Centre for Operational Research, Management Science and Information Systems (CORMSIS)
Centre for Operational Research, Management Science and Information Systems (CORMSIS)

Publications

Our projects have an impact in many different industries. Browse our publications to find out more.
Efficient pricing of barrier options with the variance-gamma model
Athanassios.N. Avramidis, R.G. Ingalls, C.H. Chen, J.L. Snowdon & J.M. Charnes, 2004
DOI: 10.1109/WSC.2004.1371500
Type: conference
Formalization and strictness of simulation event orderings
Y.M. Teo & B.S.S. Onggo, 2004
DOI: 10.1109/PADS.2004.1301289
Type: conference
Modeling daily arrivals to a telephone call center
A.N. Avramidis, A. Deslauriers & P. L'Ecuyer, 2004, Management Science, 50(7), 896-908
DOI: 10.1287/mnsc.1040.0236
Type: article
Efficient simulation of gamma and variance-gamma processes
Athanassios.N. Avramidis, Pierre L'Ecuyer, Pierre-Alexandre Tremblay, S. Chick, P.J. Sánchez, D. Ferrin & D.J. Morrice, 2004
Type: conference
Convergence of the stochastic mesh estimator for pricing Bermudan options
A.N. Avramidis & H. Matzinger, 2004, Journal of Computational Finance, 7(4), 73-91
Type: article