Showing 1 - 6 of 6
This paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still...
Persistent link: https://www.econbiz.de/10011071875
This article analyzes long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the error associated with the hedge ratios. Different strategies, with maturities up to seven years, are tested...
Persistent link: https://www.econbiz.de/10011166328
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...
Persistent link: https://www.econbiz.de/10011166403
We investigate in this paper the recovery of the local volatility surface in a parametric framework similar to that of Coleman, Li and Verma [4]. The quality of a surface is assessed through a functional which is optimized; the specificity of the approach is to separate the optimization on the...
Persistent link: https://www.econbiz.de/10010905049
This article analyses long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the errors associated to the hedge ratios. Different strategies, with maturities up to seven years, are tested...
Persistent link: https://www.econbiz.de/10010707938
fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by …
Persistent link: https://www.econbiz.de/10010708652