Forward-Looking Buyers and Sellers

Rotman School of Management Working Paper No. 2859864
Number of pages: 58 Posted: 27 Oct 2016 Last Revised: 25 Jul 2018
Working Paper Series
University of Cincinnati - Lindner College of Business and University of Toronto - Rotman School of Management
Downloads 905
8.

Financial Quantum Computing (Presentation Slides)

Number of pages: 22 Posted: 07 Oct 2016 Last Revised: 16 Jul 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 830
9.

Optimal Consumption and Investment with Bankruptcy

Suresh Sethi, OPTIMAL CONSUMPTION AND INVESTMENT WITH BANKRUPTCY, Kluwer Academic Publishers, Boston MA, 1997, 428 pages.
Number of pages: 444 Posted: 10 Apr 2008 Last Revised: 07 Nov 2017
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management
Downloads 719
10.

Gamma Expansion of the Heston Stochastic Volatility Model

Number of pages: 31 Posted: 07 Oct 2008
Working Paper Series
Columbia Business School and Korea Advanced Institute of Science and Technology
Downloads 698
11.

Monte Carlo Methods for Pricing Discrete Parisian Options

European Journal of Finance, Vol. 17, Issue 3, 2011
Number of pages: 40 Posted: 11 Jul 2009 Last Revised: 24 Jan 2012
Accepted Paper Series
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 622
12.

Non-Stationary Stochastic Optimization

Operations Research. 2015, Vol. 63 (5), Pages 1227-1244.
Number of pages: 18 Posted: 20 Jul 2013 Last Revised: 15 Nov 2015
Accepted Paper Series
Columbia Business School - Decision Risk and Operations, Stanford Graduate School of Business and Columbia Business School - Decision Risk and Operations
Downloads 618
13.

Applications of Bayesian Networks

Number of pages: 16 Posted: 09 Nov 2012 Last Revised: 31 Jul 2013
Working Paper Series
KPA Ltd.
Downloads 550
14.

Systemic Risk: What Defaults are Telling Us

Management Science, Vol. 57, No. 8, pp. 1387-1405, 2011
Number of pages: 34 Posted: 15 Sep 2009 Last Revised: 18 Mar 2012
Accepted Paper Series
Stanford University - Management Science & Engineering and Korea University Business School (KUBS)
Downloads 528
15.

A Note on Correlation in Stochastic Volatility Term Structure Models

Number of pages: 8 Posted: 02 Oct 2007
Working Paper Series
Banca IMI and Bloomberg L.P.
Downloads 506
16.

Appointment Scheduling with Limited Distributional Information

Number of pages: 41 Posted: 29 Aug 2013
Working Paper Series
University of Oxford - Said Business School, Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 491
17.

Retailing with Opaque Products

Number of pages: 40 Posted: 11 Sep 2015 Last Revised: 03 Oct 2018
Working Paper Series
Industrial Engineering and Operations Research, Columbia University and Boston College - Carroll School of Management
Downloads 475
18.

Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

Number of pages: 62 Posted: 28 Jun 2003
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 468
19.

A Concise Guide to Dynamic Optimization

Number of pages: 43 Posted: 16 Oct 2011 Last Revised: 27 Nov 2016
Working Paper Series
University at Buffalo - Department of Economics
Downloads 457
20.

Dynamic Selling Mechanisms for Product Differentiation and Learning

Forthcoming in Operations Research
Number of pages: 64 Posted: 25 Nov 2014 Last Revised: 07 Oct 2018
Accepted Paper Series
Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 453
21.

A Hybrid Stochastic Volatility Model Incorporating Local Volatility

2012 Fourth International Conference on Computational and Information Sciences (ICCIS)
Number of pages: 4 Posted: 04 Jun 2012 Last Revised: 28 Jan 2014
Accepted Paper Series
Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 449
22.

Contracting and Coordination Under Asymmetric Production Cost Information

Production and Operations Management, 21(2)345-260
Number of pages: 36 Posted: 17 Jan 2008 Last Revised: 12 Nov 2012
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management, Southwestern University of Finance and Economics (SWUFE) - School of Business Administration and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 433
23.

