We find empirical evidence that mean-reverting jump processes are not statistically adequate to model electricity spot price spikes but independent, signed sums of such processes are statistically adequate. Further we demonstrate a change in the composition of these sums after a major economic...

We explain the evolution of the volatility market and present the infamous day of `Volmageddon' as an insightful case study. Our survey focuses on the pricing and trading of volatility-linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order...

This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self-financing strategies rebalance the portfolio over time so as to keep constant the proportions of wealth invested in various assets. The main result is that wealth can be grown...

We explain the evolution of the volatility market and present the infamous day of 'Volmageddon' as an insightful case study. Our survey focuses on the pricing and trading of volatility linked assets, highlighting the impact of mechanical hedging in markets for futures and higher-order...