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You searched for subject:(Real Options valuations). Showing records 1 – 2 of 2 total matches.

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University of Manchester

1. Al-Foraih, Mishari Najeeb. Applications in optimization and investment lag problem.

Degree: PhD, 2015, University of Manchester

This thesis studies two optimization problems: the optimization of a staffing policy assuming non stationary Poisson demand, and exponential travel and job times, and the optimization of investment decisions with an investment lag. In the staffing policy optimization, we solve a novel time-dynamic Hamilton-Jacobi-Bellman equation that models jobs as a Poisson jump process. The model gives the employer the flexibility to control the number of staff hired by two factors: the cost of hiring and the effect of delay. We have solved the optimal staffing policy problem using different approaches, which are compared. We produce accurate numerical results for different parameters, and discuss the advantages and disadvantages of each approach. Moreover, we have solved a staffing problem for a national utility company, using a standard linear programming approach, which is compared with our methods. In addition to the Poisson jump process, we extend the model to treat a continuous job model, and two locations model that is extendible to a larger network problem. In the investment lag problem, we use a mixture of numerical methods including finite difference and body fitted co-ordinates to form a robust and stable numerical scheme which is applied to solve the investment lag problem for a geometric Brownian motion presented in the paper by Bar-Ilan and Strange (1996). The problem is to calculate the optimal price to invest in a project that have a time lag period between the decision to invest and production, and the optimal price to mothball the project. The method presented in this thesis is more flexible as we compare it with the previous results, and solves the problem for different stochastic processes, such as Cox-Ingersoll-Ross model, which does not have analytic solution.

Subjects/Keywords: 519.3; Optimization; Real Options valuations; Dynamic programming

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Al-Foraih, M. N. (2015). Applications in optimization and investment lag problem. (Doctoral Dissertation). University of Manchester. Retrieved from https://www.research.manchester.ac.uk/portal/en/theses/applications-in-optimization-and-investment-lag-problem(482bc599-135b-4660-95c9-992e07de768e).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644494

Chicago Manual of Style (16th Edition):

Al-Foraih, Mishari Najeeb. “Applications in optimization and investment lag problem.” 2015. Doctoral Dissertation, University of Manchester. Accessed November 13, 2019. https://www.research.manchester.ac.uk/portal/en/theses/applications-in-optimization-and-investment-lag-problem(482bc599-135b-4660-95c9-992e07de768e).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644494.

MLA Handbook (7th Edition):

Al-Foraih, Mishari Najeeb. “Applications in optimization and investment lag problem.” 2015. Web. 13 Nov 2019.

Vancouver:

Al-Foraih MN. Applications in optimization and investment lag problem. [Internet] [Doctoral dissertation]. University of Manchester; 2015. [cited 2019 Nov 13]. Available from: https://www.research.manchester.ac.uk/portal/en/theses/applications-in-optimization-and-investment-lag-problem(482bc599-135b-4660-95c9-992e07de768e).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644494.

Council of Science Editors:

Al-Foraih MN. Applications in optimization and investment lag problem. [Doctoral Dissertation]. University of Manchester; 2015. Available from: https://www.research.manchester.ac.uk/portal/en/theses/applications-in-optimization-and-investment-lag-problem(482bc599-135b-4660-95c9-992e07de768e).html ; https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.644494

2. Al-Foraih, Mishari Najeeb. APPLICATIONS IN OPTIMIZATION AND INVESTMENT LAG PROBLEM.

Degree: 2015, University of Manchester

This thesis studies two optimization problems: the optimization of a staffingpolicy assuming non stationary Poisson demand, and exponential travel and jobtimes, and the optimization of investment decisions with an investment lag.In the staffing policy optimization, we solve a novel time-dynamic Hamilton-Jacobi-Bellman equation that models jobs as a Poisson jump process. The modelgives the employer the flexibility to control the number of staff hired by two factors:the cost of hiring and the effect of delay.We have solved the optimal staffing policy problem using different approaches,which are compared. We produce accurate numerical results for different parameters,and discuss the advantages and disadvantages of each approach. Moreover,we have solved a staffing problem for a national utility company, using a standardlinear programming approach, which is compared with our methods. Inaddition to the Poisson jump process, we extend the model to treat a continuousjob model, and two locations model that is extendible to a larger network problem.In the investment lag problem, we use a mixture of numerical methods includingfinite difference and body fitted co-ordinates to form a robust and stablenumerical scheme which is applied to solve the investment lag problem for a geometricBrownian motion presented in the paper by Bar-Ilan and Strange (1996).The problem is to calculate the optimal price to invest in a project that havea time lag period between the decision to invest and production, and the optimalprice to mothball the project. The method presented in this thesis is moreflexible as we compare it with the previous results, and solves the problem fordifferent stochastic processes, such as Cox-Ingersoll-Ross model, which does nothave analytic solution. Advisors/Committee Members: DUCK, PETER PW, Johnson, Paul, Duck, Peter.

Subjects/Keywords: Optimization; Real Options valuations; Dynamic programming

…solution. In the second problem, Real Options problem, we will study the decision to start and… …of the best solution from the available options under some regulation ” This thesis… …further and test different methodologies and compare results. Then, we will solve a real life… 

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Record DetailsSimilar RecordsGoogle PlusoneFacebookTwitterCiteULikeMendeleyreddit

APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Al-Foraih, M. N. (2015). APPLICATIONS IN OPTIMIZATION AND INVESTMENT LAG PROBLEM. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:260615

Chicago Manual of Style (16th Edition):

Al-Foraih, Mishari Najeeb. “APPLICATIONS IN OPTIMIZATION AND INVESTMENT LAG PROBLEM.” 2015. Doctoral Dissertation, University of Manchester. Accessed November 13, 2019. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:260615.

MLA Handbook (7th Edition):

Al-Foraih, Mishari Najeeb. “APPLICATIONS IN OPTIMIZATION AND INVESTMENT LAG PROBLEM.” 2015. Web. 13 Nov 2019.

Vancouver:

Al-Foraih MN. APPLICATIONS IN OPTIMIZATION AND INVESTMENT LAG PROBLEM. [Internet] [Doctoral dissertation]. University of Manchester; 2015. [cited 2019 Nov 13]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:260615.

Council of Science Editors:

Al-Foraih MN. APPLICATIONS IN OPTIMIZATION AND INVESTMENT LAG PROBLEM. [Doctoral Dissertation]. University of Manchester; 2015. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:260615

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