This paper examines an integrated decision-making process regarding pricing for uncertain demand and sourcing from uncertain supply, which are often studied separately in the literature. Our analysis of the integrated system suggests that the base stock list price policy fails to achieve optimality even under deterministic demand. Instead, the optimal policy is characterized by two critical val...

In this paper, the problem of optimal dynamic pricing for retail electricity with an unknown demand model is considered. Under the day-ahead dynamic pricing (a.k.a. real time pricing) mechanism, a retailer obtains electricity in a twosettlement wholesale market and serves its customers in real time. Without knowledge on the aggregated demand function of its customers, the retailer aims to maxim...

This article studies the optimal prices and service quality grades that a queuing system---the ‘‘ firm”---provides to heterogeneous, utility-maximizing customers who measure quality by their experienced delay distributions. Results are threefold: First, delay cost curves are introduced that allow for a flexible description of a customer’s quality sensitivity. Second, a comprehensive executable ...

This paper describes an argumentation-based approach for automating the decision making process of an autonomous agent for pricing products. Product pricing usually involves different decision makers with different possibly conflicting points of view. Moreover, when considering firms in the retail business sector, they have hundreds or thousands of products to apply a pricing policy. Our approa...

Dynamic product pricing is a vital, yet non-trivial task in complex supply chains – especially in case of limited visibility of the market environment. We propose to differentiate product pricing strategies using economic regimes. In our approach, we use economic regimes (characterizing market conditions) and error terms (accounting for customer feedback) to dynamically model the relation betwe...

Cloud providers commonly incur heavy upfront set up costs which remain almost constant whether they serve a single or many customers. In order to generate a return on this investment, a suitable pricing strategy is required by providers. Established industries such as the airlines employ dynamic pricing to maximize their revenues. In order to increase their resource utilization rates, cloud pro...

We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS options. The default of the underlying reference entity is modeled within a doubly stochastic framework where the default intensity follows a CIR++ process. We estimate the model parameters through a combination of a cross sectional calibratio...

Dynamic allocation and pricing problems appear in numerous frameworks such as the retail of seasonal/style goods, the allocation of fixed capacities in the travel and leisure industries (e.g., airlines, hotels, rental cars, holiday resorts), the allocation of a fixed inventory of equipment in a given period of time (e.g., equipment for medical procedures, bandwidth or advertising space in onlin...

W e study a revenue management problem involving competing firms. We assume the presence of a continuum of infinitesimal firms where no individual firm has any discernable influence over the evolution of the overall market condition. Under this nonatomic-game approach, the unanimous adoption of an equilibrium pricing policy by all firms will yield a market-condition process that in turn will el...