Publication
Efficient Pricing of Energy Derivatives
Related publications (63)
Value Estimation versus Effort Mobilization: A General Dissociation between Ventromedial and Dorsomedial Prefrontal Cortex
Deciding on a course of action requires both an accurate estimation of option values and the right amount of effort invested in deliberation to reach suf fi cient con fi dence in the fi nal choice. In a previous study, we have provided evidence, across a s ...
Soc Neuroscience2024How Integrated are Credit and Equity Markets? Evidence from Index Options
Pierre Collin Dufresne, Jan Benjamin Junge
We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...
Hoboken2024Takeover Protections and Asset Prices
We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...
Catonsville2024Closed form approximation methods for portfolio valuation and risk management
In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...
EPFL2023Exchange options with stochastic liquidity risk
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
PERGAMON-ELSEVIER SCIENCE LTD2023Illiquidity and Higher Cumulants
Semyon Malamud, Alberto Mokak Teguia
We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...
OXFORD UNIV PRESS INC2022Skew-Brownian motion and pricing European exchange options br
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
ELSEVIER SCIENCE INC2022Comparison of Remote Subjective Assessment Strategies in the Context of the JPEG Pleno Point Cloud Activity
In this work we compare two different options to perform on-line subjective quality assessment experiments in the context of the Call for Evidence on JPEG Pleno Point Cloud Coding. A deep-learning based point cloud codec submitted to the Call was tested ag ...
IEEE2021A term structure model for dividends and interest rates
Damir Filipovic, Sander Félix M Willems
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. ...
WILEY2020Informed Trading in the Stock Market and Option Price Discovery
When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...
2020