This paper studies optimal investment in different types of electric plants. Neither future fuel prices nor future demand are known. Furthermore, we take into account explicitly the problems of management of the peak load and of the decrease of efficiency of plants used for long periods. A two...

This paper studies irreversible investment decisions of a risl neutral regulated firm which has costs of production and of investment known with certainty and constant over time, but subject to uncertainty on exogenous shocks to demand. These shocks follow a geometric Brownian motion. No...

In addition to showing the connection between parallel contingent and noncontingent risk comparison problems, we articulate a method for solving both kinds of problems using the "basis" approach. The basis approach has often been used implicitly, but we argue that there is value to making its...

This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...

We examine in this paper the effect of an early resolution of uncertainty on savings. We show that this effect is in general ambiguous. We provide necessary and sufficient conditions on the utility function which guarantee that an early resolution of uncertainty reduces current savings for...