The Neoclassical theory of production establishes a dual relationship between the profit value function of a competitive firm and its underlying production technology. This relationship, usually referred to as the duality theory, has been widely used in empirical work to estimate production...

Random Utility Models of recreation demand are widely used to relate demand and value to the characteristics of recreation sites. Although some kinds of endogeneity problems have been studied in previous literature, no study has addressed the potential problem with site characteristics that are...

This thesis is composed of two parts. The first parts deals with a technique for pricing American-style contingent options. The second part details a statistical arbitrage model using statistical process control approaches.We propose a novel simulation approach for pricing American-style...

This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit...

A new approach is proposed to select a predetermined number of ?reasonable" (the best in a certain sense) alternatives from the considerable (maybe a vast) set of initial alternatives according to an arbitrary number of optimization criteria and accounting for uncertainty factors. The approach...

This thesis presents a methodology to incorporate reservoir uncertainties and estimate the loss in project value when facility planning decisions are based on erroneous estimates of input variables. We propose a tank model along with integrated asset development model to simulate the concept...

Stochastic di®erential equations (SDEs) are　central to much of modern finance theory and have been widely used to model the behaviour of key variables such as the　instantaneous short-term interest rate, asset prices, asset returns and their volatility.　The explanatory and/or predictive...

Thoroughbred racehorses are commonly characterized as unprofitable investments. Previous studies, grouping all racehorses together, estimate that over 80% of all racehorses in training fail to earn enough to recover the variable costs of training. However, these studies are not truly...