| Session Code:
W3-R1 |
| Wednesday, Room
1, 2:30-4:00 |
| Financial Modeling
and Analysis |
|
Chair:
Kou,
Steve
|
|
Hayashi, Takaki |
| Modeling
Intraday Financial Time Series |
|
Ma, Lan; Lakner, Peter |
| Hedging
Using Malliavin Calculus |
| Kou,
Steve; Kou, Samuel |
| A Tale of
Two Growths: Modeling Stochastic Endogenous Growth and Growth Stocks |
| Liu,
Zaiming |
| Ruin
Probability of a Rsk
Model with Two Classes
of Insurance Business |
|
| Session
Code: W3-R2 |
| Wednesday, Room
2, 2:30-4:00 |
Matrix Analytic Methods I
|
|
Organizer
and
Chair:
Squillante, Mark S. |
|
Grassmann, Winfried |
|
Steady
State QBD-processes with Vanishing Eigenvalues |
|
Li,Quan-Lin ; Liu, Liming |
| Performance
Derivatives of Markov Chains with Single or Multiple Dimensional
Perturbation |
|
Taylor,Peter G.; Kroese, Dirk; Scheinhardt,
Werner |
|
Spectral Properties of the
Tandem Jackson Network, Modelled as a Quasi-Birth-and-Death Process |
|
Squillante, Mark S. |
|
A Multidimensional Quasi-Birth-Death Process of
Dynamic Parallel-Server Scheduling |
|
| Session
Code: W3-R3 |
| Wednesday,
Room 3, 2:30-4:00 |
Pricing and Control
|
|
Organizer and Chair:
Xia, Cathy H. |
|
Wang, Qiong; Mitra, Debasis; Massey,
William; Hampshire, Robert |
| Optimizing
Pricing for Communication Networks at Different Levels |
|
Ward, Amy R; Plambeck, Erica |
| Inventory
Policies for High-Volume Assemble-to-Order Systems |
|
Zeevi, Assaf; Maglaras, Costis |
| Pricing and design of
differentiated services |
|
Liu, Zhen; Laura, Wynter Xia, Cathy H. |
| Pricing information
services in a competitive market: avoiding price wars |
|
| Session
Code: W3-R4 |
| Wednesday,
Room 4, 2:30-4:00 |
Supply Chain Management III
|
|
Chair:
Feng, Youyi |
|
Du, Rong; Hu, Qiying |
| A Budgets
Allocation Model for Integrated Marketing with
Marketing Persistence |
|
Wang, Jiamin |
| Just-in-time
Purchasing with a Probabilistic Demand Date |
|
Feng, Youyi; Xu, Yifan |
| A Dynamic Booking and
Overbooking Control Problem fora Two-Leg Airlines Network with Cancellations |
|
Li,
Zhaolin;
Xu, Susan H.
|
|
Managing a single product
assemble-to-order system with technology
innovations |
|
|
Session Code: W3-R5 |
|
Wednesday, Room 5, 2:30-4:00 |
|
Simulation and Optimization |
|
Organizer and Chair:
Fu, Michael |
|
Shi, Leyuan; Nembhard, Harriet
B. |
|
Real Option Pricing via
Simulation |
|
Jin, Xing; Zhang, Allen |
|
Reclaiming
Quasi-Monte Carlo Efficiency in Portfolio Value-at-Risk Simulation |
|
Fu, Michael; Hu, Jian-Qiang;
Chen, Chun-Hung |
| Simulation
Allocation for Determining the Best Design in the Presence of Correlated
Sampling |
|
Wu,Y. June;
Wu C. |
|
Introduction of Geometric
Distributed Lag Demand into Transportation Networks |
|
|
Session Code: W3-R6 |
| Wednesday,
Room 6, 2:30-4:00 |
|
Scheduling and Resource
Allocation |
|
Chair:
Stidham, Jr. Shaler |
|
Zhang, Zhe George; Love, Ernie; Song,
Yu |
|
The Optimal
Service Time Allocation of a Versatile Server to
Stochastically Generated Jobs of Multiple Types |
|
Ormeci, E. Lerzan; Wal, Jan van der |
|
Effects of arrival streams on
the optimal dynamic admission policies |
|
Stidham, Jr. Shaler |
|
A
Dynamic Stochastic Knapsack Problem with Random Resource Usage and a
Probabilistic Constraint |
|
Li,Yong
Yue; Castillo,
Ignacio;
Joro, Tarja |
|
Workforce Scheduling and Rostering with
Multiple Objectives |
|