Central Economics and Mathematics Institute

About: Central Economics and Mathematics Institute is a facility organization based out in Moscow, Russia. It is known for research contribution in the topics: Population & Foreign-exchange reserves. The organization has 297 authors who have published 580 publications receiving 6449 citations. The organization is also known as: Federal State Institution of Science Central Economics and Mathematics Institute of the Russian Academy of Sciences.

On Leland's strategy of option pricing with transactions costs

Abstract: We compute the limiting hedging error of the Leland strategy for the approximate pricing of the European call option in a market with transactions costs. It is not equal to zero in the case when the level of transactions costs is a constant, in contradiction with the claim in Leland (1985).

Bilevel Programming and Applications

Abstract: A great amount of new applied problems in the area of energy networks has recently arisen that can be efficiently solved only as mixed-integer bilevel programs. Among them are the natural gas cash-out problem, the deregulated electricity market equilibrium problem, biofuel problems, a problem of designing coupled energy carrier networks, and so forth, if we mention only part of such applications. Bilevel models to describe migration processes are also in the list of the most popular new themes of bilevel programming, as well as allocation, information protection, and cybersecurity problems. This survey provides a comprehensive review of some of the above-mentioned new areas including both theoretical and applied results.

Negative-Cycle Detection Algorithms

Abstract: We study the problem of finding a negative length cycle in a network. An algorithm for the negative cycle problem combines a shortest path algorithm and a cycle detection strategy. We study various combinations of shortest path algorithms and cycle detection strategies and find the best combinations. One of our discoveries is that a cycle detection strategy of Tarjan greatly improves practical performance of a classical shortest path algorithm, making it competitive with the fastest known algorithms on a wide range of problems. As a part of our study, we develop problem families for testing negative cycle algorithms.

Locally covering maps in metric spaces and coincidence points

Abstract: We study the notion of α-covering map with respect to certain subsets in metric spaces. Generalizing results from [1] we use this notion to give some coincidence theorems for pairs of single-valued and multivalued maps one of which is relatively α-covering while the other satisfies the Lipschitz condition. These assertions extend some classical contraction map principles. We define the notion of α-covering multimap at a point and give conditions under which the covering property of a multimap at each interior point of a set implies that it is covering on the whole set. As applications we consider the solvability of a system of inclusions and the existence of a positive trajectory for a semilinear feedback control system.

Inventory Models with Continuous and Poisson Demands and Discounted and Average Costs

Abstract: We develop a new, unified approach to treating continuous-time stochastic inventory problems with both the average and discounted cost criteria. The approach involves the development of an adjusted discounted cycle cost formula, which has an appealing intuitive interpretation. We show for the first time that an (s, S) policy is optimal in the case of demand having a compound Poisson component as well as a constant rate component. Our demand structure simultaneously generalizes the classical EOQ model and the inventory models with Poisson demand, and we indicate the reasons why this task has been a difficult one. We do not require the surplus cost function to be convex or quasi-convex as has been assumed in the literature. Finally, we show that the optimal s is unique, but we do not know if optimal S is unique.