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IOR
2006
72views more  IOR 2006»
13 years 4 months ago
Inventory Policies in a Decentralized Assembly System
We consider a system in which a single finished good is assembled from two components. Demand for the finished product is stochastic and stationary, and procurement and assembly l...
Fernando Bernstein, Gregory A. DeCroix
IOR
2006
44views more  IOR 2006»
13 years 4 months ago
Order Assignment and Scheduling in a Supply Chain
Zhi-Long Chen, Guruprasad Pundoor
IOR
2006
192views more  IOR 2006»
13 years 4 months ago
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
Mark Broadie, Özgür Kaya
IOR
2006
75views more  IOR 2006»
13 years 4 months ago
Sensitivity of Performance in the Erlang-A Queueing Model to Changes in the Model Parameters
This paper studies the M/M/s+M queue, i.e., the M/M/s queue with customer abandonment, also called the Erlang-A model, having independent and identically distributed customer aban...
Ward Whitt
IOR
2006
43views more  IOR 2006»
13 years 4 months ago
A Nonparametric Approach to Multiproduct Pricing
Paat Rusmevichientong, Benjamin Van Roy, Peter W. ...
IOR
2006
91views more  IOR 2006»
13 years 4 months ago
Robust One-Period Option Hedging
The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
Frank Lutgens, Jos F. Sturm, Antoon Kolen
IOR
2006
59views more  IOR 2006»
13 years 4 months ago
A Robust Optimization Approach to Inventory Theory
Dimitris Bertsimas, Aurélie Thiele