papers, text-books, and dissertations - Real Options in Petroleum

This bibliography is in alphabetical order (last name). For more than
one paper from the same author(es), I ranked from the more recent to the
older (I know it is not the standard approach). Unfortunately, some
important papers are outside of this bibliography, in many cases because I
don't find out them in the Rio de Janeiro libraries. In other cases because
the literature on real options and related fields grows too fast. However,
mote than 2000 references are available below. The file was divided into two separated bibliographies: (a) the first one, "financial/economics" (~ 2000 items), comprises real
options (including real options in petroleum), financial options, others
from financial economics theory and corporate/industrial economics (CAPM,
game theory, etc), some textbooks (mainly about finance and economics, but
including mathematics and softwares); and (b) the other one is specific to petroleum papers (except real and
financial options in petroleum), and was named "petroleum specific" (about
150 items), and includes petroleum economic papers (reserves market, game
theory applied to petroleum leases, economics from fields development, and
so on) and some petroleum technical papers (reserves definitions, fractal
approach to reserve estimates, equipment with technical flexibility, and so
on). The main papers are in the first section, but some important papers
are in the second one (for example, some papers from R. Pindyck, R. Solow,
M.Miller, Stiglitz, Hotteling, and so on). There are few papers in
Portuguese (see Dias, and D'Almeida et al, but ~98% are in English). I have
eleven papers in English (see "Dias", "Dias & Rocha", "Dias & Beltrão",
"Dias & Oliveira", "Caetano & Dias", D'Almeida et al., and "Garcia et
al"), which four are in the second bibliography. Enjoy,
Marco A.G. Dias
E-Mail: marcoagd@pobox.com
PAPERS, BOOKS, AND DISSERTATIONS Last Update: 03/12/03
1) FINANCIAL/ECONOMICS Abel, A.B. (1983): "Optimal Investment under Uncertainty"
American Economic Review, no 73, March 1983, pp.228-233 Abel, A.B. & O.J. Blanchard (1986):
"The Present Value of Profits and Cyclical Movements in Investments"
Econometrica, vol.54, no 2, March 1986, pp.249-273 Abel, A.B. & A.K. Dixit & J. C. Eberly & R.S. Pindyck (1995, 1996):
"Options, the Value of Capital, and Investment"
NBER Working Paper no 5227, August 1995, 41pp., and
Quarterly Journal of Economics, August 1996, pp.753-777 Abel, A.B. & J. C. Eberly (1997): "An Exact Solution for the Investment
and Value of a Firm Facing Uncertainty, Adjustment Costs, and
Irreversibility"
Journal of Economics Dynamics and Control, vol.21, 1997, pp.831-
852 Abel, A.B. & J. C. Eberly (1996): "Optimal Investment with Costly
Reversibility"
Review of Economic Studies, vol.63, October 1996, pp.581-593 Abel, A.B. & J. C. Eberly (1994): "A Unified Model of Investment under
Uncertainty"
American Economic Review, vol.84, no 5, December 1994, pp.1369-
1384 Abramowitz, M. & I.A. Stegun, eds. (1964): "Handbook of Mathematical
Functions"
National Bureau of Standards, Washington D.C., June 1964 Abu-Mostafa, Y.S. & B. LeBaron & A.W. Lo & A.S. Weigend (2000):
"Computacional Finance 1999"
MIT Press, 2000, 713 pp. Acworth, P. & M. Broadie & P. Glasserman (1996): "A Comparison of Some
Monte Carlo and Quasi-Monte Carlo Techniques for Option Pricing"
in Niederreiter et al. (Eds.), Monte Carlo and Quasi-Monte
Carlo Methods 1996 - Springer-Verlag New York, Lectures Notes in
Statistics, 1998, pp.1-18 Aggarwal, R. (1993): "A Brief Overview of Capital Budgeting under
Uncertainty"
Capital Budgeting under Uncertainty, pp.9-41
R. Aggarwal eds., Englewood Cliffs, NJ, Prentice-Hall, 1993 Aggarwal, V.K. (1996): "Debt Games"
Cambridge University Press, 1996, 613 pp. Aghion, P. & P. Howitt (1998): "Endogenous Growth Theory"
MIT Press, 1998, 694 pp. Agliari, A. & T. Puu (2002): "A Cournot Duopoly with Bounded Inverse Demand
Function"
in Puu & Sushko, Eds., Oligopoly Dynamics - Models and Tools,
Springer-Verlag Berlin Heidelberg, 2002, pp. 171-194 Agmon, T. (1993): "Capital Budgeting and the Utilization of Full
Information: Performance Evaluation and the Exercise of Real Options"
Capital Budgeting under Uncertainty, pp.232-245
R. Aggarwal eds., Englewood Cliffs, NJ, Prentice-Hall, 1993 Aguerrevere, F.L. (2000): "Equilibrium Investment Strategies and Output
Price Behavior: A Real Options Approach"
Paper presented at the 4th Annual International Conference on
Real Options, July 2000, University of Cambridge, 50 pp. Ahnani, M. & M. Bellalah (2000): "Issues in Real Options with Information
Costs"
Working Paper, University of Paris-Dauphine & Université de
Cergy, January 2000, 22 pp. Aiube, F.A.L. (1995a): "Analysis of Petroleum Production Projects under
Technical and Economic Uncertainties"
Paper presented at the II EEVTE, Petrobras, 8-10 November,
1995 (in Portuguese).
