Operations research uses quantitative models to analyze and predict the behavior of systems and to provide information for decision makers. Two key concepts in operations research are optimization and uncertainty. This volume consists of a collection of peer reviewed papers from the...

Operations research uses quantitative models to analyze and predict the behavior of systems and to provide information for decision makers. Two key concepts in such research are optimization and uncertainty. Typical models in stochastic operations research include queueing models, inventory...

Many companies issue some complex structured bonds. A reverse convertible bond is one of such structured bonds. In this paper we consider a valuation model of callable-puttable reverse convertible bonds which have the complex payoff in a setting of the optimal stopping problem between the issuer...

In this paper, we examine the optimal investment policy of the firm which is financed by issuing equity, straight debt and convertible debt. We extend the model in Mauer and Sarkar (2005) over financing with convertible debt. We examine two different investment policies that maximize the equity...

In this paper, we introduce a valuation model of callable warrants under a setting of the optimal stopping problem between the holder (investor) and the issuer (firm). A warrant is the right to purchase new shares at a predetermined price. When the new stocks are issued, the value of the stock...

In this paper, we consider an inventory model in which a firm uses the spot market for procurement in order to accomplish the minimization of total discounted costs. The model can be formulated as impulse control problem where the demand and spot price follow diffusion stochastic processes. We...