This work presents a review of modeling techniques for pricing in incomplete markets and managing liquidity costs. We go through a variety of financial models and mathematical aspects related to market liquidity. We present in Chapter 1 the temporary liquidity modeling proposed by Çetin, Jarrow...

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum principle. Our explicit results are particularly useful...

In this paper, we present a new precipitation model based on a multi-factor Ornstein-Uhlenbeck approach of pure-jump type. In this setup, we derive a representation for the related precipitation swap price process and infer its risk-neutral time dynamics. We further deduce a pricing formula for...

With view on global warming and the ongoing climate change, weather derivatives play an increasingly important role for many companies and financial investors, as they constitute useful hedging instruments against disadvantageous weather conditions. In this paper, we present a new temperature...

According to the macro-econometric literature, the impact of exogenous oil price shocks on Inflation have greatly increased in the last two decades throughout OECD countries while the persistence of those shocks on long-term inflation, namely core inflation, has dramatically decreased. In the...

The aim of this study is to examine the inflation-hedging characteristics of real estate investments with a view to providing information that will help investors in making informed investment decisions. The theoretical research approach was adopted for this study. During periods of high...