Papers by Charles S Tapiero
Fixed Income, Bonds and Interest Rates
Financial Analytics and A Binomial Pricing Model
International Series in Operations Research & Management Science, 2014
The physical fact that we are always in a present has motivated our quest to define a virtual pas... more The physical fact that we are always in a present has motivated our quest to define a virtual past (model) as a memory and a virtual future as a rational expectation of future prices (though current option prices for example). To frame a future in a cognitive manner, “expectations-models” and scenarios generating approaches are constructed based on experience, memory, information, needs and attitudes. These are the factors that define our predictions and expectations of future financial prices for example. In a broad sense, we do have memory of stock prices and these dictate our actions that contribute to financial modeling by the manners we use to structure both memory and future expectations. This paper considers a binomial memory-less price model and memory prone extensions including Short run and Bayesian Learning models.
Insurance and finance: Competition and/or convergence
Risk and Decision Analysis
... Products services (such as contracts repudiation, on-demand bank guarantees, Contract termina... more ... Products services (such as contracts repudiation, on-demand bank guarantees, Contract termination ... insurance firms are often seen as risk warehouses that aggregate risks, engineered to ... Thus, they have become wholesale loan firms with risks transferred whenever possible ...
Self-Serving Altruistic Consumption and International Prices
SSRN Electronic Journal
Journal of Business Economics and Management
The purpose of this paper is to provide a strategic (game) approach to Quality Assurance. Unlike ... more The purpose of this paper is to provide a strategic (game) approach to Quality Assurance. Unlike previous approaches that presume non‐motivated sources of risk, we assume in this paper that risk may arise strategically due to other motivations. For example, problems associated to supply risks received by a producer‐buyer. As a result, strategic quality assurance problems are formulated in terms of random payoff game which we solve while using the traditional approach to risk specification imbedded in quantile risks (Type I and Type II errors in statistics or producers and consumers risks). Technically, the approach devised consists in solving risk constrained (random payoff) games which involve strategic partners, potentially in conflict. The approach devised is then applied to a number of problems spanning essentially mutual sampling (quality assurance) between a buyer and supplier and strategic quality control in supply chains where potential conflict and information and power asy...
Acceptance sampling in a producer—supplier conflicting environment: Risk neutral case
Applied Stochastic Models and Data Analysis
ABSTRACT
Revue française d'informatique et de recherche opérationnelle. Série verte
Revue française d'automatique, informatique, recherche opérationnelle. Recherche opérationnelle
Estimating the value of contracts. A simulation study Revue française d'automatique, d'informatiq... more Estimating the value of contracts. A simulation study Revue française d'automatique, d'informatique et de recherche opérationnelle. Recherche opérationnelle, tome 8, n o V3 (1974), p. 33-49. <http://www.numdam.org/item?id=RO_1974__8_3_33_0> © AFCET, 1974, tous droits réservés. L'accès aux archives de la revue « Revue française d'automatique, d'informatique et de recherche opérationnelle. Recherche opérationnelle » implique l'accord avec les conditions générales d'utilisation (http://www.numdam.org/ legal.php). Toute utilisation commerciale ou impression systématique est constitutive d'une infraction pénale. Toute copie ou impression de ce fichier doit contenir la présente mention de copyright. Article numérisé dans le cadre du programme Numérisation de documents anciens mathématiques http://www.numdam.org/ R.A.I.R.O. (8 e année, novembre 1974, V-3, p. 33 à 49) ESTIMATING THE VALUE OF CONTRACTS A SIMULATION STUDY 0 by Charles S. TAPIERO (*) and Philippe de LOZE (**) Abstract.-Contracts are bindinq bi-îateral agreements by which agreed on exchange terms between two firms are used as substitutes for current market mechanisms as a medium of economie exchange, A model describing the probabilistic évolution of priées and demands> contract clauses and the value of contracts is simulated. As an example, five contract terms are considered and the simulated probability distributions for the value of each of these contracts is given. They are then compared in terms of their expected returns, variance and stochastic dominance. (1) This research is an outgrowth of a research project entitled « Computers in Collective Bargaining » supported by American Arbitration Research Institute. The authors are grateful to an anonymous référée and to the Columbia University Graduate School of Business Research funds. Columbia University (*) Assiociate Professor. (•*) MBA.
