Thanos Avramidis' Publications
Working Papers
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Dynamic pricing with finite price sets and unknown price sensitivity. Submitted.
[ePrints]
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A pricing problem with unknown arrival rate and price sensitivity. Submitted.
[ePrints]
Archival Journals
- Constructing Discrete Unbounded Distributions with Gaussian-Copula Dependence and Given Rank Correlation.
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INFORMS Journal on Computing, 26, 2 (2014), 269-279.
- Optimizing Daily Agent Scheduling in a Multiskill Call Center.
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European Journal of Operational Research, 200, 3 (2010), 822--832. With M. Gendreau, P. L'Ecuyer, and O. Pisacane.
- Efficient Correlation Matching for Fitting Discrete Multivariate Distributions with Arbitrary Marginals and Normal-Copula Dependence.
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INFORMS Journal on Computing, 21, 1 (2009), 88-106. With N. Channouf and P. L'Ecuyer.
- Staffing Multi-Skill Call Centers via Search Methods and a Performance Approximation.
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IIE Transactions, 41, 6 (2009), 483-497 With W. Chan and P. L'Ecuyer.
- The Application of Forecasting Techniques to Modeling Emergency Medical System Calls in Calgary, Alberta.
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Health Care Management Science, 10, 1 (2007), 25-45. With N. Channouf, P. L'Ecuyer, and A. Ingolfsson.
- Markov Chain Models of a Telephone Call Center with Call Blending.
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Computers and Operations Research, 34, 6 (2007), 1616-1645. With A. Deslauriers, P. L'Ecuyer, J. Pichitlamken, and A. Ingolfsson.
- Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing under the Variance-Gamma Model.
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Management Science, 52, 12 (2006), 1930-1994. With P. L'Ecuyer.
- Modeling Daily Arrivals to a Telephone Call center.
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Management Science, 50, 7 (2004), 896-908. With A. Deslauriers, and P. L'Ecuyer.
- Convergence of the Stochastic Mesh Estimator for Pricing Bermudan Options.
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The Journal of Computational Finance 7, 4 (2004), 73-91. With H. Matzinger.
- Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments.
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Operations Research, 46, 4 (1998), 574-591. With J. R. Wilson.
- Control of a Batch-Processing Machine: A Computational Approach.
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International Journal of Production Research, 36, 11 (1998), 3167-3181. With K. J. Healy and R. Uzsoy.
- Integrated Variance Reduction Strategies for Simulation.
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Operations Research, 44, 2 (1996), 327-346. With J. R. Wilson.
- A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments.
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ORSA Journal on Computing, 6, 4 (1994), 342-355. With J. R. Wilson.
- A Splitting Scheme for Control Variates.
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Operations Research Letters, 14, 4 (1993), 187-198. With J. R. Wilson.
- Simulation of Stochastic Activity Networks Using Path Control Variates.
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Naval Research Logistics, 38, 2 (1991), 183-201. With K. W. Bauer and J. R. Wilson.
Refereed Conference Proceedings
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Modeling and analyzing the breakdown process.
[ePrints]
Poster in the 2016 Winter Simulation Conference, IEEE press, 3662-3663. With S. Pan.
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Predicting micro-level behavior in online communities for risk management.
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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.
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A Cross-Validation Approach to Bandwidth Selection for a Kernel-Based Estimate of the Density of a Conditional Expectation.
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Proceedings of the 2011 Winter Simulation Conference, IEEE press, 439-443.
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Fitting Discrete Multivariate Distributions with Unbounded Marginals and Normal-Copula Dependence.
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Proceedings of the 2009 Winter Simulation Conference, IEEE press, 452-458.
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Simulation-Based Optimization of Agent Scheduling in Multiskill Call Centers.
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Proceedings of 2007 Industrial Simulation Conference. With M. Gendreau, P. L'Ecuyer, and O. Pisacane.
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Modeling and Simulation of Call Centers.
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Proceedings of the 2005 Winter Simulation Conference, IEEE press, 144-152. With P. L'Ecuyer.
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Efficient Pricing of Barrier Options with the Variance-Gamma Model.
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Proceedings of the 2004 Winter Simulation Conference, IEEE press, 1574-1578.
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Efficient Simulation of Gamma and Variance-Gamma Processes.
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Proceedings of the 2003 Winter Simulation Conference, IEEE Press, 319-326. With P. L'Ecuyer and P.-A. Tremblay.
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Modeling and Simulation of a Telephone Call Center.
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Proceedings of the 2003 Winter Simulation Conference, IEEE press, 1805-1812. With J. Pichitlamken, A. Deslauriers, and P. L'Ecuyer.
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Importance Sampling for Multimodal Functions and Application to Pricing Exotic Options.
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Proceedings of the 2002 Winter Simulation Conference, IEEE press, 1493-1500.
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Convergence of the Stochastic Mesh Estimator for Pricing American Options.
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Proceedings of the 2002 Winter Simulation Conference, IEEE press, 1560-1567. With H. Matzinger.
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Efficiency Improvements for Pricing American Options with a Stochastic mesh.
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Proceedings of the 1999 Winter Simulation Conference, IEEE press, 344-350. With P. Hyden.
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Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments.
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Proceedings of the 1995 Winter Simulation Conference, IEEE press, 268-277. With J. R. Wilson.
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Integrated Variance Reduction Strategies.
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Proceedings of the 1993 Winter Simulation Conference, IEEE press, 445-454. With J. R. Wilson.
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Variance Reduction for Quantile Estimation via Correlation Induction.
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Proceedings of the 1992 Winter Simulation Conference, IEEE press, 572-576.
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Control Variates for Stochastic Network Simulation.
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Proceedings of the 1990 Winter Simulation Conference, IEEE press, 323-332. With J. R. Wilson.
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Overlapping Batch Statistics.
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Proceedings of the 1990 Winter Simulation Conference, IEEE press, 395-398. With B. W. Schmeiser and S. Hashem.
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A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments.
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Proceedings of the 1989 Winter Simulation Conference, IEEE press, 428-436. With J. R. Wilson.
Other Publications
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Efficiency Improvements for Pricing American Options with a Stochastic Mesh: Parallel Implementation.
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Financial Engineering News, 19, December 2000. With Y. Zinchenko, T. Coleman, and A. Verma.
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Last update: November 2018