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Stochastic Models eJournal

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Viewing: 1 - 50 of 502 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 3,799
2.

Personalized Dynamic Pricing with Machine Learning: High Dimensional Features and Heterogeneous Elasticity

Management Science, Vol. 67, No. 9, September 2021, pp. 5549-5568
Number of pages: 53 Posted: 25 May 2017 Last Revised: 16 Sep 2021
Accepted Paper Series
Robert H. Smith School of Business, University of Maryland and Duke University - Fuqua School of Business
Downloads 2,999
3.

Food Delivery Service and Restaurant: Friend or Foe?

Number of pages: 82 Posted: 23 Oct 2019 Last Revised: 11 Aug 2021
Working Paper Series
Renmin University of China - School of Business, University of Toronto - Rotman School of Management and City University of Hong Kong
Downloads 1,928
4.

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 EngineeringAbu Dhabi Investment Authority
Downloads 1,820
5.

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 1,723
6.

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 EngineeringAbu Dhabi Investment Authority
Downloads 1,712
7.

Loot Box Pricing and Design

Number of pages: 49 Posted: 05 Aug 2019 Last Revised: 07 Apr 2021
Working Paper Series
University of Toronto at Mississauga - Department of Management, Department of Industrial Engineering and Operations Research & Data Science Institute, Columbia University, University of Pittsburgh - Katz Graduate School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 1,664
8.

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: 62 Posted: 12 Feb 2018 Last Revised: 31 Jan 2022
Working Paper Series
University of Toronto - Rotman School of Management, Imperial College Business School and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 1,272
9.

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
Temple University - Fox School of Business and Management and University of Toronto - Rotman School of Management
Downloads 1,106
10.

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 1,071
11.

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 963
12.

Applications of Bayesian Networks

Number of pages: 18 Posted: 09 Nov 2012 Last Revised: 27 Dec 2021
Working Paper Series
KPA Ltd.
Downloads 817
13.

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 782
14.

Retailing with Opaque Products

Number of pages: 42 Posted: 11 Sep 2015 Last Revised: 14 Jul 2020
Working Paper Series
Department of Industrial Engineering and Operations Research & Data Science Institute, Columbia University, Decision Sciences Area, Fuqua School of Business, Duke University and Eindhoven University of Technology (TUE) - Department of Industrial Engineering and Innovation Sciences
Downloads 760
15.

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 751
16.

Dynamic Inventory Repositioning in On-Demand Rental Networks

Number of pages: 58 Posted: 30 Mar 2017 Last Revised: 29 Jul 2021
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 740
17.

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 University - Columbia Business School, Decision Risk and Operations, Stanford Graduate School of Business and Columbia University - Columbia Business School, Decision Risk and Operations
Downloads 737
18.

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 650
19.

Dynamic Pricing with Demand Learning and Reference Effects

Management Science, forthcoming
Number of pages: 76 Posted: 29 Dec 2017 Last Revised: 16 Sep 2021
Accepted Paper Series
University of Amsterdam - Korteweg-de Vries Institute for Mathematics and Duke University - Fuqua School of Business
Downloads 631
20.

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 609
21.

Multi-Objective Online Ride-Matching

Number of pages: 41 Posted: 17 Apr 2019 Last Revised: 02 Sep 2019
Working Paper Series
National University of Singapore (NUS) - NUS Business School, Institute of High Performance Computing, Agency for Science, Technology and Research (A*STAR), NUS Business School - Department of Decision Sciences and Singapore Management University - School of Information Systems
Downloads 588
22.

Contingent Stimulus in Crowdfunding

Rotman School of Management Working Paper No. 2925962
Number of pages: 46 Posted: 03 Mar 2017 Last Revised: 09 Apr 2021
Working Paper Series
University of San Francisco - School of Management, University of Toronto - Rotman School of Management and Imperial College Business School
Downloads 575
23.

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 570
24.

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 - Department of Management Science & Engineering and Korea University Business School (KUBS)
Downloads 560
25.

Data-driven Dynamic Pricing and Ordering with Perishable Inventory in a Changing Environment

Management Science, forthcoming
Number of pages: 54 Posted: 18 Jun 2019 Last Revised: 10 Jun 2021
Accepted Paper Series
Duke University - Fuqua School of Business, Duke University, Fuqua School of Business, Students and Duke University - Fuqua School of Business
Downloads 558
26.

