This paper analyzes a family of multivariate point process models of correlated event timing whose arrival intensity is driven by an affine jump diffusion. The components of an affine point process are self- and cross-exciting, and facilitate the description of complex event dependence...

We introduce a general discrete time dynamic framework to value pilot project investments that reduce idiosyncratic uncertainty with respect to the final costs of a project. The model generalizes different settings introduced previously in the literature by incorporating both, market and...