Optimal Cash Management under Uncertainty

Operations Research Letters, Vol. 37, pp. 425-429, 2009
Number of pages: 15 Posted: 28 Feb 2009 Last Revised: 27 Mar 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 427
24.

A Stock Market Model

Number of pages: 39 Posted: 05 Nov 2008 Last Revised: 06 Mar 2009
Working Paper Series
University of Toronto and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 422
25.

Classical, Singular, and Impulse Stochastic Control for the Optimal Dividend Policy when There is Regime Switching

Number of pages: 49 Posted: 01 Jun 2008
Working Paper Series
Georgia State University - Department of Risk Management and Insurance and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 419
26.

Behavioral Modeling in Weight Loss Interventions

Number of pages: 35 Posted: 14 Sep 2016 Last Revised: 22 Feb 2017
Working Paper Series
University of California, Berkeley, University of California, Berkeley - Department of Industrial Engineering & Operations Research (IEOR), University of California, Berkeley - Department of Industrial Engineering and Operations Research, University of California, San Francisco (UCSF) - School of Nursing and University of California, San Francisco (UCSF) - School of Nursing
Downloads 382
27.

Contingent Stimulus in Crowdfunding

Rotman School of Management Working Paper No. 2925962
Number of pages: 54 Posted: 03 Mar 2017 Last Revised: 21 Aug 2017
Working Paper Series
University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 381
28.

Ride-Hailing Networks with Strategic Drivers: The Impact of Platform Control Capabilities on Performance

Rotman School of Management Working Paper No. 3120544, Columbia Business School Research Paper No. 18-19
Number of pages: 56 Posted: 12 Feb 2018 Last Revised: 26 Mar 2018
Working Paper Series
University of Toronto - Rotman School of Management, Columbia University - Columbia Business School and Columbia Business School - Decision Risk and Operations
Downloads 376
29.

Modelling Dependence in Insurance Claims Processes with Lévy Copulas

UNSW Australian School of Business Research Paper No. 2011ACTL01
Number of pages: 28 Posted: 04 Aug 2011
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Downloads 374
30.

Stochastic Processes and Control for Jump-Diffusions

Number of pages: 44 Posted: 22 Oct 2007
Working Paper Series
University of Illinois at Chicago
Downloads 368
31.

Modeling Swap Spreads in Normal and Stressed Environments

Number of pages: 28 Posted: 24 Dec 2008
Working Paper Series
LongTail Alpha, LLC, Lime Brokerage LLC and California Institute of Technology
Downloads 361
32.

Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems

Number of pages: 23 Posted: 23 Jan 2015
Working Paper Series
Global Risk Management Network, LLC
Downloads 349
33.

Black-Litterman Model for Continuous Distributions

Number of pages: 36 Posted: 08 Mar 2016 Last Revised: 13 Aug 2018
Working Paper Series
University of Leeds - School of Mathematics and University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics
Downloads 346
34.

A Note on Merton's 'Optimum Consumption and Portfolio Rules in a Continuous-Time Model'

Journal of Economic Theory, Vol. 46, No. 2, pp. 395-401, 1988
Number of pages: 11 Posted: 17 Jan 2008 Last Revised: 29 Mar 2014
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management and University of Missouri at Columbia - Department of Mathematics (Deceased)
Downloads 337
35.

The Value of Dynamic Pricing in Large Queueing Systems

Number of pages: 64 Posted: 09 Jan 2015 Last Revised: 01 Jul 2017
Working Paper Series
University of Southern California - Marshall School of Business and University of Southern California
Downloads 325
36.

Transform Analysis for Point Processes and Applications in Credit Risk

Number of pages: 24 Posted: 19 Oct 2007 Last Revised: 22 Jun 2016
Working Paper Series
Stanford University - Management Science & Engineering and Stanford University - Department of Statistics
Downloads 312
37.

