We are interested in the modeling, simulation, and optimization of price dynamics. Whereas up to now research was mainly concerned with financial derivatives, commodities (gas, oil, electricity, industrial or agricultural products, ...) and services (transport, health care, tourism, ...) are posing new challenges. The solution is of highest economic importance. These areas share as a common feature that they involve financial, economic, technological, political and social factors. To obtain solutions of problems arising in these fields, novel models and mathematical and computational methods have to be developed and integrated in an effective and user friendly software.
Two specific applications have been selected and investigated in close cooperation with industrial partners. In one project the pricing of petrochemical products is studied as a typical complex market of commodities, whereas in a second project the pricing of air plane tickets is treated as an example of a market in services. These subprojects seem to be quite disjoint as far as the application is concerned. However, they share several aspects in structure and methodology.
The group has been organizing the international Symposium SOCCER10 on Price Dynamics and Revenue Management.
Selected publications
@article{Huschto2019,
author = {Huschto, T. and Podolskij, M. and Sager, S.},
title = {The asymptotic error of chaos expansion approximations for stochastic differential equations},
journal = {Modern {S}tochastics: {T}heory and {A}pplications},
year = {2019},
volume = {6},
number = {2},
pages = {145--165},
doi = {10.15559/19-VMSTA133}
}
@phdthesis{Rauch2017,
author = {Rauch, J.},
title = {The Airline Pricing Problem},
school = {Otto von Guericke University Magdeburg},
year = {2017},
url = {https://mathopt.de/publications/Rauch2017.pdf}
}
@article{Huschto2014,
author = {Huschto, T. and Sager, S.},
title = {{P}ricing {C}onspicuous {C}onsumption {P}roducts in {R}ecession {P}eriods with {U}ncertain {S}trength},
journal = {{E}uropean {J}ournal of {D}ecision {P}rocesses},
year = {2014},
volume = {2},
number = {1--2},
pages = {3--30},
url = {http://www.optimization-online.org/DB_HTML/2012/09/3620.html}
}
@article{Huschto2014a,
author = {Huschto, T. and Sager, S.},
title = {{S}olving {S}tochastic {O}ptimal {C}ontrol {P}roblems by a {W}iener {C}haos {A}pproach},
journal = {{V}ietnam {J}ournal of {M}athematics},
year = {2014},
volume = {42},
number = {1},
pages = {83--113},
url = {https://mathopt.de/publications/Huschto2014a.pdf}
}
@phdthesis{Huschto2014b,
author = {Huschto, T.},
title = {{N}umerical {M}ethods for {R}andom {P}arameter {O}ptimal {C}ontrol and the {O}ptimal {C}ontrol of {S}tochastic {D}ifferential {E}quations},
school = {University Heidelberg},
year = {2014},
url = {https://mathopt.de/publications/Huschto2014.pdf}
}
@article{Huschto2011,
author = {Huschto, T. and Feichtinger, G. and Kort, P.M. and Hartl, R.F. and Sager, S. and Seidl, A.},
title = {{N}umerical {S}olution of a {C}onspicuous {C}onsumption {M}odel with {C}onstant {C}ontrol {D}elay},
journal = {{A}utomatica},
year = {2011},
volume = {47},
pages = {1868--1877},
url = {https://mathopt.de/publications/Huschto2011.pdf},
doi = {10.1016/j.automatica.2011.06.004}
}