The valuation of N-phased investment projects under jump-diffusion processes

In this paper we consider N-phased investment opportunities where the time evolution of the project value follows a jump-diffusion process. An explicit valuation formula is derived under two different scenarios: in the first case we consider fixed and certain investment costs and in the second case we consider cost uncertainty and assume that investment costs follow a jump-diffusion process

The effects of environmental taxes and quotas on the optimal timing of emission reductions under Choquet-Brownian uncertainty

The effects of two environmental policy options for the reduction of pollution emissions, i.e. taxes and non-tradable quotas, are analyzed. In contrast to the prior literature this work endogenously takes into account the level of emissions before and after the adoption of the new environmental policy. The level of emissions is determined by solving the firm's profit maximization problem under taxes and fixed quotas. We find that the optimal adoption threshold under taxes is always larger than the adoption threshold under fixed quota, even in a setting characterized by ecological uncertainty and ambiguity - in the form of Choquet-Brownian motions - on future costs and benefits over adopting environmental policies.

A Model for Evaluating Pharmaceutical R&D Investment Projects under Technical and Economic Uncertainties

This study sets up a compound option approach for evaluating pharmaceutical R&D investment projects in the presence of technical and economic uncertainties. Technical uncertainty is modeled as a Poisson jump that allows for failure and thus abandonment of the drug development. Economic uncertainty is modeled as a standard di¤usion process which incorporates both up-and downward shocks. Practical application of this method is emphasized through a case analysis. We show that both uncertainties have a positive impact on the R&D option value. Moreover, from the sensitivity analysis, we nd that the sensitivity of the option with respect to economic uncertainty and market introduction cost decreases when technical uncertainty increases

From "universal" profiles to "universal" scaling laws in X-ray galaxy clusters

As the end products of the hierarchical process of cosmic structure formation, galaxy clusters present some predictable properties, like those mostly driven by gravity, and some others, more affected by astrophysical dissipative processes, that can be recovered from observations and that show remarkable "universal" behaviour once rescaled by halo mass and redshift. However, a consistent picture that links these universal radial profiles and the integrated values of the thermodynamical quantities of the intracluster medium, also quantifying the deviations from the standard self-similar gravity-driven scenario, has to be demonstrated. In this work, we use a semi-analytic model based on a universal pressure profile in hydrostatic equilibrium within a cold dark matter halo with a defined relation between mass and concentration to reconstruct the scaling laws between the X-ray properties of galaxy clusters. We also quantify any deviation from the self-similar predictions in terms of temperature dependence of a few physical quantities such as the gas mass fraction, the relation between spectroscopic temperature and its global value, and, if present, the hydrostatic mass bias. This model allows to reconstruct both the observed profiles and the scaling laws between integrated quantities. We use the Planck-selected ESZ sample to calibrate the predicted scaling laws between gas mass, temperature, luminosity and total mass. Our universal model reproduces well the observed thermodynamic properties and provides a way to interpret the observed deviations from the standard self-similar behaviour. By combining these results with the constraints on the observed $Y_{SZ}-T$ relation, we show how we can quantify the level of gas clumping affecting the studied sample, estimate the clumping-free gas mass fraction, and suggest the average level of hydrostatic bias present.Comment: 13 pages. A&A in press. Minor update to fix typos and better match published versio

An assessment of the measurement of the Lense-Thirring effect in the Earth gravity field, in reply to: ``On the measurement of the Lense-Thirring effect using the nodes of the LAGEOS satellites, in reply to ``On the reliability of the so far performed tests for measuring the Lense-Thirring effect with the LAGEOS satellites'' by L. Iorio,'' by I. Ciufolini and E. Pavlis

In this paper we reply to recent claims by Ciufolini and Pavlis about certain aspects of the measurement of the general relativistic Lense-Thirring effect in the gravitational field of the Earth. I) The proposal by such authors of using the existing satellites endowed with some active mechanism of compensation of the non-gravitational perturbations as an alternative strategy to improve the currently ongoing Lense-Thirring tests is unfeasible because of the impact of the uncancelled even zonal harmonics of the geopotential and of some time-dependent tidal perturbations. II) It is shown that their criticisms about the possibility of using the existing altimeter Jason-1 and laser-ranged Ajisai satellites are groundless.III) Ciufolini and Pavlis also claimed that we would have explicitly proposed to use the mean anomaly of the LAGEOS satellites in order to improve the accuracy of the Lense-Thirrring tests. We prove that it is false. In regard to the mean anomaly of the LAGEOS satellites, Ciufolini himself did use such an orbital element in some previously published tests. About the latest test performed with the LAGEOS satellites, IV) we discuss the cross-coupling between the inclination errors and the first even zonal harmonic as another possible source of systematic error affecting it with an additional 9% bias. V) Finally, we stress the weak points of the claims about the origin of the two-nodes LAGEOS-LAGEOS II combination used in that test.Comment: LaTex2e, 22 pages, no figures, no tables. To appear in Planetary and Space Science. Reference Ries et al. 2003a added and properly cite

