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.
Marco A.G. Dias
PAPERS, BOOKS, AND DISSERTATIONS Last Update: 12/03/2003 11:33:00 PM
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"
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.
Baghai, M. & S. Coley & D. White (1999): "The Alchemy of Growth"
Perseus Books, McKinsey & Co., Inc., 1999, 250 pp.
Baídya, T.K.N. & F.A.L. Aiube (1997): “Economic Evaluation of Leases in Petroleum Production Industry”
Revista Brasileira de Economia, vol.51, no 1, Jan/Mar. 1997, pp.53-76 (in Portuguese)
Baídya, T.K.N. & L.E.T. Brandão (1999): "Utilização das Ações de Arrow e Debreu para Valoração de uma Oportunidade de Investimento Através da Teoria das Opções Reais" ("Use of Arrow-Debreu Shares for Valuation of an Investment Opportunity Through Real Options Theory")
Working Paper, PUC-Rio, presented at ANPAD/99, 1999, 17 pp. (in Portuguese)
Baídya, T.K.N. & A.N. Pimentel (1996): "Opções Exóticas: Precificação de Opções Asiáticas" (Exotic Options: Pricing of Asian Options)
Revista Brasileira de Mercado de Capitais, v.21, no 51, pp. 63-79 (in Portuguese)
Baker, M.P. & E.S. Mayfield & J.E. Parsons (1998): “Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing”
Energy Journal, vol.19, no 1, January 1998, pp.115-148
Balakrishna, B.S. (1996): “Analytic Representations and Aproximations to American Option Pricing”
Working Paper, Department of Physics, University of Colorado, February 1996
Balakrishna, N. & Melas, V.B. & S. Ermakov, Eds. (2000): “Advances in Stochastic Simulation Methods”
Birkhäuser Boston, Springer Verlag, 2000, 386 pp.
Baldi, P. & L. Mazliak & P. Priouret (1998): "Martingales and Markov Chains – Solved Exercises and Elements of Theory"
Chapman & Hall/CRC, 2002 (original French edition by Hermann, Éd., 1998), 192 pp.
Baldursson, F.M. (1998): “Irreversible Investment under Uncertainty in Oligopoly”
Journal of Economic Dynamics and Control, vol.22, 1998, pp.627-644
Baldursson, F.M. & I. Karatzas (1997): "Irreversible Investment and Industry Equilibrium"
Finance and Stochastics, vol.1, 1997, pp.69-89
Baldwin, C.Y. (1987): “Competing for Capital in a Global Environment”
Midland Corporate Finance Journal, vol.5, no 1, Spring 1987, pp.43-64
Baldwin, C.Y. (1982): “Optimal Sequential Investment when Capital Is Not Readily Reversible”
Journal of Finance, vol.37, no 3, June 1982, pp.763-782
Baldwin, C.Y. & K. Clark (2002a): “The Fundamental Theorem of Design Economics”
Working Paper, Harvard Business School, March 2002, 6 pp.
Baldwin, C.Y. & K. Clark (2002b): “Institutional Forms, Part 1: The Technology of Design and Its Problems”
Working Paper, Harvard Business School, March 2002, 28 pp.
Baldwin, C.Y. & K. B. Clark (2000): “Design Rules – Volume 1. The Power of Modularity”
MIT Press, 2000, 471 pp.
Baldwin, C.Y. & K. B. Clark (1997): “Managing in an Age of Modularity”
Harvard Business Review, September-October 1997, pp.84-93
Baldwin, C.Y. & K. Clark (1995): “Sun Wars: Competition within a Modular Cluster, 1985-1990”
Working Paper no 95-084, Harvard Business School, 1995
Baldwin, C.Y. & K. Clark (1992):
“Capabilities and Capital Investment: New Perspectives on Capital Budgeting”
Journal of Applied Corporate Finance, Summer 1992, pp.67-87
Baldwin, C.Y. & R.S. Ruback (1986): “Inflation, Uncertainty, and Investment”
Journal of Finance, vol.41, no 3, July 1986, pp.657-669
Baldwin, R.E. (1989): “Sunk Cost Hysteresis”
NBER Working Paper no 2911, March 1989, 43pp.
Baldwin, R.E. (1988): “Hysteresis in Import Prices: The Beachhead Effect”
American Economic Review, vol.78, 1988, pp.773-785
Baldwin, R.E. & P.R. Krugman (1989): “Persistent Trade Effects of Large Exchange Rate Shocks”
Quarterly Journal of Economics, November 1989, pp.636-654
Engineering Economist, vol.44, no 1, 1999, pp.36-49
Bittman, J.B. (1998): “Trading Index Options”
McGraw-Hill, 1998, 312 pp.
Bjrstad, H. & T. Hefting & G. Stensland (1989): “A Model for Exploration Decisions”
Energy Economics, July 1989, pp.189-200
Bjerksund, P. & S. Ekern (1995):
“Contingent Claims Evaluation of Mean-Reverting Cash Flows in Shipping” Real Options in Capital Investments: Models, Strategies, and Aplications
Ed. by L. Trigeorgis, Praeger Publisher, Westport, Conn., 1995, pp.207-219
Bjerksund, P. (1991): “The Cost of a Promise to Develop an Oil Field within a Fixed Future Date”