Showing 1 - 10 of 243
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...
Persistent link: https://www.econbiz.de/10011082464
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We analyze empirically the determinants of Eurozone Treasury bills yields. Market microstructure as well as macroeconomic variables are found to significantly impact yields. Secondary trading in a centralized transparent electronic limit order book enhances liquidity and thus reduce yields....
Persistent link: https://www.econbiz.de/10010708481
After having been considered as a public good during decades, electricity is now regarded as a tradable commodity in most developed countries. Since they were launched twenty years ago, electricity derivative markets exhibit sustained rises in their transaction volumes. Even if these markets are...
Persistent link: https://www.econbiz.de/10011099443
It is common to assert, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson Hypothesis": there is a decreasing pattern of volatilities along the prices curve. Despite some debates about statistical measurements, this...
Persistent link: https://www.econbiz.de/10010790033
This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way...
Persistent link: https://www.econbiz.de/10010905033
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The aim of this article is to give a general introduction to the theory of interacting particle methods, and an overview of its applications to computational finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to the numerical...
Persistent link: https://www.econbiz.de/10010706535
Dealing with multi-valued data has become quite common in both the framework of databases as well as data analysis. Such data can be constrained by domain knowledge provided by relations between the variables and these relations are expressed by rules. However, such knowledge can introduce a...
Persistent link: https://www.econbiz.de/10010733994
We consider a problem of derivatives design under asymmetry of information: the principal sells a contingent claim to an agent, the type of whom he does not know. More precisely, the principal designs a contingent claim and prices it for each possible agent type, in such a way that each agent...
Persistent link: https://www.econbiz.de/10010775069