We analyze cointegration in commodity markets, and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term ...

We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading in the underlying future is restricted. Liquid trading in the future is only possible up to the start ...

Based on forward curves modelled as Hilbert-space valued processes, we analyze the pricing of various options relevant in energy markets. In particular, we connect empirical evidence about energy forward prices known from ...

Published by Palgrave Macmillan. Reproduced with permission of Palgrave Macmillan. This extract is taken from the author's original manuscript and has not been edited. The definitive, published, version of record is available ...

We investigate multivariate subordination of Lévy processes which was first introduced by Barndorff-Nielsen et al. [O.E. Barndorff-Nielsen, F.E. Benth, and A. Veraart, Modelling electricity forward markets by ambit fields, ...

In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated ...

The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial ...

We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) ...

We analyze the classical Merton's portfolio optimization problem when the risky asset follows an exponential Ornstein-Uhlenbeck process, also known as the Schwartz mean-reversion dynamics. The corresponding Hamilton-Jacobi-Bellman ...