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

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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. 95-104

Amram, M. & N. Kulatilaka (1999c): “Uncertainty: The New Rules for Strategy"
Journal of Business Strategy, May/June 1999, Vol. 20, no 3, pp. 25-34

Andersen, L. (2000): “A Simple Approach to the Pricing of Bermudan Swaptions in the Multifactor Libor Market Model”
Journal of Computational Finance, Winter 1999/2000, vol.3, no 2, pp.5-32

Andersen, L. & J. Andreasen (1999): “Jumping Smiles”
Risk, November 1999, pp. 65-68

Andersen, T.M. & M.S. Christensen (2002): "Contract Renewal under Uncertainty"
Journal of Economic Dynamics & Control, vol.26, 2002, pp.637-652

Anderson, L.B.G. & J. Andreasen & R. Brotherton-Ratcliffe (1998): "The Passport Option"
Journal of Computational Finance, vol.1, no 3, Spring 1998, pp.15-36

Anderson, R.W. & C. Tu (1998): “Numerical Analysis of Strategic Contingent Claims”
Computational Economics, 1998, vol.11, pp.3-19

Andrezo, A.F. & I.S. Lima (1999): “Mercado Financeiro – Aspectos Históricos e Conceituais” (Financial Market – Historical and Conceptual Aspects)
Ed. Pioneira Thompson, 1999, 338 pp. (in Portuguese)

Ang, J.S. & S.P. Dukas (1991): “Capital Budgeting in a Competitive Environment”
Managerial Finance, vol. 17, no 2/3, May 1991, pp. 6-15

Angelis, D.I. (2000): “Capturing the Option Value of R&D”
Research . Technology Management, July-August 2000, pp. 31-34

Aoki, M. (1996): “New Approaches to Macroeconomic Modeling – Evolutionary Stochastic Dynamics, Multiple Equilibria, and Externalities as Field Effects”
Cambridge University Press, 1996, 288 pp.

Aragão, C.S.L. & E. de La Roque (2000): “Simulação de Monte Carlo com Volatilidade Estocástica para a Análise do Risco de uma Carteira de Opções” (“Monte Carlo Simulation with Stochastic Volatility for Risk Analysis of Options Portfolio”)
Working Paper, Banco BBM, 2000, 16 pp. (in Portuguese)

Arak, M. & D. Taylor (1996): “Optimal Trading with Mean-Reverting Prices: Switching Between Foreign Stocks and Closed-End Country Funds”
Applied Economics, no 28, 1996, pp.1067-1074

Araújo, A. (1983): “Introdução à Economia Matemática” (“Introduction to Mathematical Economics”)
IMPA Public., 14o Colóquio Brasileiro de Matemática, Poços de Caldas, 1983, 123 pp. (in Portuguese)

Araújo, A. with P.K. Monteiro (1993): “Introdução à Economia Dinâmica e Mercados Incompletos” (“Introduction to Dynamic Economics and Incomplete Markets”)
IMPA public., 19o Colóquio Brasileiro de Matemática, 1993, 98 pp. (in Portuguese)

Armstrong, M. (1998): "Basic Linear Geostatistics"
Springer Verlag Berlin Heidelberg, 1998, 155 pp.

Arnold, T. & R.L. Shockley, Jr. (2001): "Value Creation at Anheuser-Busch: A Real Options Example"
Journal of Applied Corporate Finance, vol.14, no 2, Summer 2001, pp.52-61

Arrow, K.J. (1974): "The Limits of Organization"
W.W. Norton & Co., 1974, 86 pp.

Arrow, K.J. (1964): “The Role of Securities in the Optimal Allocation of Risk Bearing”
Review of Economic Studies, vol.31, April 1964, pp.91-96

Arrow, K.J. & S. Chang (1982):
“Optimal Pricing, Use, and Exploration of Uncertain Natural Resource Stocks”
Journal of Environmental Economics and Management, vol.9, 1982, pp.1-10

Arrow, K.J. & A.C. Fisher (1974): “Environmental Preservation, Uncertainty, and Irreversibility”
Quarterly Journal of Economics, vol.88, no 1, May 1974, pp.312-319

Arthur, W.B. & S.N. Durlauf & D.A. Lane, Eds. (1997): “The Economy as an Evolving Complex System II”
Santa Fe Institute Studies in the Sciences of Complexity – Perseus Books Pub., 1997, 583 pp.

