Real options present a wide topic in investment litterature nowadays. However, despite big advances in the single asset investment pricing, the theory is miser of informations about problems involving more than one asset. We show in this paper that using dynamic programming, one can find an...

Former generation capacity expansion models were formulated as optimization problems. Theseincluded a reliability criterion and hence guaranteed security of supply. The situation is differentin restructured markets where investments need to be incentivised by the margin resulting fromelectricity...

The inception of the Emission Trading System in Europe (EU-ETS) has made power price moreexpensive. This affects the competitiveness of electricity intensive industrial consumers and mayforce them to leave Europe. Taking up of a proposal of the industrial sector, we explore thepossible...

In this paper, we present a model of endogenous vertical integration and horizontal differentiation. Thereexists two output brands and two versions of the input. The only mean for output differentiation is the inputversion used in output production. Firms may choose to vertically integrate to...

We propose a new dynamic model for volatility and dependence in high dimensions, that allows for departuresfrom the normal distribution, both in the marginals and in the dependence. The dependence is modeled with adynamic canonical vine copula, which can be decomposed into a cascade of bivariate...

In a setting of R&D co-opetition we study, by using an all-pay auction approach, howcollaboration affects strategic decisions during a patent contest, and how the latter influences thepossible collaboration network structures the firms can hope to form. The all pay auctionapproach allows us to...