Concept

Rational pricing

Related publications (43)

Arbitraging Intraday Wholesale Energy Market Prices With Aggregations of Thermostatic Loads

We investigate the potential for aggregations of residential thermostatically controlled loads (TCLs), such as air conditioners, to arbitrage intraday wholesale electricity market prices via non-disruptive load control. We present two arbitrage approaches: ...

2015

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

Martin Larsson

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...

Inst Mathematical Statistics2014

Essays on asset pricing with preference heterogeneity

Giuliano Antonio Curatola

Investors' inheterogeneity is one of the prevailing features on financial markets. Thus, the recent asset pricing literature has produced a number of general equilibrium models where agents have different preferences. This thesis analyzes the effect of pre ...

EPFL2013

Modeling options for demand side participation of thermostatically controlled loads

Maryam Kamgarpour, John Lygeros

Residential thermostatically controlled loads (TCLs) have potential for participation in electricity markets. This is because we can control a large group of these loads to achieve aggregate system behavior such as providing frequency reserves while ensuri ...

IEEE2013

Conditional Density Models for Asset Pricing

Damir Filipovic

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

World Scientific Publishing2012

Natural Expectations, Macroeconomic Dynamics, and Asset Pricing

Andreas Fuster

How does an economy behave if (1) fundamentals are truly hump-shaped, exhibiting momentum in the short run and partial mean reversion in the long run, and (2) agents do not know that fundamentals are hump-shaped and base their beliefs on parsimonious model ...

University of Chicago Press2012

Affine Processes On Positive Semidefinite Matrices

Damir Filipovic

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 ...

Institute of Mathematical Statistics2011

Donut as I do: Learning from Failed Demonstrations

Aude Billard, Daniel Grollman

The canonical Robot Learning from Demonstration scenario has a robot observing human demonstrations of a task or behavior in a few situations, and then developing a generalized controller. Current work further reﬁnes the learned system, often to perform th ...

2011

Term Structure Models Driven by Wiener Process and Poisson Measures: Existence and Positivity

Damir Filipovic

In the spirit of Bjork-DiMasi-Kabanov-Runggaldier, we investigate term structure models driven by Wiener process and Poisson measures with forward curve dependent volatilities. This includes a full existence and uniqueness proof for the corresponding Heath ...

2010

Option Pricing with Model-Guided Nonparametric Methods

Loriano Mancini

Parametric option pricing models are largely used in Finance. These models capture several features of asset price dynamics. However, their pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches that ...

American Statistical Association2009

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