We develop two parsimonious models for pricing multi-name credit derivatives. We derive closed form expression for the loss distribution, which then can be used in determining the prices of tranche and index swaps and more exotic derivatives on these contracts. Our starting point is the model of...

A global liquefied natural gas (LNG) market is quickly emerging, with several significant development projects very recently completed or underway; these projects consist of extraction, liquefaction, shipping, regasification, and storage facilities. Exact valuation of the real option to store...

In the United States natural gas pipelines lease their transport capacity to shippers via contracts, which shippers manage as real options on differences between natural gas prices at different geographical locations. In practice it is common to value these real options using spread option...

Commodities, ranging from natural gas to memory chips, can be procured both by trading on the date in spot markets and in advance in forward markets. Transaction costs, such as brokerage fees, are typically higher in spot markets than in forward markets. Moreover, the forecast of a ¯rm's...

A fundamental issue in the management of technology innovation, both in manufacturing and service industries, is the comparative evaluation of emerging and incumbent technologies. This evaluation entails the juxtaposition of multiple aspects including process configuration and operational and...

This paper is the outcome of a research engagement studying questions of technology utilization and production management with managers at EQT Corp., an integrated natural gas production and distribution company. The question of how to best leverage the use of technology is fundamental to almost...