Publications

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Efficient pricing of barrier options with the variance-gamma model
Athanassios.N. Avramidis, R.G. Ingalls, C.H. Chen, J.L. Snowdon & J.M. Charnes, 2004
DOI: 10.1109/WSC.2004.1371500
Type: conference
Formalization and strictness of simulation event orderings
Y.M. Teo & B.S.S. Onggo, 2004
DOI: 10.1109/PADS.2004.1301289
Type: conference
Modeling daily arrivals to a telephone call center
A.N. Avramidis, A. Deslauriers & P. L'Ecuyer, 2004, Management Science, 50(7), 896-908
DOI: 10.1287/mnsc.1040.0236
Type: article
Efficient simulation of gamma and variance-gamma processes
Athanassios.N. Avramidis, Pierre L'Ecuyer, Pierre-Alexandre Tremblay, S. Chick, P.J. Sánchez, D. Ferrin & D.J. Morrice, 2004
Type: conference
Convergence of the stochastic mesh estimator for pricing Bermudan options
A.N. Avramidis & H. Matzinger, 2004, Journal of Computational Finance, 7(4), 73-91
Type: article
Modeling and simulation of a telephone call center
J. Pichitlamken, A. Deslauriers, P. L'Ecuyer & A.N. Avramidis, 2003
DOI: 10.1109/WSC.2003.1261636
Type: conference
Importance sampling for multimodal functions and application to pricing exotic options.
Athanassios.N. Avramidis, E. Yücesan, C.H. Chen, J. L. Snowdon & J. M. Charnes, 2003
DOI: 10.1109/WSC.2002.1166424
Type: conference