We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by...

Real option theory has remained a fringe field; practitioners believe it is not practically applicable in complex real world environments. We show that this view is mistaken. We apply real option theory to a highly complex energy problem with unhedgeable risk, time varying volatilities and...

We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...

Forecast sharing has been widely adopted to coordinate capacity planning in supply chains. However, the effectiveness of forecast sharing can be hindered by forecast inflation caused by the forecaster's asymmetric preferences toward underforecasts or overforecasts. In this paper, we study how...

This paper investigates whether and when fractional degree stochastic dominance rules can inherit the invariance properties of integer-degree stochastic dominance. Within a general formulation, we first show that it is impossible for fractional degree stochastic dominance to obey all the six...