We present three approaches to value American continuous-installment options written on assets without dividends or with continuous dividend yield. In an American continuous-installment option, the premium is paid continuously instead of up-front. At or before maturity, the holder may terminate...

The interdependence of financial markets combined with their volatility make the multivariate GARCH model a suitable econometric framework for analysing their behaviour. However, the non-availability of analytical derivatives in a general context and the computational heaviness resulting from a...

Constant improvement of computing facilities creates a trend to build always larger macroeconomic models. To master these huge and complex models, much effort must be spent to investigate their functioning, mostly by means of simulations or perturbations of their original structure. Such...

Climate change affects hydropower production by modifying total annual inflow volumes and their seasonal distribution. Moreover, increasing air temperatures impact electricity consumption and, as a consequence, electricity prices. All together, these phenomena may lead to a loss in revenue. We...