ISYE SEMINAR SERIES - Optimization Models for the Financial Valuation of Supply Chain Risks

Event Details
  • Date/Time:
    • Tuesday November 5, 2002 - Monday November 4, 2002
      10:00 am - 11:00 pm
  • Location: IC 209
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: ISYE SEMINAR SERIES - Optimization Models for the Financial Valuation of Supply Chain Risks

Full Summary: ISYE SEMINAR SERIES - Optimization Models for the Financial Valuation of Supply Chain Risks

The valuation of financial options, as is well known, is based on the recognition that an option's payouts can be replicated by a trading program that "manufactures" an equivalent payout distribution from an initial infusion of cash equal to the value of the option. One may in fact develop a quite satisfactory and practical theory of options pricing based on an optimization formulation of this replication model as a multiperiod stochastic production-inventory problem. This talk will explore how this optimization-based valuation approach may be extended to
the valuation and management of risky supply chain contracts.

Additional Information

In Campus Calendar
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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:42am
  • Last Updated: Oct 7, 2016 - 9:53pm