Thanos Avramidis' Publications

Working Papers

  1. Dynamic pricing with finite price sets and unknown price sensitivity. Submitted. [ePrints]
  2. A pricing problem with unknown arrival rate and price sensitivity. Submitted. [ePrints]

Archival Journals

  1. Constructing Discrete Unbounded Distributions with Gaussian-Copula Dependence and Given Rank Correlation. [url] [pdf] INFORMS Journal on Computing, 26, 2 (2014), 269-279.
  2. Optimizing Daily Agent Scheduling in a Multiskill Call Center. [url] [pdf] European Journal of Operational Research, 200, 3 (2010), 822--832. With M. Gendreau, P. L'Ecuyer, and O. Pisacane.
  3. Efficient Correlation Matching for Fitting Discrete Multivariate Distributions with Arbitrary Marginals and Normal-Copula Dependence. [url] [pdf] INFORMS Journal on Computing, 21, 1 (2009), 88-106. With N. Channouf and P. L'Ecuyer.
  4. Staffing Multi-Skill Call Centers via Search Methods and a Performance Approximation. [url] [pdf] IIE Transactions, 41, 6 (2009), 483-497 With W. Chan and P. L'Ecuyer.
  5. The Application of Forecasting Techniques to Modeling Emergency Medical System Calls in Calgary, Alberta. [url] [pdf] Health Care Management Science, 10, 1 (2007), 25-45. With N. Channouf, P. L'Ecuyer, and A. Ingolfsson.
  6. Markov Chain Models of a Telephone Call Center with Call Blending. [url] [pdf] Computers and Operations Research, 34, 6 (2007), 1616-1645. With A. Deslauriers, P. L'Ecuyer, J. Pichitlamken, and A. Ingolfsson.
  7. Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing under the Variance-Gamma Model. [url] [pdf] Management Science, 52, 12 (2006), 1930-1994. With P. L'Ecuyer.
  8. Modeling Daily Arrivals to a Telephone Call center. [url] [pdf] Management Science, 50, 7 (2004), 896-908. With A. Deslauriers, and P. L'Ecuyer.
  9. Convergence of the Stochastic Mesh Estimator for Pricing Bermudan Options. [url] [pdf] The Journal of Computational Finance 7, 4 (2004), 73-91. With H. Matzinger.
  10. Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments. [url] [pdf] Operations Research, 46, 4 (1998), 574-591. With J. R. Wilson.
  11. Control of a Batch-Processing Machine: A Computational Approach. [url] International Journal of Production Research, 36, 11 (1998), 3167-3181. With K. J. Healy and R. Uzsoy.
  12. Integrated Variance Reduction Strategies for Simulation. [url] [pdf] Operations Research, 44, 2 (1996), 327-346. With J. R. Wilson.
  13. A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments. [url] [pdf] ORSA Journal on Computing, 6, 4 (1994), 342-355. With J. R. Wilson.
  14. A Splitting Scheme for Control Variates. [url] [pdf] Operations Research Letters, 14, 4 (1993), 187-198. With J. R. Wilson.
  15. Simulation of Stochastic Activity Networks Using Path Control Variates. [url] Naval Research Logistics, 38, 2 (1991), 183-201. With K. W. Bauer and J. R. Wilson.

Refereed Conference Proceedings

  1. Modeling and analyzing the breakdown process. [ePrints] Poster in the 2016 Winter Simulation Conference, IEEE press, 3662-3663. With S. Pan.
  2. Predicting micro-level behavior in online communities for risk management. [url] [pdf] Data Science, Learning by Latent Structures, and Knowledge Discovery, Lausen, Berthold, Krolak-Schwerdt, Sabine and Böhmer, Matthias (eds.) (2015), Springer. With P. A. Hiscock and J. Fliege.
  3. A Cross-Validation Approach to Bandwidth Selection for a Kernel-Based Estimate of the Density of a Conditional Expectation. [pdf] Proceedings of the 2011 Winter Simulation Conference, IEEE press, 439-443.
  4. Fitting Discrete Multivariate Distributions with Unbounded Marginals and Normal-Copula Dependence. [pdf] Proceedings of the 2009 Winter Simulation Conference, IEEE press, 452-458.
  5. Simulation-Based Optimization of Agent Scheduling in Multiskill Call Centers. [pdf] Proceedings of 2007 Industrial Simulation Conference. With M. Gendreau, P. L'Ecuyer, and O. Pisacane.
  6. Modeling and Simulation of Call Centers. [pdf] Proceedings of the 2005 Winter Simulation Conference, IEEE press, 144-152. With P. L'Ecuyer.
  7. Efficient Pricing of Barrier Options with the Variance-Gamma Model. [pdf] Proceedings of the 2004 Winter Simulation Conference, IEEE press, 1574-1578.
  8. Efficient Simulation of Gamma and Variance-Gamma Processes. [pdf] Proceedings of the 2003 Winter Simulation Conference, IEEE Press, 319-326. With P. L'Ecuyer and P.-A. Tremblay.
  9. Modeling and Simulation of a Telephone Call Center. [pdf] Proceedings of the 2003 Winter Simulation Conference, IEEE press, 1805-1812. With J. Pichitlamken, A. Deslauriers, and P. L'Ecuyer.
  10. Importance Sampling for Multimodal Functions and Application to Pricing Exotic Options. [pdf] Proceedings of the 2002 Winter Simulation Conference, IEEE press, 1493-1500.
  11. Convergence of the Stochastic Mesh Estimator for Pricing American Options. [pdf] Proceedings of the 2002 Winter Simulation Conference, IEEE press, 1560-1567. With H. Matzinger.
  12. Efficiency Improvements for Pricing American Options with a Stochastic mesh. [pdf] Proceedings of the 1999 Winter Simulation Conference, IEEE press, 344-350. With P. Hyden.
  13. Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments. [pdf] Proceedings of the 1995 Winter Simulation Conference, IEEE press, 268-277. With J. R. Wilson.
  14. Integrated Variance Reduction Strategies. [pdf] Proceedings of the 1993 Winter Simulation Conference, IEEE press, 445-454. With J. R. Wilson.
  15. Variance Reduction for Quantile Estimation via Correlation Induction. [pdf] Proceedings of the 1992 Winter Simulation Conference, IEEE press, 572-576.
  16. Control Variates for Stochastic Network Simulation. [pdf] Proceedings of the 1990 Winter Simulation Conference, IEEE press, 323-332. With J. R. Wilson.
  17. Overlapping Batch Statistics. [pdf] Proceedings of the 1990 Winter Simulation Conference, IEEE press, 395-398. With B. W. Schmeiser and S. Hashem.
  18. A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments. [pdf] Proceedings of the 1989 Winter Simulation Conference, IEEE press, 428-436. With J. R. Wilson.

Other Publications

  1. Efficiency Improvements for Pricing American Options with a Stochastic Mesh: Parallel Implementation. [pdf] Financial Engineering News, 19, December 2000. With Y. Zinchenko, T. Coleman, and A. Verma.
Back to Home Page

Last update: November 2018