Publication

Investment under uncertainty with implementation delay

Related publications (32)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

Maintainable Online Classes

Alexandre David Koo

This project was initialized by Professor Prandoni from EPFL in the context of a bachelor project entitled "Maintainable Online Coursese". The motivations for this project was the lack of intuitive slideshow annotation software considering the current boom ...

2016

Efficient Pricing of Energy Derivatives

Anders Trolle

I present a tractable framework, first developed in Trolle and Schwartz (2009), for pricing energy derivatives in the presence of unspanned stochastic volatility. Among the model features are i) a perfect fit to the initial futures term structure, ii) a fa ...

Palgrave Macmillan US2014

Blind prediction tests as a benchmark to improve the seismic response of fibre models

João Saraiva Esteves Pacheco de Almeida

The seismic behaviour of reinforced concrete framed structures involves a number of nonlinear material and geometrical phenomena that are impossible to model exhaustively in a single model. Furthermore, past studies showed that the most correct modelling o ...

2014

Capital Supply Uncertainty, Cash Holdings, and Investment

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...

2013

Hedging Electricity Swing Options in Incomplete Markets

Daniel Kuhn, Wolfram Wiesemann

The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...

2011

Explaining asset pricing puzzles associated with the 1987 market crash

Pierre Collin Dufresne

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in whic ...

Elsevier2011

Dynamic investment and financing under personal taxation

Erwan Morellec, Norman Schuerhoff

This paper examines the effects of capital gains taxation on firms’ investment and financing decisions. We develop a real options model in which the timing of investment, the decision to default, and the firm’s capital structure are endogenously and jointl ...

2010

Real options valuation of fusion energy R&D programme

Edgard Gnansounou, Denis Bednyagin

This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...

Elsevier2010

Option Contracting in the California Water Market

Thomas Alois Weber

Temporary water transfers, as achievable under option contracts, capture gains from trade that would go unrealized if only permanent transfers of water rights were possible. This paper develops a bilateral option contracting model for water which includes ...

Springer Verlag2010

Pricing expropriation risk in natural resource contracts – A real options approach

Anders Trolle

We develop a model for pricing expropriation risk in natural resource projects, in particular an oil field. The government is viewed as holding an American-style option to expropriate the oil field, but facing the following three possible expropriation cos ...

MIT press2010