Business Commons^™

Joint Optimization Of Allocation And Release Policy Decisions For Surgical Block Time Under Uncertainty, Mina Loghavi

Doctoral Dissertations

The research presented in this dissertation contributes to the growing literature on applications of operations research methodology to healthcare problems through the development and analysis of mathematical models and simulation techniques to find practical solutions to fundamental problems facing nearly all hospitals.

In practice, surgical block schedule allocation is usually determined regardless of the stochastic nature of case demand and duration. Once allocated, associated block time release policies, if utilized, are often simple rules that may be far from optimal. Although previous research has examined these decisions individually, our model considers them jointly. A multi-objective model that characterizes financial, temporal, …

Monte Carlo Methods In Finance, Je Guk Kim

Doctoral Dissertations

Monte Carlo method has received significant consideration from the context of quantitative finance mainly due to its ease of implementation for complex problems in the field. Among topics of its application to finance, we address two topics: (1) optimal importance sampling for the Laplace transform of exponential Brownian functionals and (2) analysis on the convergence of quasi-regression method for pricing American option. In the first part of this dissertation, we present an asymptotically optimal importance sampling method for Monte Carlo simulation of the Laplace transform of exponential Brownian functionals via Large deviations principle and calculus of variations the closed form …