We consider the problem of jointly optimizing the daily production planning and energy supplymanagement of an industrial complex, with manufacturing processes, renewable energies and energystorage system. It is naturally formulated as a mixed-integer multistage stochastic problem. This problem...

We apply the concepts of utility based pricing and hedging of derivatives in stochastic volatility markets and introduce a new class of "reciprocal affine" models for which the indifference price and optimal hedge portfolio for pure volatility claims are efficiently computable. We obtain a...

Utility based methods provide a very general theoretically consistent approach to pricing and hedging of securities in incomplete financial markets. Solving problems in the utility based framework typically involves dynamic programming, which in practise can be difficult to implement. This...

We propose a discrete time algorithm for the valuation of employee stock options based on exponential indifference prices and taking into account both the possibility of partial exercise of a fraction of the options and the use of a correlated traded asset to hedge part of their risk. We...

In this we paper we recast the Cox--Ingersoll--Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the ``squared Gaussian representation'' of the CIR model, we find a simple expression for the fundamental random variable X....