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作者：Broadie, M; Detemple, JB
作者单位：Columbia University; Boston University
摘要：This paper surveys the literature on option pricing from its origins to the present. An extensive review of valuation methods for European- and American-style claims is provided. Applications to complex securities and numerical methods are surveyed. Emphasis is placed on recent trends and developments in methodology and modeling.
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作者：Kanatas, G; Qi, JP
作者单位：Rice University; State University System of Florida; University of South Florida
摘要：A well-known view in the literature is that if management is more concerned with the firm's survival than with profitability, it is efficient to use a levered capital structure and thereby transfer the liquidation decision to lenders. Our paper extends this idea to a setting where lenders behave opportunistically when they control the liquidation decision. We show that in this situation, an optimal mix of debt and dividends, can mitigate the twin moral hazard problems of the manager and the le...
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作者：Zhu, K
作者单位：University of California System; University of California Irvine
摘要：he abundance of transaction data available on the Internet tends to make information more transparent in electronic marketplaces. In such a transparent environment, it becomes easier for suppliers to obtain information that may allow them to infer their rivals' costs. Is this good news or bad news? In this study, we focus on the informational effects of business-to-business (B2B) exchanges, and explore firms' incentives to join a B2B exchange that provides an online platform for information tr...
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作者：Williams, C; Mitchell, W
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Duke University
摘要：Organization structure acts as a lens on the environment, gathering information and shaping its flow through a firm to inform managers' choices. This shaping of information flow happens through an organization's operating units, which selectively process information from the environment, and through the links between them, which pass information between units. We explore the relationship between this information infrastructure and firm strategy using structure and service information from the ...
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作者：Kuosmanen, T
作者单位：Wageningen University & Research
摘要：This paper develops the first operational tests of portfolio efficiency based on the general stochastic dominance (SD) criteria that account for an infinite set of diversification strategies. The main insight is to preserve the cross-sectional dependence of asset returns when forming portfolios by reexpressing the SD criteria in T-dimensional Euclidean space, with elements representing rates of return in T different states of nature. We characterize subsets of this state-space that dominate a ...
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作者：Whitt, W
作者单位：Columbia University
摘要：To provide useful practical insight into the performance of service-oriented (non-revenue-generating) call centers, which often provide low-to-moderate quality of service, this paper investigates the efficiency-driven (ED), many-server heavy-traffic limiting regime for queues with abandonments. Attention is focused on the M/M/s/r + M model, having a Poisson arrival process, exponential service times, s servers, r extra waiting spaces, exponential abandon times (the final +M), and the first-com...
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作者：Lulli, G; Sen, S
作者单位：University of Arizona
摘要：In this paper, we present. a branch-and-price method to solve special structured multistage stochastic integer programming problems: We validate our method on two different versions of a multistage stochastic batchsizing problem (SBSP). One version adopts a recourse formulation, and the other is based on probabilistic constraints. Our algorithmic approach is applicable to both formulations. Our computational results suggest that both classes of problems can be solved using relatively few nodes...
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作者：Souza, GC; Bayus, BL; Wagner, HM
作者单位：University System of Maryland; University of Maryland College Park; University of North Carolina; University of North Carolina Chapel Hill
摘要：We study how industry clockspeed, internal firm factors, such as product development, production, and inventory costs, and competitive factors determine a firm's optimal new-product introduction timing and product-quality decisions. We explicitly model market demand uncertainty, a firm's internal cost structure, and competition, using an infinite-horizon Markov decision process. Based on a large-scale numerical analysis, we find that more frequent new-product introductions are optimal under fa...
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作者：Liu, LM; Liu, XM; Yao, DD
作者单位：Hong Kong University of Science & Technology; University of Macau; Columbia University
摘要：An important issue in the management of supply chains and manufacturing systems is to control inventory costs at different locations throughout the system while satisfying an end-customer service-level requirement. The challenge involved is to solve a nonlinear constrained optimization problem that captures the key dynamics of a complex production-inventory system. In this paper, we first develop a multistage inventory-queue model and a job-queue decomposition approach that evaluates the perfo...
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作者：Hopp, WJ; Tekin, E; Van Oyen, MP
作者单位：Northwestern University; University of North Carolina; University of North Carolina Chapel Hill; Loyola University Chicago
摘要：To gain insight into the potential logistical benefits of worker Cross-training and agile workforce policies, we study simple models of serial production systems with flexible servers operating under a constant work-in-process (CONWIP) release policy. Two important and interrelated issues are: (a) how to decide which skill(s) are strategically most desirable for workers to gain, and (b) how to coordinate these workers to respond dynamically to congestion. We address these by considering two cr...
