We consider the strategic interaction between two firms competing for the opportunity to invest in a project with uncertain future values. Starting in complete markets, we provide a rigorous characterization of the strategies followed by each firm in continuous time in the context of a...

We consider the problem of jointly optimizing the daily production planning and energy supplymanagement of an industrial complex, with manufacturing processes, renewable energies and energystorage system. It is naturally formulated as a mixed-integer multistage stochastic problem. This problem...

Utility based indifference pricing and hedging are now considered to be an economically natural method for valuing contingent claims in incomplete markets. However, acceptance of these concepts by the wide financial community has been hampered by the computational and conceptual difficulty of...