The wavelet transform is used to identify a biannual and an annual seasonality in the Phelix Day Peak and to separate the long-term trend from its short-term motion. The short-term/long-term model for commodity prices of Schwartz & Smith (2000) is applied but generalised to account for weekly...

To bridge the gap between the output of theoretical option pricing models and observed option prices on exchanges, it is necessary to price the volatility risk inherent in financial markets. Non zero market risk premia have been found in previous financial literature through an exploration of...

Both deterministic and stochastic volatility models have been used to price and hedge European options. Observation of real market data suggests that volatility, while stochastic, is well modelled to alternate between just two states. We consider a set of coupled pricing partial differential...

Markets where asset prices follow processes with jumps are incomplete and any portfolio hedging against large movements in the price of the underlying asset must include other instruments. The standard approach in literature is to minimize the price variance of the hedging portfolio under a...