Closing the Gap: A Learning Algorithm for the Lost-Sales Inventory System with Lead Times

Number of pages: 45 Posted: 26 Feb 2017 Last Revised: 06 Oct 2018
Working Paper Series
The Pennsylvania State University - The Harold and Inge Marcus Department of Industrial and Manufacturing Engineering, University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering and University of Michigan at Ann Arbor - Department of Industrial and Operations Engineering
Downloads 309
38.

Inventory Management with Stochastic Lead Times

Number of pages: 34 Posted: 11 Dec 2013
Working Paper Series
University of Texas at Austin - Red McCombs School of Business, University of Illinois at Urbana Champaign and Case Western Reserve University, Weatherhead School of Management
Downloads 303
39.

Pricing in Queues without Demand Information

Number of pages: 31 Posted: 09 Oct 2011 Last Revised: 13 Jul 2013
Working Paper Series
Hebrew University of Jerusalem - Department of Statistics and University of Southern California
Downloads 302
40.

Optimal Ordering Policies for Stochastic Inventory Problems with Observed Information Delays

Production and Operations Management, Vol. 18, No. 5, pp. 546-559, 2009
Number of pages: 14 Posted: 28 Feb 2008 Last Revised: 26 Oct 2009
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 297
41.

Home Care Routing and Appointment Scheduling with Stochastic Service Durations

Number of pages: 27 Posted: 03 Oct 2015
Working Paper Series
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management, University of Minnesota - Minneapolis - Industrial & System Engineering and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 296
42.

Inventory Repositioning in On-Demand Product Rental Networks

Number of pages: 70 Posted: 30 Mar 2017 Last Revised: 19 Dec 2018
Working Paper Series
University of Minnesota - Minneapolis - Industrial & System Engineering, University of Pittsburgh, University of Minnesota - Minneapolis - Industrial & System Engineering and National University of Singapore
Downloads 295
43.

Background Subtraction for Pattern Recognition in High Frequency Financial Data

Number of pages: 45 Posted: 18 Jan 2016 Last Revised: 07 Jul 2016
Working Paper Series
University of California, Berkeley and Integral Development Corporation
Downloads 285
44.

Pricing Risk Under Risk Measures: An Introduction to Stochastic-Endogenous Equilibria

Number of pages: 45 Posted: 04 Aug 2011
Working Paper Series
University of Cambridge - Judge Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 284
45.

American Options in Lévy Models with Stochastic Interest Rates

Number of pages: 31 Posted: 20 Sep 2007
Working Paper Series
University of Texas at Austin - Department of Economics and Calico Science Consulting
Downloads 269
46.

Sampling-Based Approximation Schemes for Capacitated Stochastic Inventory Control Models

Number of pages: 39 Posted: 07 Jun 2015 Last Revised: 09 Nov 2017
Working Paper Series
Institute of High Performance Computing, Agency for Science, Technology and Research (A*STAR) and Massachusetts Institute of Technology (MIT) - School of Engineering
Downloads 257
47.

Optimal Dividends and Capital Injections in the Dual Model with Diffusion

UNSW Australian School of Business Research Paper No. 2010ACTL15
Number of pages: 28 Posted: 15 Nov 2010
Working Paper Series
UNSW Australia Business School, School of Risk and Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies

Multiple version iconThere are 2 versions of this paper

Downloads 256
48.

A Two-Stage Newsvendor Problem with a Service Constraint

Number of pages: 37 Posted: 06 Jul 2008
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, Purdue University - Krannert School of Management and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 252
49.

Coordination Mechanism for the Supply Chain with Leadtime Consideration and Price-Dependent Demand

European Journal of Operational Research, Vol. 203, No. 1, pp. 70-80, May 2010
Number of pages: 25 Posted: 07 Nov 2008 Last Revised: 28 May 2010
Accepted Paper Series
affiliation not provided to SSRN, City Univ. of Hong Kong - Dept of Management Scienes, The Hong Kong Polytechnic University - Institute of Textiles and Clothing and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 248
50.

Gains from Diversification: A Majorization and Stochastic Dominance Approach

Number of pages: 21 Posted: 12 Mar 2008
Working Paper Series
Universidad de la Republica and Asia University, Department of Finance
Downloads 245