Descending mechanisms for procurement (or, ascending mechanisms for selling) have been well‐recognized for their simplicity from the viewpoint of bidders — they require less bidder sophistication as compared to sealed‐bid mechanisms. In this study, we consider procurement under each of two...

The replication of a portfolio of cashflow instruments with another set of cashflow instruments is frequently used for pricing and hedging. For example, replication of deposits with tradable bonds allows the treasurer to determine an approximate fair value of deposits and implement hedging...

We study fixed-dimensional stochastic dynamic programs in a discrete setting over a finite horizon. Under the primary assumption that the cost-to-go functions are discrete L♮-convex, we propose a pseudo-polynomial time approximation scheme that solves this problem to within an arbitrary...