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  1. Article

    Vertical value-added cost information sharing in a supply chain

    We study a two-echelon supply chain with two homogeneous manufacturers and one common retailer who has full knowledge about his own value-added service cost structure that is unknown to the manufacturers. The ...

    Mengqi Liu, Yueli Zhao, Rui Huang, Sandun Perera in Annals of Operations Research (2023)

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    Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy

    We employ a simple numerical scheme to compute optimal portfolios and utilities of informed and uninformed investors in a mispriced Carr–Geman–Madan–Yor (CGMY) Lévy market under information asymmetry using ins...

    Winston Buckley, Sandun Perera in Annals of Finance (2019)

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    Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps

    Impulse control with random reaction periods (ICRRP) is used to derive a country’s optimal foreign exchange (forex) rate intervention policy when the forex market reacts to the interventions. This paper extend...

    Sandun Perera, Winston Buckley, Hongwei Long in Annals of Operations Research (2018)

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    On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps

    We study a central bank intervention (CBI) problem in the foreign exchange market when the exchange rate follows a jump-diffusion process and show that the optimal CBI policy is a control-band policy. Our main...

    Sandun Perera, Winston Buckley in Journal of the Operational Research Society (2017)