Generalized Linear Mixed Models (GLMMs) extend the framework of Generalized Linear Models (GLMs) by including random effects into the linear predictor. This will achieve two main goals ofincorporating correlation and allowing broader inference. This thesis investigates estimation of fixed...

In this thesis, one methodology for natural gas storage valuation is developed and two methodologies are improved. Then all of the three methodologies are applied to a storage contract. The first methodology is called "intrinsic rolling with spot and forward", which takes both the spot and...

This thesis is a collection of three essays in empirical studies on derivatives. In the first chapter, I investigate whether credit default swap spreads are affected by how the total risk is decomposed into the systematic risk and the idiosyncratic risk for a given level of the total risk. The...