Valuing Future Information Under Uncertainty Using Polynomial Chaos

References

• Black F., Scholes M. The effects of dividend yield and dividend policy on common stock prices and returns. J. Financial Econom. (1974) 1:1–22Crossref, Google Scholar
• Brennan M. J., Schwartz E. S. Evaluating natural resource investments. J. Bus. (1985) 58:135–157Crossref, Google Scholar
• Calvetti D., Golub G. H., Gragg W. B., Reichel L. Computation of Gauss-Kronrod quadrature rules. Math. Comput. (2000) 69(231):1035–1052Crossref, Google Scholar
• Chorn L. G., Carr P. P. The value of purchasing information to reduce risk in capital investment projects. (1997) Presented at the SPE Hydrocarbon Evaluation and Economics SymposiumMarch 16–18DallasCrossref, Google Scholar
• Chorn L. G., Croft M. Resolving reservoir uncertainty to create value. (1998) Presented at the Annual Technical Conference of the SPESeptember 27–30New OrleansCrossref, Google Scholar
• Debusschere B. J., Najm H. N., Pébay P. P., Knio O. M., Ghanem R. G., Le Maître O. P. Numerical challenges in the use of polynomial chaos representations for stochastic processes. SIAM J. Sci. Comput. (2004) 26(2):698–719Crossref, Google Scholar
• Deutsch C.Geostatistical Reservoir Modeling (2002) (Oxford University Press, New York) Applied Geostatistics SeriesGoogle Scholar
• Devroye L.Non-Uniform Random Variate Generation (1986) (Springer-Verlag, New York) Crossref, Google Scholar
• Dias M. A. G. The timing of investment in E&P: Uncertainty, irreversibility, learning and strategic consideration. (1997) Presented at the SPE Hydrocarbon Evaluation and Economics SymposiumMarch 16–18DallasCrossref, Google Scholar
• Dias M. A. G. Investment in information in petroleum: Real options and revelation. (2002) Presented at the Sixth Annual International Conference on Real OptionsJuly 4–6Paphos, CyprusGoogle Scholar
• Gallant L., Kieffel H., Chatwin R. Using learning models to capture dynamic complexiity in petroleum exploration. (1999) Presented at the 1999 SPE Hydrocarbon Economic and Evaluation SymposiumDallasCrossref, Google Scholar
• Genz A., Keister B. Fully symmetric interpolatory rules for multiple integrals over infinite regions with Gaussian weight. J. Comput. Appl. Math. (1996) 71:299–309Crossref, Google Scholar
• Ghanem R., Spanos P.Stochastic Finite Elements: A Spectral Approach (2003) (Courier Dover Publications, New York) Google Scholar
• Gibson R., Schwartz E. S. Stochastic convenience yield and the pricing of oil contingent claims. J. Finance (1990) 45:959–976Crossref, Google Scholar
• Harvey A.Forecasting, Structural Time Series Models and the Kalman Filter (1989) (University Press, Cambridge, UK) Google Scholar
• Hatchuel A., Moisdon J.-C. Modèles d'aide à la décision ou modèles d'organisation: le cas de la théorie de la décision et des invistissements pétroliers. (1997) . Technical Report, ENSMP, Centre de Gestion Scientifique, ParisGoogle Scholar
• Jaillet P., Ronn E. I., Tompaidis S. Valuation of commodity based swings. Management Sci. (2004) 50(7):909–921Link, Google Scholar
• Javaheri A., Lautier D., Galli A. Filtering in finance. Wilmott Magazine (2003) 3(May):67–83Crossref, Google Scholar
• Johnson N. L., Leone F. C.Statistics and Experimental Design in Engineering and Physical Sciences (1964) 1(J Wiley and Sons, New York) Google Scholar
• Katkovnik V., Egiazarian K., Astola J. Adaptive window size image de-noising based on intersection of confidence intervals (ICI) rule. J. Math. Imaging Vision (2002) 16:223–235Crossref, Google Scholar
• Laurie D. P. Calculation of Gauss-Kronrod quadrature rules. Math. Comput. (1997) 66:1133–1145Crossref, Google Scholar
• Li H., Zhang D. Probabilistic collocation method for flow in porous media: Comparisions with other stochastic methods. Water Resources Res. (2007) 43(W09409):1–13Google Scholar
• Luenberger D.Investment Science (1998) (Oxford University Press, Oxford, UK) Google Scholar
• Manoliu M., Tompaidis S. Energy futures prices: Term structure models with Kalman filter estimation. Appl. Math. Finance (2002) 9(1):21–43Crossref, Google Scholar
• Prange M., Armstrong M., Bailey W. J., Couët B., Djikpesse H., Wilkinson D., Galli A. Better valuation of future information under uncertainty. SPE Annual Technical Conf. Exhibition (2006) September 24–27San Antonio, TXCrossref, Google Scholar
• Pratt J. W., Raiffa H., Schlaifer R.Introduction to Statistical Decision Theory (1995) (The MIT Press, Cambridge, MA) Google Scholar
• Robert C. P.The Bayesian Choice: A Decision-Theoretic Motivation (1994) (Springer-Verlag, Berlin) Crossref, Google Scholar
• Rupert C. P., Miller C. T. An analysis of polynomial chaos approximations for modeling single-fluid-phase flow in porous medium systems. J. Comput. Phys. (2007) 226:2175–2205Crossref, Google Scholar
• Sarma P., Durlofsky L., Aziz K. Efficient closed-loop production optimization under uncertainty. SPE Europec/EAGE Annual Conf. (2005) June 13–16Madrid, SpainSPE94241Crossref, Google Scholar
• Schlee E. The value of perfect information. Theory and Decision (1991) 30:127–131Crossref, Google Scholar
• Schwartz E. S. The stochastic behaviour of commodity prices: Implications for valuation and hedging. J. Finance (1997) 52:923–973Crossref, Google Scholar
• Schwartz E. S., Smith J. E. Short-term variations and long-term dynamics in commodity prices. Management Sci. (2000) 46(7):893–911Link, Google Scholar
• Smith J. E., McCardle K. F. Options in the real world: Lessons learned in evaluating oil and gas investments. Oper. Res. (1999) 47(1):1–15Link, Google Scholar
• Tatang M. A. Direct incorporation of uncertainty in chemical and environmental engineering systems. (1995) . Ph.D. thesis, Massachusetts Institute of Technology, Cambridge, MAGoogle Scholar
• Tatang M. A., Pan W., Prinn R. G., McRae G. J. An efficient method for parametric uncertainty analysis of numerical geophysical models. J. Geophysical Res. (1997) 102(D18):21925–21932Crossref, Google Scholar
• West M., Harrison J.Bayesian Forecasting and Dynamic Models (1996) 2nd ed.(Springer-Verlag, New York) Google Scholar
• Xiu D., Karniadakis G. The Wiener-Askey polynomial chaos for stochastic differential equations. SIAM J. Sci. Comput. (2002) 24(2):619–644Crossref, Google Scholar