We develop a coherent framework for the valuation of real assets and determination of the optimal time to invest. To this end, we model the stochastic nature of income and develop methodologies for valuing traded derivatives to facilitate model calibration. A valuation paradigm for...

This paper studies the impact of modelling time-varying variances of stock returns in terms of risk measurement and extreme risk spillover. Using a general class of regime-dependent models, we find that volatility can be disaggregated into distinct components: a persistent stable process with...

This paper investigates the dynamics of stock price volatility for different vessel-type segments of the U.S, water transportation industry. We measure market exposure by a portfolio of tanker, dry bulk, container, and gas stocks to examine tail behavior and tail risk dependence. The role of...

Communicating a pension product well is as important as optimising the financial value. In a recent study, we showed that up to 80% of the value of a pension lump sum could be lost if customer communication failed. In this paper, we extend the simple customer interaction of the earlier...

We develop a novel, workable switching option model approach to component redesign and replacement projects that are divisible into sequential phases. The component manufacturer has the option to retain the current product position and abandon the project, or switch to a redesigned product...