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Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates

Cheng, Benjamin - 2016

Aiming to study pricing of long-dated commodity derivatives, this paper presents a class of models within the Heath, Jarrow, and Morton (1992) framework for commodity futures prices that incorporates stochastic volatility and stochastic interest rate and allows a correlation structure between...

Persistent link: https://www.econbiz.de/10013002024

Pricing of Long-Dated Commodity Derivatives : Do Stochastic Interest Rates Matter?

Cheng, Benjamin - 2020

Does modelling stochastic interest rates, beyond stochastic volatility, improve pricing performanceon long-dated commodity derivatives? To answer this question, we consider futuresprice models for commodity derivatives that allow for stochastic volatility and stochastic interestrates and a...

Persistent link: https://www.econbiz.de/10012855761

The market price of risk for delivery periods : pricing swaps and options in electricity markets

Kemper, Annika; Schmeck, Maren D.; Balci, Anna KH. - 2020

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on...

Persistent link: https://www.econbiz.de/10012216375

Modelling Electricity Swaps with Stochastic Forward Premium Models

Blanco, Iván - 2017

We present a new model for pricing electricity swaps. Two general factors affect all contracts but unique risk factors affect each contract. General factors are average swap prices and deterministic trend-seasonal components, and unique factors are forward premiums. Innovations follow MNIG...

Persistent link: https://www.econbiz.de/10012966945

Simulation-based valuation of project finance : does model complexity really matter?

Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010

This paper analyzes the impact of model complexity on the net present value distribution and the expected default probability of equity investments in project finance. Model complexity is analyzed along two dimensions: simulation complexity and forecast complexity. We aim to identify model...

Persistent link: https://www.econbiz.de/10008659217

A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Račev, Svetlozar T.; Fabozzi, Frank J. - 2011

energy futures by employing historical prices of energy futures (WTI crude oil, heating oil, and natural gas futures) traded … on the New York Mercantile Exchange. The results suggest that natural gas futures trading may be more profitable than WTI … ; time probability density ; profit model ; WTI crude oil ; heating oil ; natural gas …

Persistent link: https://www.econbiz.de/10009010172

Optimization of power plant investments under uncertain renewable energy development paths : a multistage stochastic programming approach

Fürsch, Michaela; Nagl, Stephan Nikolaus; … - 2012

Electricity generation from renewable energy sources (RES-E) is supposed to increase significantly within the coming decades. However, uncertainty about the progress of necessary infrastructure investments, public acceptance and cost developments of renewable energies renders the achievement of...

Persistent link: https://www.econbiz.de/10009743587

Empirical pricing kernels and investor preferences

Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

Persistent link: https://www.econbiz.de/10003633572

Risk preference based option pricing in a fractional Brownian market

Rostek, Stefan (contributor); Schöbel, Rainer (contributor) - 2006

We focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation. The obtained formulae - as well as further results -...

Persistent link: https://www.econbiz.de/10003636687

Spectral calibration of exponential Lévy ; 1

Belomestny, Denis (contributor); Reiß, Markus (contributor) - 2006

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit...

Persistent link: https://www.econbiz.de/10003329637

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