We introduce a simple extension of a shifted geometric Brownian motion for modelling forward LIBOR rates under their canonical measures. The extension is based on a parameter uncertainty modelled through a random variable whose value is drawn at an in¯nitesimal time after zero. The shift in...

We introduce a general framework to value pilot project investments under the presence of both, market and technical uncertainty. The model generalizes different settings introduced previously in the literature. By distinguishing between the pilot and the commercial stages of the project we are...

We introduce a simple extension of a shifted geometric Brownian motion for modelling forward LIBOR rates under their canonical measures. The extension is based on a parameter uncertainty modelled through a random variable whose value is drawn at an infinitesimal time after zero. The shift in the...

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...