The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to...

Based on a non-Gaussian Ornstein–Uhlenbeck model for energy spot, we derive prices for Asian and spread options using Fourier techniques. The option prices are expressed in terms of the Fourier transform of the payoff function and the characteristic functions of the driving noises, being...

Asset Liability Management (ALM) is an essential risk management technique in Quantitative Finance and Actuarial Science. It aims to maximise a risk-taker's ability to fulfil future liabilities. ALM is especially critical in environments of elevated interest rate changes, as has been experienced...