Search Results - subject:"Normal inverse Gaussian process"

Stochastic modeling of wind derivatives with application to the Alberta energy market

Warunasinghe, Sudeesha; Sviščuk, Anatolij - In: Risks : open access journal 12 (2024) 2, pp. 1-26

Wind-power generators around the world face two risks, one due to changes in wind intensity impacting energy production, and the second due to changes in electricity retail prices. To hedge these risks simultaneously, the quanto option is an ideal financial tool. The natural logarithm of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014497409

Closed-form option pricing for exponential Lévy models : a residue approach

Aguilar, Jean-Philippe; Kirkby, Justin Lars - In: Quantitative finance 23 (2023) 2, pp. 251-278

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014232627

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein-Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011996614

Stochastic modeling of wind derivatives in energy markets

Benth, Fred Espen; Di Persio, Luca; Lavagnini, Silvia - In: Risks : open access journal 6 (2018) 2, pp. 1-21

We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011867386

Explicit option valuation in the exponential NIG model

Aguilar, Jean-Philippe - In: Quantitative finance 21 (2021) 8, pp. 1281-1299

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012608646

Multivariate marked poisson processes and market related multidimensional information flows

Jevtić, Petar; Marena, Marina; Semeraro, Patrizia - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-26

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012013851

Drawdown measures and return moments

Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011957033

Option pricing for symmetric Lévy returns with applications

Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010511553

Time series models for credit default swap premiums

Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011380101

Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion

Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied Mathematical Finance 17 (2010) 4, pp. 301-321

The main purpose of this article is to propose computational methods for Greeks and the multidimensional density estimation for an asset price dynamics model defined with time-changed Brownian motions. Our approach is based on an application of the Malliavin integration-by-parts formula on the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008675009