Competition Between Two-Sided Platforms Under Demand and Supply Congestion Effects

Forthcoming in Manufacturing & Service Operations Management
Number of pages: 42 Posted: 08 Oct 2018 Last Revised: 29 Jan 2020
Accepted Paper Series
Duke University, Wisconsin School of Business and Duke University - Fuqua School of Business
Downloads 554
27.

Expected Median Of A Shifted Brownian Motion: Theory and Calculations

Number of pages: 58 Posted: 12 Jan 2021 Last Revised: 10 Mar 2021
Working Paper Series
NatWest Marketsaffiliation not provided to SSRN
Downloads 554
28.

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 533
29.

Dynamic Selling Mechanisms for Product Differentiation and Learning

Operations Research, Vol. 67, No. 4, July-August 2019, pp. 1069-1089
Number of pages: 64 Posted: 25 Nov 2014 Last Revised: 10 Jun 2021
Accepted Paper Series
Duke University - Fuqua School of Business and University of Chicago - Booth School of Business
Downloads 527
30.

Chaoticity Versus Stochasticity in Financial Markets: Are Daily S&P 500 Return Dynamics Chaotic?

Chaoticity Versus Stochasticity in Financial Markets: Are Daily S&P 500 Return Dynamics Chaotic? In: Communications in Nonlinear Science and Numerical Simulation, 108, 106218 https://www.sciencedirect.com/science/article/abs/pii/S1007570421004858#!
Number of pages: 87 Posted: 15 Mar 2021 Last Revised: 04 Mar 2022
Accepted Paper Series
Markus Vogl {Business & Data Science} and University of Stuttgart
Downloads 523
31.

Omnichannel Services: The False Premise and Operational Remedies

Number of pages: 66 Posted: 05 Sep 2019 Last Revised: 14 Feb 2022
Working Paper Series
University of Toronto - Operations Management, Sun Yat-sen University (SYSU) and University of Western Ontario - Richard Ivey School of Business
Downloads 517
32.

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 516
33.

Timing it Right: Balancing Inpatient Congestion versus Readmission Risk at Discharge

Operations Research
Number of pages: 60 Posted: 30 Jul 2018 Last Revised: 07 Jul 2020
Accepted Paper Series
Purdue University - Krannert School of Management, Indiana University - Kelley School of Business - Department of Operation & Decision Technologies, Lean Care Solutions Corporation Pte. Ltd and Lean Care Solutions Corporation Pte. Ltd
Downloads 494
34.

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 489
35.

Dynamic Pricing with Demand Covariates

Number of pages: 27 Posted: 18 Apr 2016 Last Revised: 01 Jun 2016
Working Paper Series
Stanford University, Graduate School of Business, Students and Stanford Graduate School of Business
Downloads 487
36.

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 482
37.

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, The Chinese University of Hong Kong, Shenzhen and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 467
38.

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 466
39.

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 460
40.

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 460
41.

Understanding the Value of Fulfillment Flexibility in an Online Retailing Environment

Number of pages: 59 Posted: 05 Nov 2018 Last Revised: 18 Jan 2021
Working Paper Series
University of Chicago - Booth School of Business, Decision Sciences Area, Fuqua School of Business, Duke University, JD.com American Technologies Corporation and Massachusetts Institute of Technology (MIT) - Operations Research Center
Downloads 455
42.

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 453
43.

Stochastic Processes and Control for Jump-Diffusions

Number of pages: 44 Posted: 22 Oct 2007
Working Paper Series
University of Illinois at Chicago
Downloads 445
44.

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 439
45.

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 438
46.

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
University of Colorado at Boulder - Leeds School of Business, 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 428
47.

Dynamic Learning and Market Making in Spread Betting Markets With Informed Bettors

Number of pages: 81 Posted: 07 Dec 2018 Last Revised: 20 Apr 2020
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business, Duke University - Fuqua School of Business and Wealthfront, Inc.
Downloads 427
48.

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 425
49.

Dimensioning On-Demand Vehicle Sharing Systems

Accepted for publication in Management Science
Number of pages: 52 Posted: 10 Mar 2020 Last Revised: 23 Nov 2020
Accepted Paper Series
University of Minnesota - Minneapolis - Industrial & System Engineering, Hong Kong Polytechnic University - Department of Logistics and Maritime Studies, Southern University of Science and Technology and University of Minnesota - Twin Cities - Department of Industrial and Systems Engineering
Downloads 421
50.

The Value of Dynamic Pricing in Large Queueing Systems

Number of pages: 64 Posted: 09 Jan 2015 Last Revised: 10 Feb 2022
Working Paper Series
Korea University Business School and University of Southern California
Downloads 420