This thesis presents our study on using the hybrid stochastic-local volatility model for option pricing. Many researchers have demonstrated that stochastic volatility models cannot capture the whole volatility surface accurately, although the model parameters have been calibrated to replicate...

In this paper, we present our study on a hybrid stochastic volatility model incorporating local volatility for pricing options in the foreign exchange (FX) market. The hybrid stochastic-local volatility model (SLV) could match the implied volatility surface well and meanwhile shows the...

We study a competitive market for a homogeneous good, in which the only uncertainty concerns the number of identical sellers, who are sampled by a finite Poisson process from a continuum of potential participants. It is shown that, in equilibrium, there is price dispersion. Specifically, prices...

This work aims to demonstrate how a trifactorial stochastic model, which we call CIR3, can be turned into a forecasting tool to predict changes in the industrial production of electric and gas utilities. The model accounts for several stylized facts such as the mean reversion of both the process...

In northern Europe wind energy became a dominating renewable energy source due to natural conditions and national support schemes. However, the uncertainty about wind generation affects existing network infrastructure and power production planning of generators and cannot not be fully diminished...

The integrated provision of energy among various energy sectors plays an important role in the process of decarbonisation of large energy systems. An important pillar is thereby the decarbonisation of the heat sector, where nowadays still a large percentage of heat supply originates from...

The profitable exploitation of asset portfolios in the European electricity markets has become more challenging in recent years. This is particularly true for combined heat and power (CHP) generation units that are often facing must-run conditions due to heat demands that need to be satisfied....

The standard Ricardian model of competition has a fixed number of firms, each with limited capacity and differential exogenous costs or qualities. In this paper, we introduce a real entry process by formulating a multistage Ricardian equilibrium model with free entry and stochastic product...