We modelize the value of a financial asset as a superposition of n possible prices the asset may have. The superposition depends on weights each decision maker allots to each of the n prices influencing the value. Those n weights are complex numbers and the summation (over n weights) of the...

Insurance companies invest their wealth in financial markets. The wealth evolution strongly depends on the success of their investment strategies, but also on liquidity shocks which occur during unfavourable years, when indemnities to be paid to the clients exceed collected premia. An investment...

The fact that expected payoffs on assets and call options are infinite under most log-stable distributions led both Paul Samuelson (as quoted by Smith 1976) and Robert Merton (1976) to conjecture that assets and derivatives could not be reasonably priced under these distributions, despite their...

When exploring solutions to long-term environmental problems such as climate change, it is crucial to understand how the rates and directions of technological change may interact with environmental policies in the presence of uncertainty. This paper analyzes optimal technological portfolios for...

I examine the impact of demand uncertainty on a firm's investment decisions. Recent theoretical work accounts for the degree of irreversibility of capital investment. Dixit and Pindyck deliver a clear prediction: an increase in uncertainty lowers current investment. With irreversible investment,...

Cosimano (2003) uses the perturbation method to approximate optimal experimentation problems in the neighborhood of the augmented linear regulator problem as formulated by Hansen and Sargent (2004) and Anderson, Hansen, McGratten and Sargent (1966). Cosimano and Gapen (2005) develop a computer...

Continuous time models in the theory of real options give explicit formulas for optimal exercise strategies when options are simple and the price of an underlying asset follows a geometric Brownian motion. This paper suggests a general, computationally simple approach to real options in discrete...