REFERENCES
- ALMGREN , R. , and N. CHRISS , “ Optimal Execution of Portfolio Transactions ,” forthcoming, Journal of Risk ; also at URL http//www.math.toronto.edu /almgren/optliq , 2001 .
- AMRAM , M. , and N. KULATILAKA , Real Options , Boston Harvard Business School Press , 1999 .
- ALLEMAN , J. , and E. NOAM , (eds) , The New Investment Theory of Real Options and its Implications for Telecommunications Economics , Norwell Kluwer Academic Publishers , 1999 .
- BAXTER , M. and A. RENNIE , Financial Calculus , Cambridge University Press , Cambridge , 1996 .
- BROADEE , M. , and P. GLASSERMAN , “ A Stochastic Mesh Method for Pricing American Options ,” Working Paper , presented at the 8th Annual Derivatives Securities Conference , Boston , 1998 .
- BERTSIMAS , D. , P. HUMMEL , and A.W. Lo , “ Optimal control of execution costs for portfolios ,” Computing in Science & Engineering , Vol. 1 , No. 6 , 1999 , pp. 40 – 53 .
- BLACK , F. , and P. KARASINSKI “ Bond and option prices when short rates are log-normal ,” Financial Analysts Journal , July-August , 1991 , pp. 33 – 39 .
- COPELAND , T. , and V. ANTIKAROV , Real Options , Texere , NY , 2001 .
- CHELIOTIS , G. and C. KENYON , “ Failure contagion and Qos elasticity in bandwidth markets ,” IEEE Conference on Communications and Computer Networks 2001 , October , 2001 .
- CLAVENNA , S. , 40-gig forecast, May 1 , 2001 . www.lightreading.com.
- d'HALLUlN , Y. , P.A. FORSYTH , and K.R. VETZAL , “ Managing capacity for telecommunications networks under uncertainty ,” 4th Berlin Internet Economics Workshop, 25–26 May 2001 .
- DIXIT , A. and R. PINDYCK , Investment under uncertainty , Princeton University Press , NJ , 1994 .
- Enron The amazing disintegrating firm , The Economist , 6th December 2001 .
- HULL , J.C. , Options, Futures, & other Derivatives , 5th Edition , Prentice Hall , Toronto , 2003 .
- HISATA , Y. and Y. YAMAI , “ Research toward the practical application of liquidity risk evaluation methods ,” Monetary and Economic Studies , December 2000, pp. 83 – 128 .
- KENYON , C. and G. CHEUOTIS , “ Forward Price Dynamics and Option Designs for Network Commodities ,” Bachelier Finance Society , 2nd World Congress, Crete, June 12–15 , 2002 1.
- KENYON , C. and G. CHELIOTIS , “ Stochastic models for telecom commodity prices ,” Computer Networks , Vol. 36 , No. 5-6, 2001 , pp. 533 – 555 , Theme Issue on Network Economics .
- KEPPO , J. , “ Pricing of bandwidth derivative under network arbitrage condition ,” Eigenvalue Ltd. , working paper, in review , 2001 .
- KLOEDEN , P.E. and E. PLATEN , Numerical Solution of Stochastic Differential Equations , Springer-Verlag , New York , 1995 .
- LANNING , S. , D. MITRA , Q. WANG , and M. WRIGHT , “ Optimal planning for optical transport networks ,” Phil. Trans. Royal Soc. Part A , 2000 .
- LONGSTAFF and E. SCHWARTZ , “ Valuing American options by simulation A simple least-squares approach ,” Review of Financial Studies , Vol. 14 , No. 1 , 2001 , pp. 113 – 147 .
- LUND , M.W. , “ The Value of Flexibility in Offshore Oilfield Development Projects ,” Ph.D. thesis , Norwegian University of Science and Technology , Trondheim , 1997 .
- PHILLIPS , T. , “ Want to swap? ” Capacity , Vol. 2 , No. 3 , 2002 , pp. 22 – 29 .
- Platts Global Energy. Bandwidth Update Enron, Williams, Montana Power partnership dealt extensively in swaps to build fibre network , http//www.platts.com/bandwidth. 26 February , 2002 .
- REBONATO , R. , Interest Rate Option Models , Chichester John Wiley & Sons , 1996 .
- STANZL , W. and G. HuBERMAN . “ Arbitrage-free price-update and price-impact functions ,” International Center for Finance , Yale University , Working Paper No. ICF-00-20 , 2000 .
- SHAW , W. , Modeling Financial Derivatives with Mathematica , Cambridge University Press , 1998 .
- SCHWARTZ and J. SMITH , “ Short-term variations and long-term dynamics in commodity prices ,” Management Science , 2000 , pp. 893 – 911 .
- Tarifica Inc. , Bandwidth Price Tracking Service, http//www.tarifica.com/msseminar/tracking.asp . 2002 .
- Telegeography Inc. , Bandwidth Pricing Database Service , http//www.telegeoCTaDhv.conT/products/db/bpd . 2002 .
- THOMPSON , V. , “ Boom or bust ,” Nov./Dec . 2000 , Emap Business Publications , London , UK .
- TRIGEORGIS , L. , editor , Real Options and Business Strategy , Risk Books , London , 1999 .
- TSITSIKLIS , J.N. , B. VAN ROY , “ Regression methods for pricing complex American-style options ,” 2001 , working paper citeseer.nj.nec.com/tsitsiklisOOregression.html .