All of the papers written so far deal with efficient hedging of contingent claims for which superhedging exists. The goal of this paper is to investigate the convex hedging of contingent claims for which superhedging does not exist. Without superhedging assumption it is still possible to prove...

In this paper we derive analytic formulas for electricity derivatives under assumption that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition matrix. Since the classical derivatives pricing methodology cannot be used...

We formulate minmax flow problems as a DC optimization problem. We then apply a DC primal-dual algorithm to solve the resulting problem. The obtained computational results show that the proposed algorithm is efficient thanks to particular structures of the minmax flow problems. Copyright...

We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a valuation model in terms of a dynamic programming problem where the option can...

The main purpose of this paper is to study saddle points of the vector Lagrangian function associated with a multiple objective linear programming problem. We introduce three concepts of saddle points and establish their characterizations by solving suitable systems of equalities and...

Measurements for fitting a given number of concentric circles are recorded. For each concentric circle several measurements are taken. The problem is to fit the given number of circles to the data such that all circles have a common center. This is a generalization of the problem of fitting a...

Motivated by an application in rail car maintenance, we study a variant of makespan-minimizing flexible job shop scheduling with work centers (FJc). In standard FJc a work center contains parallel machines, i.e. any machine in the work center is accessible whenever idle. In our variant, a work...

We study the infinite horizon discrete time N-player nonzero-sum Dynkin game (<InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$N \ge 2$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mrow> <mi>N</mi> <mo>≥</mo> <mn>2</mn> </mrow> </math> </EquationSource> </InlineEquation>) with stopping times as strategies (or pure strategies). The payoff depends on the set of players that stop at the termination stage (where the termination stage is the minimal stage in...</equationsource></equationsource></inlineequation>

We consider a finite buffer capacity GI/GI/c/K-type retrial queueing system with constant retrial rate. The system consists of a primary queue and an orbit queue. The primary queue has <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$c$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>c</mi> </math> </EquationSource> </InlineEquation> identical servers and can accommodate up to <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$K$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>K</mi> </math> </EquationSource> </InlineEquation> jobs (including <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$c$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>c</mi> </math> </EquationSource> </InlineEquation> jobs...</equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>

In this paper we present new concepts of efficiency for uncertain multi-objective optimization problems. We analyze the connection between the concept of minmax robust efficiency presented by Ehrgott et al. (Eur J Oper Res, <CitationRef CitationID="CR14">2014</CitationRef>, doi:<ExternalRef> <RefSource>10.1016/j.ejor.2014.03.013</RefSource> <RefTarget Address="10.1016/j.ejor.2014.03.013" TargetType="DOI"/> </ExternalRef>) and the upper set less order...</refsource></externalref></citationref>