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Option pricing under a double-exponential jump-diffusion model with varying severity of jumps
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- 10 January 2023, pp. 39-64
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Asymptotics of a time bounded cylinder model
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- 27 December 2022, pp. 1063-1083
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Valuation of vulnerable European options with market liquidity risk
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- 27 December 2022, pp. 65-81
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Tsallis value-at-risk: generalized entropic value-at-risk
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- 29 November 2022, pp. 1-20
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Scheduling servers in a two-stage queue with abandonments and costs
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- 20 July 2022, pp. 833-851
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Applications of the classical compound Poisson model with claim sizes following a compound distribution
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- 14 July 2022, pp. 357-386
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On approximation of the analytic fixed finite time large t probability distributions in an extreme renewal process with no-mean inter-renewals
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- 20 May 2022, pp. 695-710
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Dependence comparisons of order statistics in the proportional hazards model
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- 21 April 2022, pp. 730-736
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On reconsidering entropies and divergences and their cumulative counterparts: Csiszár's, DPD's and Fisher's type cumulative and survival measures
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- 21 February 2022, pp. 294-321
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A Cox model for gradually disappearing events
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- 13 January 2022, pp. 214-231
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Using a Chen-Stein identity to obtain low variance simulation estimators
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- 13 January 2022, pp. 232-244
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A regret lower bound for assortment optimization under the capacitated MNL model with arbitrary revenue parameters
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- 01 September 2021, pp. 1266-1274
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THE NEAREST UNVISITED VERTEX WALK ON RANDOM GRAPHS
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- 05 April 2021, pp. 851-867
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OPTIMAL ADMISSION AND ROUTING WITH CONGESTION-SENSITIVE CUSTOMER CLASSES
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- 01 March 2021, pp. 774-798
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BIRNBAUM CRITICALITY AND IMPORTANCE MEASURES FOR MULTISTATE SYSTEMS WITH REPAIRABLE COMPONENTS
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- 01 June 2020, pp. 66-86
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ANALYSIS AND APPLICATIONS OF THE RESIDUAL VARENTROPY OF RANDOM LIFETIMES
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- 18 March 2020, pp. 680-698
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ON STATE-INDEPENDENT IMPORTANCE SAMPLING FOR THE GI|GI|1 TANDEM QUEUE1
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- 05 November 2018, pp. 131-156
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BANDIT STRATEGIES EVALUATED IN THE CONTEXT OF CLINICAL TRIALS IN RARE LIFE-THREATENING DISEASES
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- 07 June 2017, pp. 229-245
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EROL GELENBE: A CAREER IN MULTI-DISCIPLINARY PROBABILITY MODELS
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- 20 May 2016, pp. 308-325
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PERFORMANCE OF NON-COOPERATIVE ROUTING OVER PARALLEL NON-OBSERVABLE QUEUES
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- 19 May 2016, pp. 455-469
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