CDAM Research Report LSE-CDAMpp) Discounted optimal stopping for diffusions: free-boundary versus martingale approach Pavel V. Gapeev∗

Source URL: www.cdam.lse.ac.uk

Albert N. SHIRYAEV Steklov Mathematical Institute Optimal stopping procedures in FINANCIAL MODELS with

Source URL: cemapre.iseg.ulisboa.pt

Spread Options Optimal Switching Extensions The Real Option Approach to Plant Valuation: from Spread Options to Optimal Switching

Source URL: www.bbk.ac.uk

• Mathematical optimization
• Mathematical finance
• Dynamic programming
• Optimal stopping
• Calpine
• Statistics
• Applied mathematics

PARAMETER-DEPENDENT OPTIMAL STOPPING PROBLEMS FOR ONE-DIMENSIONAL DIFFUSIONS PETER BANK AND CHRISTOPH BAUMGARTEN Technische Universität Berlin Straße des 17. Juni 136

Source URL: page.math.tu-berlin.de

• Mathematical analysis
• Mathematics
• Operator theory
• Differential forms on a Riemann surface
• operator

Stochastic Optimal Policies when the Discount Rate Vanishes ? Kazuo Nishimura Institute of Economic Research, Kyoto University, Yoshida-honmachi, Sakyo-ku, Kyoto, Japan

Source URL: johnstachurski.net

• Mathematics
• Discrete mathematics
• Algebra
• Distribution
• Number theory
• Stopping time
• Prime-counting function
• Draft:Pirate programming

A NEW LEARNING ALGORITHM FOR OPTIMAL STOPPING VIVEK S. BORKAR1 , JERVIS PINTO2 , TARUN PRABHU3 Abstract: A linear programming formulation of the optimal stopping problem for Markov decision processes is approximated usi

Source URL: web.engr.illinois.edu

• Mathematical analysis
• Fourier analysis
• Mathematics
• Multiplier
• Rayleigh quotient

Dynamic Revenue Maximization with Heterogeneous Objects: A Mechanism Design Approach Alex Gershkov and Benny Moldovanu∗ Abstract We study the revenue maximizing allocation of several heterogeneous, commonly

Source URL: pluto.huji.ac.il

• Mathematical optimization
• Operations research
• Dynamic programming
• Pricing
• Marketing
• Mechanism design
• Yield management
• Economic model
• Economics
• Macroeconomic model
• Monopoly
• Optimal stopping

MATHEMATISCHES FORSCHUNGSINSTITUT OBEFRWOLFACH T a g u n g s b e r i c h t

Source URL: fam.tuwien.ac.at

• Mathematical finance
• BlackScholes model
• Implied volatility
• Stochastic volatility
• Risk-neutral measure
• Volatility
• Quantitative analyst
• Brownian motion
• CoxIngersollRoss model
• Optimal stopping
• Option
• Book:More Finance

Dynamic Revenue Maximization with Heterogeneous Objects: A Mechanism Design Approach Alex Gershkov and Benny Moldovanu∗ Abstract We study the revenue maximizing allocation of several heterogeneous, commonly

Source URL: www.econ2.uni-bonn.de

• Mathematical optimization
• Operations research
• Dynamic programming
• Pricing
• Marketing
• Mechanism design
• Yield management
• Economic model
• Economics
• Macroeconomic model
• Monopoly
• Optimal stopping

Robust Optimal Stopping Roger J. A. Laeven Amsterdam School of Economics University of Amsterdam, EURANDOM, and ACRM based on joint work with

Source URL: www.stochastik.uni-hannover.de