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Operations Research Projects

Faculty in the School are leaders in the development and dissemination of hands-on design experiences in manufacturing systems design and related methodologies. Computational finance is another active area of research. One question of interest is whether or not the newest generation of Intel processors can perform the massive calculations required for securities analysis fast enough to be useful to a securities trader. A third area is discrete event simulation of large-scale systems. Recent research sponsors have included Sematech, SRC, and participating companies for research focussed on the speed at which semiconductor fab-level simulation experiments can be conducted.

Curriculum development for manufacturing systems design. Professors Jackson and Muckstadt have developed four major integrative student design experiences, each one requiring about 8-10 weeks to complete. These materials have been adopted in some form or another on more than a dozen campuses, including our peer research universities. The proposed grant will support the development of an upgrade to the "Llenroc Plastics" CD-ROM. It will incorporate an upgrade of the "Press 7" graphical factory simulation module to a 32-bit executable; the development of a module for information systems design to be incorporated into the "Velocity Manufacturing Company" series; the development of a module on product costing to be delivered over the Internet using Java; the development of a game illustrating the principles and benefits of throughput analysis; and the upgrade to a 32-bit executable of an analytical tool for formulating large scale optimization problems using only SQL queries into relational databases.

Computational Finance and Financial Risk Management. Professors Heath and Swindle have created models that permit fast, accurate valuation of such instruments as index amortizing swaps. The most promising tool for such further development is simulation. Valuation of instruments containing "American-style" options is difficult using simulation. An interesting approach, currently being pursued at Cornell, seeks to find the best "exercise boundary" from a one-parameter class of boundaries using simulation. Other approaches are also being explored; we recently developed a method for valuing convertible bonds taking into account interest rate volatility, stock price volatility, default risk, and a "soft call" using partial differential equations methods.

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Last modified on: 07/30/99