We present a new multi-factor short rate model which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein-Uhlenbeck processes such that the related bond price possesses an affine representation. We also provide...

We prove an anticipative sufficient stochastic minimum principle in a jump process setup with initially enlarged filtrations. We apply the result to several portfolio selection problems like mean and minimal variance hedging under enlarged filtrations. We also investigate utility maximizing...

We propose an innovative multi-curve model involving interest rates and (ordered) spreads which are modeled by arithmetic martingale processes being larger than some arbitrarily chosen constant. Under our mean-reverting pure-jump approach, we derive tractable martingale representations for the...

Many electricity markets exhibit an oligopolistic structure with market participants whose individual trading activities may shift prices essentially. In this context, the question of how to optimally liquidate an existing electricity futures portfolio over a fixed time horizon under the...

In a general jump-diffusion Radon-Nikodym setup with stochastic Girsanov processes, we derive optimal equivalent probability measures. Optimality is measured in terms of minimum relative entropy and also by more general divergence concepts. We further prove an anticipative sufficient stochastic...

We provide solution formulas for (linear and non-linear) jump-diffusion backward stochastic differential equations (BSDEs) under diverse enlarged filtration approaches. We also derive a comparison theorem for BSDEs in an enlarged filtration framework and present several applications of our...

In this paper, we present an innovative electricity spot price model, wherein the prices explicitly depend on the realized wind power production. The proposed arithmetic multi-factor approach captures numerous stylized facts of empirical spot price behavior like seasonal variations,...

In this paper, we prove a sufficient stochastic maximum principle for continuous-state branching processes with immigration (so-called CBI processes). We apply the result to several stochastic control problems stemming from finance and epidemiology

In this paper, we investigate the following problem: How can a financial institution, which has sold an option to a client, optimally hedge the payoff of this option by investing into a stock and into the option itself? Optimality is measured in terms of minimal variance and the associated...

In this paper, we present an arithmetic short rate model based on generalized Langevin equations. The innovative feature of the model is that it accounts for memory effects in interest rate markets via the involved Langevin processes. In this setup, we provide a representation for the related...