With deregulation in the electric power industry, traditionalapproaches for minimizing production costs have become unfit forthe present competitive environment. Owners of generationassets must now consider price uncertainty in solving unitcommitment problems for scheduling and operating their...

Privately Financed Infrastructure (PFI) projects are characterized by huge and irreversible investments and are faced with various risks. Project performance risks, such as project completion time and costs, affect the project value significantly, particularly in project development phase. This...

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...