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Local parametric analysis of hedging in discrete time

Publications associées (56)

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One of the options considered for the ECFA-CERNNuPECC design study for a Large Hadron electron Collider (LHeC) based on the LHC is adding a recirculating energy-recovery linac tangential to the LHC. First designs of the electron Final Focus System have sho ...

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Hedging Electricity Swing Options in Incomplete Markets

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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 ...

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Affine Processes On Positive Semidefinite Matrices

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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 ...

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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 ...

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This paper aims to perform a real options valuation of fusion energy R&D programme. Strategic value of thermonuclear fusion technology is estimated here based on the expected cash flows from construction and operation of fusion power plants and the real op ...

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Variance Risk Premia in Energy Commodities

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This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust model-independent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for b ...

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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 ...

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Face à l’accélération du processus d’étalement urbain et aux changements significatifs du paysage qui en découlent en Europe, cet article s’interroge sur la possibilité de trouver des indicateurs permettant de mettre en évidence les régions sujettes à l’ét ...

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Equilibrium Driven by Discounted Dividend Volatility

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We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diﬀu- sion. We introduce a new, intrinsic characte ...

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Can interest rate volatility be extracted from the cross section of bond yields?☆

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Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine thr ...

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