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CARPANTIER, Jean - François - Center for Operations Research and Econometrics (CORE), … - 2010

Asymmetric GARCH models were developped for equity stocks to take into account the larger response of the conditional variance to negative price shocks. We show that these asymmetric GARCH models are also relevant for modelling commodity prices. Contrary to the equity case, positive shocks are...

Persistent link: https://www.econbiz.de/10008642223

Option pricing with asymmetric heteroskedastic normal mixture models

ROMBOUTS, Jeroen V. K.; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2010

This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models …, and allow for substantial negative skewness and time varying higher order moments of the risk neutral distribution. When … forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to …

Persistent link: https://www.econbiz.de/10008836162

The asymmetric commodity inventory effect on the optimal hedge ratio

CARPANTIER, Jean-François; SAMKHARADZE, Besik - Center for Operations Research and Econometrics (CORE), … - 2012

Hedging strategies for commodity prices largely rely on dynamic models to compute optimal hedge ratios. This paper illustrates the importance of considering the commodity inventory effect (effect by which the commodity price volatility increases more after a positive shock than after a negative...

Persistent link: https://www.econbiz.de/10010927672

Bayesian option pricing using asymmetric GARCH

BAUWENS, LUC; LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), … - 1997

This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for the dynamics of the return and of the volatility of the underlying asset. The proposed evaluation of an option is the predictive expectation of its payoff function. The...

Persistent link: https://www.econbiz.de/10005008451

The valuation of power futures based on optimal dispatch

DE MAERE D’AERTRYCKE, Gauthier; SMEERS, Yves - Center for Operations Research and Econometrics (CORE), … - 2009

The pricing of contingent claims in the wholesale power market is a controversial topic. Important challenges come from the non-storability of electricity and the number of parameters that impact the market. We propose an equilibrium model based on the fundamentals of power generation. In a...

Persistent link: https://www.econbiz.de/10008550161

Liquidity risks on power exchanges

DE MAERE D’AERTRYCKE, Gauthier; SMEERS, Yves - Center for Operations Research and Econometrics (CORE), … - 2010

Financial derivatives are important hedging tool for asset’s manager. Electricity is by its very nature the most volatile commodity, which creates big incentive to share the risk among the market participants through financial contracts. But, even if volume of derivatives contracts traded on...

Persistent link: https://www.econbiz.de/10008550162

Multivariate option pricing with time varying volatility and correlations

ROMBOUTS, Jeroen J. K; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2010

models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the … options on the minimum of two indices. Our results show that not only is correlation important for these options but so is …

Persistent link: https://www.econbiz.de/10008550198

Bayesian option pricing using mixed normal heteroskedasticity models

ROMBOUTS, Jeroen V.K.; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2009

Persistent link: https://www.econbiz.de/10008494365

On the forecasting accuracy of multivariate GARCH models

LAURENT, Sébastien; ROMBOUTS, Jeroen V. K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2010

This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems. We consider 10 assets from NYSE and NASDAQ and compare 125 model based one-step-ahead conditional variance...

Persistent link: https://www.econbiz.de/10008642224

The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options

ROMBOUTS, Jeroen V. K.; STENTOFT, Lars; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on …

Persistent link: https://www.econbiz.de/10010610494