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The deregulation of electricity markets renders public utilities vulnerable to the high volatility of electricity spot prices. This price risk is effectively mitigated by swing options, which allow the option holder to buy electric energy from the option w ...
This paper considers the pricing and hedging of collateralized debt obligations (CDOs). CDOs are complex derivatives on a pool of credits which we choose to analyse in the top down model proposed in Filipovic et al. (Math. Finance, forthcoming, 2009). We r ...
Springer-Verlag New York, Ms Ingrid Cunningham, 175 Fifth Ave, New York, Ny 10010 Usa2010
We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-s ...
This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finan ...
Existing methods for demand response either assume direct control of appliances by supplier, or assume that consumers adapt their load by reacting to pricing signals. The former are intrusive and might not scale well; the latter expose consumers to price v ...
Is the human brain wired for wealth? The setting is the high-velocity financial environment. Undoubtedly, the development of sophisticated derivative instruments has improved the allocation of risk across economies, highlighting the nexus between banking a ...
We develop a model for pricing expropriation risk in natural resource projects, in particular an oil field. The government is viewed as holding an American-style option to expropriate the oil field, but facing the following three possible expropriation cos ...
High-temperature superconductivity remains arguably the greatest enigma of condensed matter physics. The discovery of iron-based high-temperature superconductors [1, 2] has renewed the importance of understanding superconductivity in materials susceptible ...
Institute of Physics (IoP) and Deutsche Physikalische Gesellschaft2012
Stochastic resonance in a fundamental single-electron circuit, i.e., a balanced pair of single-electron boxes, is observed and presented theoretically, where the signal-to-noise ratio (SNR) of the internal states stimulated by responding to a periodic subt ...
Cet article présente une méthodologie pour automatiser la spécification des réseaux de transport adaptés pour la géo-simulation d'itinéraires multimodaux avec TransCAD afin d'évaluer les coûts généralisés de déplacements individuels en milieu urbain. Trois ...
