We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate how our method may be combined with a factor model for the implied volatility surface to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach...

This paper proposes a novel semiparametric time-varying model for long-horizon predictive regressions in which the coefficients are allowed to change over time with unspecified functional forms. A linear projection method is employed to deal with the embedded endogeneity issue. We pursue an...

This paper presents an empirical model of sponsored search auctions in which advertisers are ranked by bid and ad quality. We introduce a new nonparametric estimator for the advertiser’s ad value and its distribution under the ‘incomplete information’ assumption. The ad value is...

Process capability analysis is arguably one of the most important engineering decision-making tools. The purpose of this research is to create a nonparametric exponentially weighted moving average (EWMA) capability control chart for monitoring S-type short-term process capabilities. Simulations...

We consider a periodic-review single-product multi-echelon inventory problem with instantaneous replenishment. In each period, the decision-maker makes ordering decisions for all echelons. Any unsatisfied demand is backordered, and any excess inventory is carried to the next period. In contrast...