We extend Samuelson's (1969) discrete-time dynamic consumption and investment optimization problem to the case where the investor is intolerant of any decline in her standard of living. This constraint represents a strong form of habit formation such that the consumption rate is non-decreasing...

Most of the operations management literature assumes that the firm can always finance production decisions at an optimal level or borrow at a constant interest rate; however, operational decisions are constrained by limited capital and often critically depend on external financing. This paper...

While firm growth critically depends on financing ability and access to external capital, the operations management literature seldom considers the effects of financial constraints on the firms' operational decisions. Another critical assumption in traditional operations models is that corporate...

This paper develops models to make production and financing decisions simultaneously in the presence of demand uncertainty and market imperfections. While the Modigliani and Miller propositions demonstrate that a firm's investment and financing decisions can be made independently in a perfect...

Quasi-Monte Carlo sequences have been shown to provide accurate option price approximations for a variety of options. In this paper, we apply quasi-Monte Carlo sequences in a duality approach to value American options. We compare the results using different low discrepancy sequences and estimate...

The classic error bounds for quasi-Monte Carlo approximation follow the Koksma-Hlawka inequality based on the assumption that the integrand has finite variation. Unfortunately, not all functions have this property. In particular, integrands for common applications in finance, such as option...

We consider the markdown pricing problem of a firm that sells a product to a mixture of myopic and forward-looking customers. The firm faces an uncertainty about the customers' forward-looking behavior, arrival pattern, and valuations for the product, which we collectively refer to as the demand...

We consider a firm that dynamically chooses its effort to develop a product for a network of customers represented by a connected graph. The technology of the product evolves as a real-valued stochastic process that depends on the firm's dynamic efforts over time. In addition to dynamically...

As an integrated part of a supply contract, trade credit has intrinsic connections with supply chain coordination and inventory management. Using a model that explicitly captures the interaction of firms' operations decisions, financial constraints, and multiple financing channels (bank loans...

In this work we define the characteristics of the interface of finance, operations, and risk management (iFORM) research and provide examples of iFORM research questions. We illustrate why this is an interesting area and discuss where the two disciplines overlap in a meaningful way. Our goal is...