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Course module: 230365-M-3
230365-M-3
Strategic Real Options Theory (CentER)
Course info
Course module230365-M-3
Credits (ECTS)3
CategoryMA (Master)
Course typeCourse
Language of instructionEnglish
Offered byTilburg University; Tilburg School of Economics and Management; TiSEM: Econometrics and OR; Econometrics & Operations;
Is part of
M Research Master in Business
M Research Master in Economics
Contact personprof. dr. P.M. Kort
Lecturer(s)
Lecturer
prof. dr. K.J.M. Huisman
Other course modules lecturer
Coordinator course
prof. dr. P.M. Kort
Other course modules lecturer
Lecturer
prof. dr. P.M. Kort
Other course modules lecturer
Academic year2019
Starting block
BLOK 4
Course mode
Full-time
Remarks-
Registration openfrom 23/03/2020 up to and including 21/08/2020 23:59
Aims
To gain knowledge on capital investment decisions of firms, while taking into account the effects of time, uncertainty, and competition.

Specifics

All non-CentER students should ask formal permission from the Director of Graduate Studies in Economics BEFORE the start of the course.
Please send your request for permission including grade list, CV and motivation letter to CentER Graduate School at center-gs@uvt.nl. Note that asking permission is not just a formality.

Required Prerequisites

A solid background in micro-economics, such as Micro-economics 1, 2 and 3 in the CentER Research Master Economics year 1 program
Content
After an introduction in the topic, we continue treating stochastic processes and dynamic programming. In particular we talk about Brownian motion, Poisson process, Ito's lemma, the Bellman equation in continuous time, optimal stopping, value matching, and smooth pasting. Based on this material we analyze the basic real option model, which is a single decision maker problem. This is followed by treating the problem of making capital investment decisions in an oligopoly framework. This topic requires a merger between game theory and real options. For the final assignment one has to study and extend one of the papers on strategic real options theory that has recently appeared in the literature.
Type of instructions
lectures
Type of exams
A final assignment

Compulsory Reading
  1. A.K. Dixit and R.S. Pindyck, Investment under Uncertainty, Princeton University Press, second printing 1996.

Recommended Reading
  1. P.M. Kort, Real Options Basic Theory, 2018.
  2. P.M. Kort, Real Options Capacity Optimization, 2018.
Course available for exchange students
Research Master level, conditions apply
Required materials
-
Recommended materials
-
Tests
Paper

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