A Free-Form Lensing Grid Solution for A1689 with New Mutiple Images

Hubble Space Telescope imaging of the galaxy cluster Abell 1689 has revealed an exceptional number of strongly lensed multiply-imaged galaxies, including high-redshift candidates. Previous studies have used this data to obtain the most detailed dark matter reconstructions of any galaxy cluster to date, resolving substructures ~25 kpc across. We examine Abell 1689 (hereafter, A1689) non-parametrically, combining strongly lensed images and weak distortions from wider field Subaru imaging, and we incorporate member galaxies to improve the lens solution. Strongly lensed galaxies are often locally affected by member galaxies, however, these perturbations cannot be recovered in grid based reconstructions because the lensing information is too sparse to resolve member galaxies. By adding luminosity-scaled member galaxy deflections to our smooth grid we can derive meaningful solutions with sufficient accuracy to permit the identification of our own strongly lensed images, so our model becomes self consistent. We identify 11 new multiply lensed system candidates and clarify previously ambiguous cases, in the deepest optical and NIR data to date from Hubble and Subaru. Our improved spatial resolution brings up new features not seen when the weak and strong lensing effects are used separately, including clumps and filamentary dark matter around the main halo. Our treatment means we can obtain an objective mass ratio between the cluster and galaxy components, for examining the extent of tidal stripping of the luminous member galaxies. We find a typical mass-to-light ratios of M/L_B = 21 inside the r<1 arcminute region that drops to M/L_B = 17 inside the r<40 arcsecond region. Our model independence means we can objectively evaluate the competitiveness of stacking cluster lenses for defining the geometric lensing-distance-redshift relation in a model independent way.Comment: 23 pages with 25 figures Replced with MNRAS submitted version. Some figures have been corrected and minor text edit

On Gravitational Waves in Spacetimes with a Nonvanishing Cosmological Constant

We study the effect of a cosmological constant $\Lambda$ on the propagation and detection of gravitational waves. To this purpose we investigate the linearised Einstein's equations with terms up to linear order in $\Lambda$ in a de Sitter and an anti-de Sitter background spacetime. In this framework the cosmological term does not induce changes in the polarization states of the waves, whereas the amplitude gets modified with terms depending on $\Lambda$. Moreover, if a source emits a periodic waveform, its periodicity as measured by a distant observer gets modified. These effects are, however, extremely tiny and thus well below the detectability by some twenty orders of magnitude within present gravitational wave detectors such as LIGO or future planned ones such as LISA.Comment: 8 pages, 4 figures, accepted for publication in Physical Review

First preliminary tests of the general relativistic gravitomagnetic field of the Sun and new constraints on a Yukawa-like fifth force from planetary data

The general relativistic Lense-Thirring precessions of the perihelia of the inner planets of the Solar System are about 10^-3 arcseconds per century. Recent improvements in planetary orbit determination may yield the first observational evidence of such a tiny effect. Indeed, corrections to the known perihelion rates of -0.0036 +/- 0.0050, -0.0002 +/- 0.0004 and 0.0001 +/- 0.0005 arcseconds per century were recently estimated by E.V. Pitjeva for Mercury, the Earth and Mars, respectively, on the basis of the EPM2004 ephemerides and a set of more than 317,000 observations of various kinds. The predicted relativistic Lense-Thirring precessions for these planets are -0.0020, -0.0001 and -3 10^-5 arcseconds per century, respectively and are compatible with the determined perihelia corrections. The relativistic predictions fit better than the zero-effect hypothesis, especially if a suitable linear combination of the perihelia of Mercury and the Earth, which a priori cancels out any possible bias due to the solar quadrupole mass moment, is considered. However, the experimental errors are still large. Also the latest data for Mercury processed independently by Fienga et al. with the INPOP ephemerides yield preliminary insights about the existence of the solar Lense-Thirring effect. The data from the forthcoming planetary mission BepiColombo will improve our knowledge of the orbital motion of this planet and, consequently, the precision of the measurement of the Lense-Thirring effect. As a by-product of the present analysis, it is also possible to constrain the strength of a Yukawa-like fifth force to a 10^-12-10^-13 level at scales of about one Astronomical Unit (10^11 m).Comment: LaTex, 22 pages, 1 figure, 5 tables, 62 references. To appear in Planetary and Space Scienc