This paper proposes and analyses a pricing-based revenue management model that allows flexible products on a network, with a non-trivial extension to group reservations. Under stochastic demand the problem can be solved using a dynamic programming formulation, though it suffers from the curse of...

Three situations in which filtering theory is used in mathematical finance are illustrated at different levels of detail. The three problems originate from the following different works: 1) On estimating the stochastic volatility model from observed bilateral exchange rate news, by R. Mahieu,...