This paper proposes a method for pricing derivatives under the GARCH assumption for underlying assets in the context of a “dynamic” version of Gerber-Shiu’s optionpricing model. Instead of adopting the notion of local risk-neutral valuation relationship (LRNVR) introduced by Duan (1995), we employ the concept of conditional Esscher transforms introduced by Bühlmann et al. (1996) to identify a m...

This paper develops a method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model determined by dynamic depe...

This paper studies a one-shot inventory replenishment problem with dynamic pricing. The customer arrival rate is assumed to follow a geometric Brownian motion. Homogeneous customers have an isoelastic demand function and do not behave strategically. We find a closed-form optimal pricing policy, which utilizes current demand information. Under this pricing policy the inventory trajectory is dete...

Obstacle Avoidance for a Mobile Robot A notorious problem in mobile obstacle avoidance is the detection and avoidance of obstacles. This thesis evaluates several well-known methods for controlling the motion of a mobile robot in an unknown dynamic environment. One of these methods, the Global Dynamic Window Approach, is selected and, using a laser range finder as the only range sensor, the meth...

We present the local path planning and obstacle avoidance method used on the autonomous tour-guide robot RoboX. It has proven its value during a 5 month operation of ten such robots in a real-world application, a very crowded exhibition. Three known approaches (DWA, elastic band, NF1) have been integrated into a system that performs smooth motion efficiently, in the sense of computational effor...

With the development of demand response (DR) technologies and increasing electricity demand, dynamic pricing has been a popular topic in many countries. This paper evaluates various dynamic pricing programs in the U.S. and Europe, and provides insights into various aspects including risks and rewards, enabling technologies, lower-income groups and customer types surrounding programs such as Tim...

This paper describes an autonomous agent conceived for automating the decision making process for pricing products. Product pricing involves the interaction of decision makers with different possibly conflicting points of view. Our approach allows for applying individual pricing policies to each product by taking into account different points of view expressed through different arguments and th...

This chapter studies structural and reduced-form credit risk models under incomplete information using techniques from stochastic filtering. We start with a brief introduction to stochastic filtering. Next we cover the pricing of corporate securities (debt and equity) in structural models under partial information. Furthermore we study the construction of a dynamic reduced-form credit risk mode...

Utility based methods provide a very general theoretically consistent approach to pricing and hedging of securities in incomplete financial markets. Solving problems in the utility based framework typically involves dynamic programming, which in practise can be difficult to implement. This article presents a Monte Carlo approach to optimal portfolio problems for which the dynamic programming is...

Differentiated Services and Integrated Services architectures rely on mechanisms to dynamically allocate network resources. Here, we investigate the feasibility of dynamically adjusting prices based on congestion. The pricing policy implements a distributed resource allocation to provide guaranteed bounds on packet loss and end-to-end delay for real-time applications. Distributed pricing roles ...