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(Research report / Forskningsrapport, 2005)
We propose a spatial-temporal stochastic model for daily average temperature data. First we build a model for a single spatial location, independently on the spatial information. The model includes trend, seasonality and ...
(Research report / Forskningsrapport, 2004)
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 ...
(Research report / Forskningsrapport, 2013)
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) ...
(Research report / Forskningsrapport, 2003)
We model spot prices in energy markets with exponential non-Gaussian Ornstein-Uhlenbeck processes. We generalize the classical geometric Brownian motion and Schwartz' mean-reversion model by introducing Lévy processes as ...
(Research report / Forskningsrapport, 2005)
This paper presents an analytic approximation for the pricing dynamics of spark spread options in terms of Fourier transforms. We propose to model the spark spread, that is, the price difference of electricity and gas, ...
(Research report / Forskningsrapport, 2007)
In recent decades, there has been a growing interest for utility indifference based approaches to solve the question of pricing of derivatives in incomplete markets. In this paper we consider a stochastic volatility model ...
(Research report / Forskningsrapport, 1993)
(Research report / Forskningsrapport, 2010)
We study the robustness of option prices to model variation within a jump-diffusion framework. In particular we consider models in which the small variations in price dynamics are modeled with a Poisson random measure with ...
(Research report / Forskningsrapport, 2008)
Electricity is a commodity which is non-storable, and therefore difficult to move forward in time. Hence, forward looking information about market conditions is not necessarily incorporated in today's prices, and the typical ...
(Research report / Forskningsrapport, 2010)
We study the robustness of option prices to model variation after a change of measure where the measure depends on the model choice. We consider geometric Lévy models in which the infinite activity of the small jumps is ...