MGT 239, FALL 2009

MGT 239, SIMULATION FOR BUSINESS, CLASS FALL 2009

• Office hours: Thursdays, 1:30pm -3:30pm, Anderson Hall 221
• Course page: http://ilearn.ucr.edu 
• Prerequisite: MGT 201 and basic probability
• Required text: Applied Simulation Modeling, by Seila, Ceric and Tadikamalla, Duxbury Press, 2003
• References:
  • Simulation, by Sheldon M. Ross, Academic Press, 4 edition, 2006
  • MATLAB: A Practical Introduction to Programming and Problem Solving, by Stormy Attaway, Butterworth-Heinemann, 2009
  • Getting Started with MATLAB 7, by Rudra Pratap, Oxford University Press, 2005

SCHEDULE

1. WEEK I
   1. Syllabus and the tentative shedule
   2. Introduction of simulation: system, analytical and simulation model
   3. Simulate darts game
       
      
2. WEEK II
   1. Review basic probability
   2. Random variates generation
   3. MATLAB tutorial
   4. Build Monte Carlo simulations in MATLAB
      Matlab Getting Started Guide, www.mathworks.com, online
   5. Simulate rolling dices game
       
      
3. WEEK III
   1. The inverse transform method
   2. Statistics Toolbox User’s Guide, www.mathworks.com, online

      Generating Random Data 6-2
      Random Number Generation Functions  6-3
      Direct Methods 6-5
      Inversion Methods  6-7

   3. Simulate the effects of forecast updating in a sales promotion model

      

4. WEEK IV

   1. Sensitivity analysis and simulation optimization

   2. Inventory management and newsvendor model

   3. Insights: tradeoff between shortage and overage, matching supply and demand

   4. Simulate a single period inventory system

       

5. WEEK V

   1. Dynamic simulation

   2. Financial models

   3. Exercise 1: simulate a supply chain management problem

       

   4. Exercise 2: price Asian options with geometric random walk stock price model

       

6. WEEK VI

   1. Risk management and financial hedging

   2. Exercise 3: evaluate investment strategies with/without hedging

      

   3. Introduction to Markov chain models

        

7. WEEK VII

   1. Exercise 4: modeling market share, the effectiveness of advertisement and coupon

      

   2. Midterm 1

       
       

8. WEEK VIII

   1. Modeling the spread of an infectious disease

      

   2. Exercise 5: modeling negotiations in show business

      

   3. Introduction to revenue management
   4. Monte Carlo method for computing the optimal protection levels
      

9. WEEK IX

   1. Exercise 6: revenue management

      

   2. Exercise 7: auctions and bidding 

        
      

10. WEEK X

    1. Midterm 2 

       
       

11. WEEK XI

    1. Dress code for project final presentation

    2. Beer time: ‘Supply’ and ‘Demand’ arm wrestle keeping ‘Market’ in balance

       

    3. Project final presentation
       STOCK STOPS: WHEN TO BUY AND SELL FOR PLAIN JOE, Jason Wirka, Eugene Chin, Joe Chin
       VALUE OF INFORMATION IN SUPPLY CHAIN, Yue Cheng, Jia Jia
       BETTING STRATEGIES IN ROULETTE GAME, Ece kaptanoglu, Saurabh Lal, Vishal Kothari