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This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...
Understanding the investment decisions of power companies is vital for a regulator as particularly deficient investments in generation capacity could jeopardize the market in the long run. Considering potential risks that could hamper investments, the pape ...
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 ...
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 ...
The paper introduces a cubic-phase-function based method to estimate interference phase in digital holographic interferometry. The proposed method relies on piecewise polynomial approximation of phase by dividing an arbitrary row/column of the complex reco ...
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 ...
We consider the problem of uniform sampling of points on an algebraic variety. Specifically, we develop a randomized algorithm that, given a small set of multivariate polynomials over a sufficiently large finite field, produces a common zero of the polynom ...
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 ...
Current biomedical research increasingly requires imaging large and thick 3D structures at high resolution. Prominent examples are the tracking of fine filaments over long distances in brain slices, or the localization of gene expression or cell migration ...
This work contains the study of the algebra called al-Badī‘ fī al-ḥisāb (literally : "the Wonderful on calculation"), written by the Persian mathematician Abu Bakr Muḥammad ibn al-Ḥusain al-Karaǧi (previously known as ...
