In the present paper, we convert the usual <italic>n</italic>-step backward recursion that arises in option pricing into a set of independent integral equations by using a <italic>z</italic>-transform approach. In order to solve these equations, we consider different quadrature procedures that transform the integral equation...

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

Galluccio and Roncoroni (2006) empirically demonstrate that cross-sectional data provide relevant information when assessing dynamic risk in fixed income markets. We put forward a theoretical framework supporting that finding based on the notion of "shape factors". We devise an econometric...