Valuation of Commodity-Based Swing Options
- Patrick Jaillet, Ehud I. Ronn, S. Tompaidis
- EconomicsManagement Sciences
- 1 July 2004
This work extracts market information from forward prices and volatilities and builds a pricing framework for swing options based on a one-factor mean-reverting stochastic process for energy prices that explicitly incorporates seasonal effects.
Variational inequalities and the pricing of American options
- Patrick Jaillet, D. Lamberton, B. Lapeyre
- Mathematics
- 1 December 1990
This paper is devoted to the derivation of some regularity properties of pricing functions for American options and to the discussion of numerical methods, based on the Bensoussan-Lions methods of…
A Priori Solution of a Traveling Salesman Problem in Which a Random Subset of the Customers Are Visited
- Patrick Jaillet
- Computer Science, MathematicsOperational Research
- 1 November 1988
This work first derive closed form expressions for computing efficiently the expected length of any given tour under very general probabilistic assumptions and provides, in a unified way, a unified approach to finding a priori a tour through all n points.
Online map-matching based on Hidden Markov model for real-time traffic sensing applications
- Chong Yang Goh, J. Dauwels, Nikola Mitrovic, M. Asif, A. Oran, Patrick Jaillet
- Computer Science15th International IEEE Conference on Intelligent…
- 1 September 2012
This work proposes an online map-matching algorithm based on the Hidden Markov Model (HMM) that is robust to noise and sparseness and suggests that it is viable for low latency applications such as traffic sensing.
A Priori Optimization
- D. Bertsimas, Patrick Jaillet, A. Odoni
- Computer ScienceOperational Research
- 1 December 1990
The idea of a priori optimization as a strategy competitive to the strategy of reoptimization, under which the combinatorial optimization problem is solved optimally for every instance is introduced.
Real-Time Multivehicle Truckload Pickup and Delivery Problems
- Jian Yang, Patrick Jaillet, H. Mahmassani
- BusinessTransportation Science
- 1 May 2004
A generic real-time multivehicle truckload pickup and delivery problem that captures most features of the operational problem of a real-world trucking fleet that dynamically moves truckloads between different sites according to customer requests that arrive continuously is introduced.
Online Stochastic Matching: New Algorithms with Better Bounds
- Patrick Jaillet, Xin Lu
- Computer ScienceMathematics of Operations Research
- 1 August 2014
This work considers variants of the online stochastic bipartite matching problem motivated by Internet advertising display applications, as introduced in Feldman et al. (2009), and provides a best possible randomized algorithm with competitive ratio 1 − 1/e ≈ 0.632.
A Decomposition Approach to the Inventory Routing Problem with Satellite Facilities
- J. Bard, Liu Huang, Patrick Jaillet, M. Dror
- BusinessTransportation Science
- 1 February 1998
A comprehensive decomposition scheme for solving the inventory routing problem in which a central supplier must restock a subset of customers on an intermittent basis and a parametric analysis is conducted to investigate the tradeoff between distance and annual costs.
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