We solve the problem of pricing and hedging Asian-style options on energy with a quadratic risk criterion when trading in the underlying future is restricted. Liquid trading in the future is only possible up to the start of a so-called delivery period. After the start of the delivery period, the...

We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hilbert space of real-valued function on the positive real line, which is the state space for the term structure...

Cover -- Title Page -- Copyright -- Contents -- List of Tables -- List of Figures -- Preface -- About the Author -- Acknowledgments -- Chapter 1: Foreign Exchange Derivatives -- 1.1 Literature Review -- 1.2 A Journey through the History of Options -- 1.3 Currency Options -- 1.4 Technical Issues...