Option pricing and hedging in a complete market are well-studied with nice results using martingale theories. However, they remain as open questions in incomplete markets. In particular, when the underlying processes involve jumps, there could be infinitely many martingale measures which give an interval of no-arbitrage prices instead of a unique one. Consequently, there is no martingale repres...

In financial economics in general the objective function expresses the risk preferences of the decision maker, see for example the mean variance approach in portfolio theory. Only recently in inventory management instead of maximizing expected profit or minimizing expected cost risk-averse objective functions have been used for determining the optimal order quantity. Examples are the exponentia...

We consider the problem of training a conditional random field (CRF) to maximize per-label predictive accuracy on a training set, an approach motivated by the principle of empirical risk minimization. We give a gradient-based procedure for minimizing an arbitrarily accurate approximation of the empirical risk under a Hamming loss function. In experiments with both simulated and real data, our o...

In this paper, we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best copula, in addition to the goodness of fit tests, we employ a graphical method based on visual comparison of the fitted copula density and the smoothed copula...

conclusions it was noted that a relatively high prevalence of growth failure was observed in the study sample. for minimizing the impact of significant risk factors on growth failure, the early detection of growth failure and its risk indicators is of great importance. in addition, when the focus of the analysis is on the different nested sources of variability and the data has a hierarchical s...

this paper presents a new approach which is based on quality control in order to optimize supplier selection. using inspections, removing the defected materials and considering penalties for low quality materials are the main factors which we have considered in modeling. in this model costs are divided to three parts: 1- costs of purchasing 2- costs of inspection policy 3- costs of quality and ...