Pierre L'Ecuyer

University of Montreal

Professor

C.P. 6128, succursale Centre-Ville

Montreal, Quebec H3C 3J7

Canada

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

1.

The Application of Forecasting Techniques to Modeling Emergency Medical System Calls in Calgary, Alberta

Health Care Management Science Vol. 10 No. 1 pp. 25-45, University of Alberta School of Business Research Paper No. 2013-183
Posted: 02 Jul 2013
University of Montreal, School of Mathematics, Univ. of Southampton, University of Alberta - Department of Accounting, Operations & Information Systems and Independent

Abstract:

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Emergency, medical service, Arrivals, Time series, Simulation, Forecasting

2.

Markov Chain Models of a Telephone Call Centre with Call Blending

Computers & Operations Research vol. 34 no. 6 pp. 1616-1645, University of Alberta School of Business Research Paper 2013-182
Posted: 02 Jul 2013
Independent, University of Montreal, Independent, University of Alberta - Department of Accounting, Operations & Information Systems and School of Mathematics, Univ. of Southampton

Abstract:

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3.

Four Canadian Contributions to Stochastic Modeling

INFOR, Vol. 46, No. 1, pp. 3–14, February 2008, University of Alberta School of Business Research Paper No. 2013-187
Posted: 28 Jun 2013
Independent, University of British Columbia (UBC) - Division of Operations and Logistics, University of Montreal and University of Alberta - Department of Accounting, Operations & Information Systems

Abstract:

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Stochastic modeling, uniformization method, Markov decision processes, random number generation, queueing theory software

4.

A Dynamic Programming Approach for Pricing Options Embedded in Bonds

Journal of Economic Dynamics and Control, Vol. 31, No. 7, pp. 2212-2233, July 2007
Posted: 04 Jul 2006 Last Revised: 29 Feb 2012
HEC Montreal - Department of Management Sciences, HEC Montreal - Department of Management Sciences, Goldman, Sachs & Co and University of Montreal

Abstract:

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Option pricing, Bond pricing, Dynamic Programming, Options embedded in bonds

5.

Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing Under the Variance-Gamma Model

Management Science, Vol. 52, No. 12, pp. 1930-1994, 2006
Posted: 23 Aug 2005 Last Revised: 29 Sep 2008
Athanassios N. Avramidis and Pierre L'Ecuyer
School of Mathematics, Univ. of Southampton and University of Montreal

Abstract:

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Option pricing, variance gamma process, Monte Carlo, quasi-Monte Carlo, extrapolation