We consider a dynamic inventory (production) model with general convex order (production) costs and excess demand that can be accepted or refused by the firm. Excess demand that is accepted is backlogged and results in a backlog cost whereas demand that is refused results in a lost sales charge....

This paper considers the so-called warehouse problem with both space and injection/withdrawal capacity limits. This is a foundational problem in the merchant management of assets for the storage of commodities, such as energy sources and natural resources. When the commodity spot price evolves...

We introduce a model to discuss an optimal investment problem of an insurance company using a game theoretic approach. The model is general enough to include economic risk, financial risk, insurance risk, and model risk. The insurance company invests its surplus in a bond and a stock index. The...

The Vaccine and Related Biologic Products Advisory Committee meets at least once a year to decide the composition of seasonal influenza vaccine in the United States. Past evidence suggests that the committee could use a more systematic approach to incorporate observed information and to quantify...

Batch (wave) release policies are prevalent in warehouses with an automated sorter, and take different forms depending on how batches released consecutively may overlap downstream in the sorter. Continuous (waveless) release constitutes an emerging alternative recently adopted by several firms....

The paper further develops, both from the theoretical and numerical points of view the analytical valuation of the American options, initiated by Geske and Johnson (1984) for the American put with no dividend. We present and prove closed form formulas for the value of the Bermudan put and call,...

This paper applies the methodology of real options for valuing firms that for any reason are subject to a possible expropriation. In the development of this research is added to the valuation by discounted cash flows the value of the premium which shareholders would receive as compensation for...