Arya, A. & J. Glover & B.R. Routledge (1998): "Optionality, Descentralization, and Hierarchical Budgeting"
Working Paper, Ohio State University & Carnegie Mellon University, August 1998, 32 pp.

Arzac, E.R. (1997): “PERCS, DECS, and Other Mandatory Convertibles”
Journal of Applied Corporate Finance, vol.10, no 1, Spring 1997, pp.54-63

Ash, R.B. (1965): "Information Theory"
Dover Pub., Inc., 1990 (original by John Wiley & Sons, 1965), 339 pp.

Ash, R.B. & C.A. Doléans-Dade (2000): "Probability & Measure Theory"
Academic Press, 2nd Edition, 2000, 516 pp.

Asmussen, S. & P. Glynn & J. Pitman (1995): “Efficient Monte Carlo Simulation of Security Prices”
Annals of Applied Probability, vol.5, no 4, 1995, pp. 875-896

Asquith, P. (1995): “Convertible Bonds Are Not Called Late”
Journal of Finance, vol. 50, no 4, September 1995, pp.1275-1289

Aucamp, D.C. & J.C. So (1991):
“A Conservative Decision Rule for the Evaluation of Projects in a Stochastic Environment”
Research in Finance, vol.9, JAI Press Inc., pp.75-87

Aumann, R.J. & M.B. Maschler, with R.E. Stearns (1995): “Repeated Games with Incomplete Information”
MIT Press, 1995, 342 pp.

Aumann, R.J. & S. Hart, Eds. (2002): “Handbook of Game Theory with Economic Applications – Volume 3”
North-Holland, Elsevier Science Pub., 2002, 856 pp.

Aumann, R.J. & S. Hart, Eds. (1992): “Handbook of Game Theory with Economic Applications – Volume 1”
North-Holland, Elsevier Science Pub., 1992, 733 pp.

Avellaneda, M. (Eds.) (2001b): “Quantitative Analysis in Financial Markets – Volume III”
World Scientific Publishing Co., 2001, 351 pp.

Avellaneda, M. (Eds.) (2001a): “Quantitative Analysis in Financial Markets – Volume II”
World Scientific Publishing Co., 2001, 359 pp.

Avellaneda, M. (Eds.) (1999): “Quantitative Analysis in Financial Markets”
World Scientific Publishing Co., 1999, 367 pp.

Avellaneda, M. & P. Laurence (2000): "Quantitative Modeling of Derivatives Securities – From Theory to Practice"
Chapman & Hall/CRC, 2000, 322 pp.

Avellaneda, M. & A. Levy & A. Parás (1995): “Pricing and Hedging Derivative Securities in Markets with Uncertainty Volatilities”
Applied Mathematical Finance, vol.2, 1995, pp.73-88

Avellaneda, M. & A. Parás (1995): “Managing the Volatility Risk of Portfolio of Derivative Securities: the Lagrangian Uncertain Volatility Model”
Working Paper, New York University, 1995

Averbukh, V.Z. (1997): “Pricing American Options Using Monte Carlo Simulation”
Doctoral Dissertation, Cornell University, August 1997, 53 pp.

Axelrod, R. (1997): “The Complexity of Cooperation – Agent-Based Models of Competition and Collaboration”
Princeton University Press, 1997, 232 pp.

Axelrod, R. (1990): “The Evolution of Co-operation”
Penguin Books, 1990 (original from 1984, Basic Books, Inc.), 241 pp.

Back, K. (1993): “Asymmetric Information and Options”
Review of Financial Studies, vol.6, no 3, 1993, pp. 435-472