We propose a non-symmetric copula to model the evolution of electricity and gas prices by a bivariate non-Gaussian autoregressive process. We identify the marginal dynamics as driven by normal inverse Gaussian processes, estimating them from a series of observed UK electricity and gas spot data....

A family of generalized driftless uncorrelated SABR-like models are classified according to the dimensions of the symmetry groups of their corresponding backward Kolmogorov equations. This family contains the original uncorrelated SABR models, for arbitrary positive beta, as special cases. New...

In a follow up to a previous paper where a model was presented for intra-day volume dynamics, we use wavelet decomposition for model parameter estimation. We run Monte-Carlo simulations of the model with these estimated parameters and compare with observed volume curves. This model in its...

In this paper we present a Markov-Functional hybrid interest rate/foreign exchange model that allows calibration to given market volatility surfaces in both dimensions simultaneously. This is achieved by extending the approach introduced by Fries and Rott by a functional for the foreign exchange...

Most electricity markets exhibit high volatilities and occasional distinctive price spikes, which result in demand for derivative products which protect the holder against high prices. In this paper we examine a simple spot price model that is the exponential of the sum of an Ornstein-Uhlenbeck...

We extend the theory of super-replicating a European option by relaxing its two main assumptions: we take into account the constraints on trading the option and allow it to be traded inter-temporally. The first extension has a dramatic effect on the price of a portfolio hedging the option, while...