Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition

We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian Motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by time-varying volatility and fat tails; therefore, we use Gaussian generalized autoregressive score (GAS) and GARCH models, extending them to Student’s t-GARCH and t-GAS. Second, an important risk (reservoir size) is not hedgeable. As a result, markets are incomplete which makes preference free pricing impossible and thus standard option pricing methodology inapplicable. Therefore, we parametrize the investor’s risk preference and use utility indifference pricing techniques. We use Least Squares Monte Carlo simulations as a dimension reduction technique in solving the resulting stochastic dynamic programming problems. Moreover, an investor often only has an approximate idea of the true probabilistic model underlying variables, making model ambiguity a relevant problem. We show empirically how model ambiguity affects project values, and importantly, how option values change as model ambiguity gets resolved in later phases of the projects. We show that traditional valuation approaches will consistently underestimate the value of project flexibility and in general lead to overly conservative investment decisions in the presence of time-dependent stochastic structures

Biodiversity and agriculture: rapid evidence review

Agriculture is the largest single source of environmental degradation, responsible for over 30% of global greenhouse gas (GHG) emissions, 70% of freshwater use and 80% of land conversion: it is the single largest driver of biodiversity loss (Foley et al. 2011, 2005; IPBES 2019; Willett et al. 2019). Agriculture also underpins poor human health, contributing to 11 million premature deaths annually. While too many still struggle from acute hunger, a growing number of individuals, including in low and middle-income countries (LMICs), struggle to access healthy foods. Greater consideration for, and integration of, biodiversity in agriculture is a key solution space for improving health, eliminating hunger and achieving nature-positive development objectives. This rapid evidence review documents the best available evidence of agriculture’s relationships with biodiversity, drawing on the contributions of leading biodiversity experts, and recommends actions that can be taken to move towards more biodiversity/nature-positive production through the delivery of integrated agricultural solutions on climate, biodiversity, nutrition and livelihoods. The analysis, which takes a whole-of-food-system approach, brings together a large body of evidence. It accounts for aspects not typically captured in a stand-alone primary piece of research, and indicates where there are critical gaps

Palaeoenvironment of Eocene prodelta in Spitsbergen recorded by the trace fossil Phycosiphon incertum

Ichnological, sedimentological and geochemical analyses were conducted on the Eocene Frysjaodden Formation in order to interpret palaeoenvironment prodelta sediments in the Central Basin of Spitsbergen. Phycosiphon incertum is the exclusive ichnotaxon showing differences in size, distribution, abundance and density, and relation to laminated/bioturbated intervals. Large P. incertum mainly occur dispersed, isolated and randomly distributed throughout the weakly laminated/non-laminated intervals. Small P. incertum occur occasionally in patches of several burrows within laminated intervals or as densely packed burrows in thin horizons in laminated intervals or constituting fully bioturbated intervals that are several centimetres thick. Ichnological changes are mainly controlled by oxygenation, although the availability of benthic food cannot be discarded. Changes in oxygenation and rate of sedimentation can be correlated with the registered variations in the Bouma sequence of the distal turbiditic beds within prodeltal shelf sediments.Funding for this research was provided by Project CGL2012-33281 (Secretaría de Estado de Investigación, Desarrollo e Innovación, Spain), Project RYC-2009-04316 (Ramón y Cajal Programme) and Projects RNM-3715 and RNM-7408 and Research Group RNM-178 (Junta de Andalucía). The authors benefited from a bilateral agreement between the universities of Granada and Oslo, supported by the University of Granada

Meta-analysis of genome-wide association studies identifies common susceptibility polymorphisms for colorectal and endometrial cancer near SH2B3 and TSHZ1

High-risk mutations in several genes predispose to both colorectal cancer (CRC) and endometrial cancer (EC). We therefore hypothesised that some lower-risk genetic variants might also predispose to both CRC and EC. Using CRC and EC genome-wide association series, totalling 13,265 cancer cases and 40,245 controls, we found that the protective allele [G] at one previously-identified CRC polymorphism, rs2736100 near TERT, was associated with EC risk (odds ratio (OR) = 1.08, P = 0.000167); this polymorphism influences the risk of several other cancers. A further CRC polymorphism near TERC also showed evidence of association with EC (OR = 0.92; P = 0.03). Overall, however, there was no good evidence that the set of CRC polymorphisms was associated with EC risk, and neither of two previously-reported EC polymorphisms was associated with CRC risk. A combined analysis revealed one genome-wide significant polymorphism, rs3184504, on chromosome 12q24 (OR = 1.10, P = 7.23 × 10−9) with shared effects on CRC and EC risk. This polymorphism, a missense variant in the gene SH2B3, is also associated with haematological and autoimmune disorders, suggesting that it influences cancer risk through the immune response. Another polymorphism, rs12970291 near gene TSHZ1, was associated with both CRC and EC (OR = 1.26, P = 4.82 × 10−8), with the alleles showing opposite effects on the risks of the two cancers