This paper studies the parameter estimation problem for Ornstein-Uhlenbeck stochastic volatility models driven by Lévy processes. Estimation is regarded as the principal challenge in applying these models since they were proposed by Barndorff-Nielsen and Shephard [<italic>J. R. Stat. Soc. Ser. B</italic>, 2001,...

The Expectation-Maximization (EM) algorithm is a very popular optimization tool for mixture problems and in particular for model-based clustering problems. However, while the algorithm is convenient to implement and numerically very stable, it only produces local solutions. Thus, it may not...

A major assumption in the analysis of (s, S) inventory systems with stochastic lead times is that orders are received in the same sequence as they are placed. Even under this assumption, much of the work to date has focused on the unconstrained optimization of the system, in which a penalty cost...

Applying the technique of smoothed perturbation analysis (SPA) to the GI/G/m queue with first-come, first-served (FCFS) queue discipline, we derive sample path estimators for the second derivative of mean steady-state system time with respect to a parameter of the service time distribution. Such...

We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation...