Applied Quantitative Methods In Finance
The goal of this course is to provide students with quantitative tools to understand and produce frontier research in finance. The emphasis is to apply these tools to a variety of advanced topics in finance. Topics include the following:
• Applications of multivariate and non-linear methods
• Conditional distributions
• Time series analysis
• Applied stochastic processes
SUPPLY CHAIN MODELING (3credits)
This course emphasizes the application of operations research and management science techniques to model and solve supply chain planning problems. It involves a review of published research in the disciplines associated with the modeling and analysis of logistics and physical distribution systems. Literature chosen for analysis includes both the theoretical background and practical application of the most common analytical tools used in optimizing various characteristics of logistics systems. Two basic modeling approaches are investigated: closed form or analytical (optimization) and simulation (sensitivity to parameters). Topics include the following:
• Overview of methodologies for solving the supply chain planning problems
• Modeling the Integrated production, inventory, and distribution problems
• Approximation solutions to integrated planning problems
• Modeling the distribution problem with short life-span products
• Constructing branch-and-bound based heuristic algorithms for solving the distribution problems
• Modeling reverse logistics problems
• Modeling the multi-period container vessel scheduling problem
• Special case solutions and total unimodularity (TUM)
• Modeling the collaborative scheduling problems
• Modeling the supply chain network design problem
• Designing empirical studies for algorithm performance analysis
• The EOQ and the Newsvendor Inventory Models
• Dynamic Inventory Management – economic lot-sizing model
• Monotone Optimal Inventory Control Policies
• Capacity Procurements under Unknown Demand
• Empirical Bayesian Inventory Models
• Competitive and Cooperative Inventory Policies
• Supply Contracts with Quantity Commitment and Stochastic Demand
• Option Contracts in Supply Chains
• Modeling the Impact of Information on Inventories