The dual simplex algorithm is the method of choice when linear programs have to be reoptimized after adding constraints or fixing variables. In this paper we discuss a modication of the standard dual simplex which allows for taking longer steps when proceeding from one dual feasible solution to...

A class of cooperative games arising from economic and operations research situations in which agents with potential individual possibilities are connected via a hierarchy within an organization is introduced. It is shown that the games in this class form a cone which lies in the intersection of...

The main purpose of this article is to present a new numerical procedure that can be used to implement a variety of different interest rate models. The new approach allows to construct no-arbitrage models for the term structure, where the stochastic process driving the rates is infinitely...