WHITEPAPERS AND CASE STUDIES

The following are sample case studies, corporate applications, sample chapters, white papers, and applied examples from Dr. Mun’s many books. Feel free to download and disseminate. For the actual cases, please refer to Dr. Johnathan Mun’s “Modeling Risk (Second Edition): Applying Monte Carlo Simulation, Real Options Analysis, Forecasting, and Optimization,” (Wiley, 2010) and Dr. Johnathan Mun’s “Real Options Analysis: Tools and Techniques, Second Edition,” (Wiley, 2005).

White Papers:

• A Quick Primer on Risk and Decision Analysis for Everyone: Applying Monte Carlo Simulation,

  Real Options, Forecasting, and Portfolio Optimization

• A Quick Risk Primer for Actuaries, Insurance Companies, and Banks
• A Quick Risk Primer for the Military
• A Comparison between Real Options and Traditional Analysis in Layman’s Terms
• Basel II and III Credit Market Operational and Liquidity Risks with Asset Liability Management
• Dynamic Decision Trees
• Employer Sponsored Healthcare Economics and U.S. Affordable Care Act
• ERM at Eletrobrás
• Extreme Value Theory and Application to Market Shocks
• Global Risk Standards Compliance in ROV Methods
• PEAT and IRM Methodology
• PEAT Enterprise Risk Management
• PEAT Project Management Schedule and Cost Risk
• Sales Forecast and Pipeline Analysis

Case Studies:

• Alternate Uses of Real Estate Development Strategy (Real Options and Monte Carlo Simulation)
• Basel II/III Credit Risk and Market Risk
• Biopharmaceutical Industry’s Manufacturing Flexibility (Real Options)
• Boeing Company and the Global Earth Observation System of Systems (Real Options)
• Convertible Warrants/Protective Puts in Negotiation and Acquisitions (Financial Options)
• Credit Risk Analysis in Corporate Restructuring (Simulation and Optimization)
• Financial Planning with Simulation (Monte Carlo Simulation)
• High-Tech Manufacturing (Real Options and Simulation)
• Hospital Risk Management (Simulation and Queuing Theory)
• How Real Options Mitigates IT Enterprise Security Risks
• Integrated Risk Analysis (Real Options, Simulation, Forecasting, Optimization)
• IT Information Security Intrusion Risk Management
• Manufacturing in the Automotive Aftermarket (Simulation and Optimization)
• Oil and Gas Exploration and Production (Simulation)
• Case Study Oil and Gas Lease Negotiations State of California
• Oil and Gas Option to Defer (Real Options)
• Pharmaceutical and Biotech Deal Structuring (Real Options and Simulation)
• Pharmaceutical Stage-Gate Development with Sequential Compound Options (Real Options)
• Real Options in the U.S. Military Strategy (Real Options Analysis and KVA Analysis)
• Risk Analysis and Real Options in Real Estate Development (Real Options and Simulation)
• Risk-Based Executive Compensation Valuation (Simulation and Financial Options)
• Risk Based Schedule Planning
• U.S. Naval Strategic Warfare Intelligence (Real Options)
• Valuing Employee Stock Options Under 2004 FAS 123R (Financial Options)

Applied Examples:

• Multinomial Options
• Options to Abandon
• Options to Choose
• Options to Contract
• Options to Expand
• Sequential Compound Options

• Forecasting – ARIMA (autoregressive integrated moving average)
• Forecasting – Cubic and Nonlinear Splines
• Forecasting – Exponential J and Logistic S Curves
• Forecasting – Markov Switching Regime
• Forecasting – Nonlinear Extrapolation
• Forecasting – Regression and Basic Econometrics
• Forecasting – Stochastic Processes (random walk, mean reversion, jump diffusion)
• Forecasting – Time-Series Decomposition

• Optimization – Continuous Portfolio Optimization
• Optimization – Discrete Project Selection
• Optimization – Efficient Frontier
• Optimization – Inventory Optimization
• Optimization – Optimal Pricing with Elasticity
• Optimization – Optimal Timing
• Optimization – Stochastic Optimization

• Project Management (PERT, CPM, Time and Cost Estimation)
• Risk Simulation Basics
• Six Sigma – CPK Capability, Control Charts, Specification Models
• Six Sigma – Parametric and Nonparametric Hypothesis Tests
• Six Sigma – Sample Size Determination
• Six Sigma – Statistical Probability Determination

Sample Book Chapters:

• Chapter 1 from Real Options Analysis, Second Edition (Wiley 2005)
• Chapter 1 from Modeling Risk: Applying Simulation, Real Options, Forecasting, Optimization (Wiley 2006)
• Chapter 2 from Modeling Risk: Applying Simulation, Real Options, Forecasting, Optimization (Wiley 2006)

Corporate Applications:

• Gemplus International S.A.
• Intellectual Properties LLC
• Schlumberger, Inc.
• Sprint
• The Timken Company