Most popular approaches for modeling electricity prices rely at present on microeconomics rationale. They aim to study the interaction between decisions of agents in the market, and usually represent the impact of uncertainty in such decisions in a simplified way. The usual methodology of...

A class of mean reverting positive stochastic processes driven by alpha-stable distributions, 1=alpha2, are discussed. They are referred to as alpha-root processes in analogy to the square root process or the Cox-Ingersoll-Ross process derived from the Brownian motion. They are affine models in...

A class of mean reverting positive stochastic processes driven by alpha-stable distributions are discussed. A subclass of affine processes, they are referred to here as alpha-root processes in analogy to the square root process or the Cox-Ingersoll-Ross process derived from the Brownian motion....

A class of mean reverting positive stochastic processes driven by alpha-stable distributions, referred to here as alpha-root processes in analogy to the square root process (Cox-Ingersoll-Ross process), is a subclass of affine processes, in particular continuous state branching processes with...

A class of mean reverting positive stochastic processes driven by alpha-stable distributions, referred to here as alpha-root processes in analogy to the square root process (Cox-Ingersoll-Ross process), is a subclass of affine processes, in particular continuous state branching processes with...

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the...

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the...

The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised upon default of counterparty, on MtM of the...