In this paper we apply stochastic programming modelling and solution techniques to planning
problems for a consortium of oil companies. A multiperiod supply, transformation and …

Dynamic financial analysis (DFA) is a technique which uses Monte Carlo simulation to investigate
the evolution over time of financial models of funds, complex liabilities and entire firms. …

This paper investigates the valuation and hedging of spread options on two commodity
prices which in the long run are in dynamic equilibrium (ie cointegrated). The spread exhibits …

A framework underlying various models that measure the credit risk of a portfolio is extended
in this paper to allow the integration of credit risk with a range of market risks using Monte …

Commodity futures prices are usually modelled using affine term structure spot price models
with latent factors extracted from the data. However, very little research to date has …

The design, dimensioning and traffic management of an Asynchronous Transfer Mode(ATM)
network may be modelled as a hierarchical planning problem at different time-scales - …

We discuss the general optimization problem of choosing a copula with minimum entropy
relative to a specified copula and a computationally intensive procedure to solve its dual. …

In solving a scenario-based dynamic (multistage) stochastic programme scenario
generation plays a critical role, as it forms the input specification to the optimization process. …

What happens if one wishes to implement an interest rate model based on current knowledge
about the subject? Current knowledge means here state of the art or best practice, but not …

In September 1998 in a special address to the Credit Risk Modeling Conference held in
London, W. McDonough, Basel Committee chairman and chief executive of the Federal Reserve …