He joined the Cornell faculty in 1997. The maindrawback of simulation is its notorious inefficiency, i.e., the lack ofaccuracy in answers relative to the computing time. While simulationefficiency improvement will likely remain the domain of experts, I am exploringtechniques whose power and applicability is broad and which can easilybe incorporated in the simulation code. Recent work was onbias-reduction schemes for American options, where a large number of exerciseopportunities typically results in highly biased estimators, even for moderatesample sizes. These bias-reduction schemes are widely applicableand were found very effective in reducing bias.
Ongoing work is onthe other main efficiency front, namely widely applicable variance reduction.
While RMwas invented and developed by the airline industry, where it hasbecome a big succcess, the majority of airlines still forecast demand usingsimple time series models which capture little of the market dynamics. I have worked in the estimation of causal models, where demand is regressedon a set of explicatory variables such as the travel time, time of day,price, etc. Going beyond causal models are market response models,which aim to predict the reactions of both competitors and customers asoffered capacity, product attributes, and price change. Another issue that is increasingly relevant as most companies in the marketplaceadopt RM systems is the interaction between such systems , leading to questionson the resulting market equilibrium, busines revenues and prices paid byconsumers . Selected Publications Avramidis, A. N., and J. R. Wilson.