Luis H. R. Alvarez - researchr alias

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Viewing Publication 1 - 13 from 13

2017

Expected Supremum Representation of the Value of a Singular Stochastic Control ProblemLuis H. R. Alvarez, Pekka Matomäki. siamco, 55(6):3908-3927, 2017. [doi]

2014

A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump DiffusionsLuis H. R. Alvarez, Pekka Matomäki, Teppo A. Rakkolainen. siamco, 52(4):2224-2249, 2014. [doi]

Optimal Stopping of the Maximum ProcessLuis H. R. Alvarez, Pekka Matomäki. jap, 51(3):818-836, 2014. [doi]

2010

Irreversible capital accumulation under interest rate uncertaintyLuis H. R. Alvarez. mmor, 72(2):249-271, 2010. [doi]

2009

Optimal payout policy in presence of downside riskLuis H. R. Alvarez, Teppo A. Rakkolainen. mmor, 69(1):27-58, 2009. [doi]

2008

On the Optimal Stochastic Impulse Control of Linear DiffusionsLuis H. R. Alvarez, Jukka Lempa. siamco, 47(2):703-732, 2008. [doi]

2004

Stochastic Forest Stand Value and Optimal Timber HarvestingLuis H. R. Alvarez. siamco, 42(6):1972-1993, 2004. [doi]

2003

On the Convexity and Risk-Sensitivity of the Price of American Interest Rate DerivativesLuis H. R. Alvarez. siamam, 63(3):923-936, 2003. [doi]

2002

The impact of delivery lags on irreversible investment under uncertaintyLuis H. R. Alvarez, Jussi Keppo. eor, 136(1):173-180, 2002. [doi]

2001

Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable ProblemsLuis H. R. Alvarez. siamco, 39(6):1697-1710, 2001. [doi]

Solving optimal stopping problems of linear diffusions by applying convolution approximationsLuis H. R. Alvarez. mmor, 53(1):89-99, 2001. [doi]

Reward functionals, salvage values, and optimal stoppingLuis H. R. Alvarez. mmor, 54(2):315-337, 2001. [doi]

1999

Optimal exit and valuation under demand uncertainty: A real options approachLuis H. R. Alvarez. eor, 114(2):320-329, 1999. [doi]

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