Jorge Passamani Zubelli on Investment Decisions under Uncertainty, Real Options and Quantitative Finance
Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis.
Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be gauged and compared to portfolios of investments such as in stocks, derivatives and futures.
This revolution led to the development of a new field of managerial science known as Real Options. The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management. Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. In particular, they require many tools from stochastic control and partial differential equations.
In this talk we shall survey some basics of this approach as well as some applications in industrial problems.