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Pricing currency derivatives with Markov-modulated Lévy dynamics

Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76

Persistent link: https://www.econbiz.de/10010402730

Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate

Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278

Persistent link: https://www.econbiz.de/10011312416

Weather derivatives with applications to Canadian data

Sviščuk, Anatolij; Cui, Kaijie - In: Journal of mathematical finance 3 (2013) 1, pp. 81-95

Persistent link: https://www.econbiz.de/10010240221

Variance and volatility swaps and futures pricing for stochastic volatility models

Sviščuk, Anatolij; Wang, Zijia - In: Financial mathematics, volatility and covariance modelling, (pp. 95-121). 2019

Persistent link: https://www.econbiz.de/10012249105

Stochastic modeling of wind derivatives with application to the Alberta energy market

Warunasinghe, Sudeesha; Sviščuk, Anatolij - In: Risks : open access journal 12 (2024) 2, pp. 1-26

Wind-power generators around the world face two risks, one due to changes in wind intensity impacting energy production, and the second due to changes in electricity retail prices. To hedge these risks simultaneously, the quanto option is an ideal financial tool. The natural logarithm of...

Persistent link: https://www.econbiz.de/10014497409