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...

We propose what be believe to be a novel approach to perform calculations for rational density functions using state space representations of the densities. By standard results from realization theory, a rational probability density function is considered to be the transfer function of a linear...

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,...