Topics:
How to Choose the Best (when you're
not sure what will happen): An Introduction
to Stochastic Programming
Operations research/management science models
often focus on picking the best, some optimal
solution or decision. Difficulties arise
when we are not sure what will happen after
we make that decision. This talk introduces
stochastic programs as a means to address
these fundamental difficulties. The talk
uses examples to illustrate the value of
incorporating uncertain outcomes into optimization
models. (Elementary)
Introduction to OR/MS and Financial
Engineering
Operations research/management science (OR/MS)
has long played a role in financial decision
making. Recent advances in financial engineering
provide even more potential for OR/MS to
expand that role. This talk presents fundamental
models from financial engineering that are
based on OR/MS. The talk describes problems
in allocating assets, hedging a position,
pricing a financial product, and managing
operational and financial risks. (Elementary)
Real Options Theory and Practice
Financial option pricing theory has evolved
to become an critically important component
of evaluating financial decisions. For operational
and strategic decisions involving real assets,
however, have traditionally relied on subjective
and ad hoc procedures for evaluation. To
address these shortcomings, real options
have emerged as a mechanism to combine the
rigor of financial analysis with decisions
on real assets. This talk provides an introduction
to the use of real options in practice.
The basic structure of real option methods
are described in the context of strategic
planning decisions. The fundamental assumptions
for real option analysis are also discussed.
(Elementary)
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