RAIRO - Operations Research
RAIRO - Operations Research
RAIRO - Operations Research
Optimization of Information Measurement with Inventory Applications
INFOR: Information Systems and Operational Research
Product Failures, Manufacturing Reliability And Quality Control: A Dynamic Framework
INFOR: Information Systems and Operational Research
Tetrahedron Letters
de la configuration anomere des nucleosides de type ribofuranose asses delicat sauf si l'on dispo... more de la configuration anomere des nucleosides de type ribofuranose asses delicat sauf si l'on dispose des 2 anomitres 4 et (3 , ce
RAIRO - Operations Research
Revue française d'automatique, informatique, recherche opérationnelle. Recherche opérationnelle, 1972
Affectation séquentielle de nouvelles machines Revue française d'automatique, informatique, reche... more Affectation séquentielle de nouvelles machines Revue française d'automatique, informatique, recherche opérationnelle. Recherche opérationnelle, tome 6, n o V1 (1972), p. 57-63 <http://www.numdam.org/item?id=RO_1972__6_1_57_0> © AFCET, 1972, tous droits réservés. L'accès aux archives de la revue « Revue française d'automatique, informatique, recherche opérationnelle. Recherche opérationnelle » implique l'accord avec les conditions générales d'utilisation (http://www.numdam.org/ conditions). Toute utilisation commerciale ou impression systématique est constitutive d'une infraction pénale. Toute copie ou impression de ce fichier doit contenir la présente mention de copyright. Article numérisé dans le cadre du programme Numérisation de documents anciens mathématiques http://www.numdam.org/ R.A.Ï.R.O. (6 e année, N° V-l, 1972, p. 57-63) AFFECTATION SEQUENTIELLE DE NOUVELLES MACHINES par Charles S. TAPIERO Q Résumé.-Vaffectation séquentielle de nouvelles machines consiste à déterminer une séquence optimale de répartition de nouvelles machines entre n centres productifs appartenant à une seule entreprise et ayant la même fonction économique. Cette note modélise ce problème d % 'affectation sous la t forme d'un problème de commande optimale. La solution numérique de tels problèmes étant compliquée, on suppose que les machines travaillent continuellement, ainsi, on obtient la séquence optimale'en résolvant un programme linéaire en nombres entiers.
Optimal Product Quality And Advertising
INFOR: Information Systems and Operational Research, 1981
IFAC Proceedings Volumes, 2005
This paper considers the "inventory outsourcing problem" as a VaR (Value at Risk) problem providi... more This paper considers the "inventory outsourcing problem" as a VaR (Value at Risk) problem providing a mechanism for managing outsourcing firms when the supplier is a leader having full information of the outsourcing firm's demand distributions and cost parameters. This leads to a Stackleberg game which is solved under a number of assumptions. Both demand dependent and independent models are considered, the latter resulting from (statistical) risk aggregation. A number of examples are solved as well to highlight essential issues underlying the practice of inventory outsourcing-price and supply priorities. These solutions can be be expressed as nonlinear optimization problems which can be solved by standard numerical routines.
Dynamic Online and O ine Pricing for Heterogeneous Customers in Virtual Acceptance
Http Dx Doi Org 10 1080 09537280600777172, Feb 21, 2007
This paper considers the "inventory outsourcing problem" as a VaR (Value at Risk) problem providi... more This paper considers the "inventory outsourcing problem" as a VaR (Value at Risk) problem providing a mechanism for managing outsourcing firms when the supplier is a leader having full information of the outsourcing firm's demand distributions and cost parameters. This leads to a Stackleberg game which is solved under a number of assumptions. Both demand dependent and independent models are considered, the latter resulting from (statistical) risk aggregation. A number of examples are solved as well to highlight essential issues underlying the practice of inventory outsourcing-price and supply priorities. These solutions can be be expressed as nonlinear optimization problems which can be solved by standard numerical routines.
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Papers by Charles S Tapiero