Proceedings, pp.59-67 Aiube, F.A.L. (1995b): "Economic Avaliation of Petroleum Projects under
Conditions of Prices and Reserves Uncertainties"
Dep. of Industrial Engineering, PUC-RJ, Master's Dissertation,
1995 (in Portuguese) Akerlof, G.A. (1970): "The Market for "Lemons": Quality Uncertainty and the
Market Mechanism"
Quarterly Journal of Economics, vol.84, no 3, pp.488-500 Akesson, F. & J.P. Lehoczky (2000): "Path Generation for Quasi-Monte Carlo
Simulation of Mortgage-Backed Securities"
Management Science, vol.46, no 9, September 2000, pp.1171-1187 Aleksandrov, A.D. & A.N. Kolmogorov & M.A. Lavrent'ev (1969): "Mathematics
- Its Content, Methods and Meaning"
Dover Publications, Inc., 1999 (original in 3 volumes by MIT
Press, 1969), 1102 pp. Alesii, G. (2001): "Kulatilaka '88 as a CVP Analysis in a Real Options
Framework: A Review, GAUSStm Codes and Numerical Examples"
Working Paper, Universitá de L'Aquila, February 2001, 49 pp. Alexander, C. (Eds.) (2001a): "Mastering Risk - Volume 2: Applications"
Financial Times Prentice Hall, 2001, 256 pp. Alexander, C. (2001b): "Market Models - A Guide to Financial Data Analysis"
John Wiley & Sons, 2001, 494 pp. Aliprantis, C.D. & K.C. Border (1999): "Infinite Dimensional Analysis - A
Hitchhiker's Guide"
Springer Verlag Berlin Heidelberg, 2nd Ed., 1999, 672 pp. Aliprantis, C.D. & S.K. Chakrabarti (2000): "Games and Decision Making"
Oxford University Press, 2000, 257 pp. Allegretto, W. & G. Barone-Adesi & R.J. Elliott (1995): "Numerical
Evaluation of the Critical Price and American Options"
European Journal of Finance, no 1, 1995, pp.69-78 Alleman, J. & E. Noam (Eds.) (1999): "The New Investment Theory of Real
Options and Its Implications for Telecommunications Economics"
Kluwer Academic Publishers, 1999, 280 pp. Alon, N. & J.H. Spencer (2000): "The Probabilistic Method"
John Wiley & Sons, Inc., 2nd Ed., 2000, 301 pp. Alvarez, L.H.R. (1999): "Optimal Exit and Valuation under Demand
Uncertainty"
European Journal of Operational Research, no 114, 1999, pp.320-
329 Alvarez, L.H.R. & R. Stenbacka (2001): "Adoption of Uncertain Multi-Stage
Technology Projects: A Real Options Approach"
Journal of Mathematical Economics, vol.35, 2001, pp.71-97 Amann, E. & W. Leininger (1996): "Asymmetric All-Pay Auctions with
Incomplete Information: The Two-Player Case"
Games and Economic Behavior, vol.14, 1996, pp.1-18 American Mathematical Society & London M.S., Eds. (2000): "Kolmogorov in
Perspective"
AMS, History of Mathematics vol.20, 2000, 230 pp. Ames, W.F. (1992): "Numerical Methods for Partial Differential Equations"
Academic Press, Inc., 3rd Edition, 1992, 451 pp. Amin, K. & D.R. Capozza (1993): "Sequential Development"
Journal of Urban Economics, vol.34, no 2, September 1993,
pp.142-158 Amin, K.I. (1991):
"On the Computation of Continuous Time Option Prices Using Discrete
Approximations"
Journal of Financial and Quantitative Analysis, vol.26, no 4,
December 1991, pp.477-495 Amman, H.M. & D.A. Kendrick & S. Achath (1995):
"Solving Stochastic Optimization Models with Learning and Rational
Expectations"
Economic Letters, vol.48, 1995, pp.9-13 Amman, H.M. & D.A. Kendrick (1994): "Forward Looking Behavior and Learning
in Stochastic Control"
Working Paper University of Amsterdam & University of Texas at
Austin, 1994 Ammann, M. (2001): "Credit Risk Valuation - Methods, Models, and
Applications"
Springer Verlag Berlin, 2nd Ed., 2001, 255 pp. Amram, M. (2002): "Value Sweep - Mapping Corporate Growth Opportunities"
Harvard Business School Press, 2002, 285 pp. Amram, M. & C. Baldwin & D. Glassman & M. Lehman & M. McCollum (2000):
"Bank of America Roundtable on: The Real Option Approach to Creating Value
in the New Economy"
Journal of Applied Corporate Finance, vol.13, no 2, Summer
2000, pp.45-63 Amram, M. & N. Kulatilaka (2000): "Strategy and Shareholder Value Creation:
The Real Options Frontier"
Journal of Applied Corporate Finance, vol.13, no 2, Summer
2000, pp.15-28 Amram, M. & N. Kulatilaka (1999a): "Real Options - Managing Strategic
Investment in an Uncertain World"
Harvard Business School Press, 1999, 246 pp. Amram, M. & N. Kulatilaka (1999b): "Disciplined Decisions - Aligning
Strategy with the Financial Markets"
Harvard Business Review, January-February 1999, pp