In this thesis, we introduce a new testing methodology to detect cojumps in multi-asset returns. We define a cojump as a jump in at least one dimension of the return processes. For a multivariate process that follows a semimartingale, and with no other specific assumptions on the process, we...

We study a periodic-reviewed, infinite horizon serial network inventory control problem. The demands in different periods are independent of each other and follow an identical Poisson distribution. Unsatisfied demands are backlogged until they are satisfied by supply units. In each period, there...

The semiconductor industry is an exciting and challenging industry. Strong demand at the application end, plus the high capital intensity and rapid technological innovation in manufacturing, makes it difficult to manage supply chain planning and investment in technology transitions. Better...

This thesis proposes a decentralized reward-based incentive mechanism to address the problem of noncomplying subsidiaries when the parent company wish to meet its targeted energy consumption level. Besides its effectiveness in ensuring compliance, the proposed mechanism is advantageous as it is...

We investigate the effectiveness of an (s, S, p) policy relative to an (s, S, A, p) policy in a single product, periodic review, finite horizon model with stochastic multiplicative demand and fixed ordering cost, in which an (s, S, A, p) policy is optimal. An extensive numerical study shows that...

This research aims to provide tractable approaches to price options using robust optimization. The pricing problem is reduced to a problem of identifying the replicating portfolio which minimizes the worst case arbitrage possible for a given uncertainty set on underlying asset returns. We...

The loss of coordination in supply chains quantifies the inefficiency (i.e. the loss of total profit) due to the presence of competition in the supply chain. In this thesis, we discuss four models: one model with multiple retailers facing the multinomial logit demand, and three supply chain...