We study indifference pricing of mortality contingent claims in a fully stochastic model. We assume both stochastic interest rates and stochastic hazard rates governing the population mortality. In this setting we compute the indifference price charged by an insurer that uses exponential utility...

We study a dynamic insurance market with asymmetric information and "ex post" moral hazard. In our model, the insurance buyer's risk type is unknown to the insurer; moreover, the buyer has the option of not reporting losses. The insurer sets premia according to the buyer's experience rating,...

We extend the framework of real options to value the compound timing option owned by a manager of an industrial asset. The operator has control over the production modes, but faces operational constraints which introduce path-dependency. Moreover, the operator is only able to imperfectly hedge...

We study finite horizon optimal switching problems for hidden Markov chain models with point process observations. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state variable using Bayesian updates over the discrete observations. Such a...

We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic aspect is captured through a reduced-form price-impact...

We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the investor and the market value the options by risk-neutral...

We establish various extensions of the comonotone improvement result of Landsberger and Meilijson [Landsberger, M., Meilijson, I., 1994. Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion. Annals of Operations Research 52, 97-106] which are of...

We study the financial engineering aspects of operational flexibility of energy assets. The current practice relies on a representation that uses strips of European spark-spread options, ignoring the operational constraints. Instead, we propose a new approach based on a stochastic impulse...

We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such liquidity constraints, we focus on the case where the market...

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional diffusion with correlated noise. Such models where the...