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Calibration of temperature futures by changing the mean reversion

Benth, Fred Espen; Ortiz-Latorre, Salvador - In: The journal of energy markets 10 (2017) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011999391

Calibration of Temperature Futures by Changing the Mean Reversion

Benth, Fred Espen - 2015

In this work we conduct a study on the calibration of futures contracts on temperature indices. We consider a continuous-time autoregressive dynamics for the deseasonalized temperatures and a pricing measure allowing for a simultaneous change of the level and speed of mean reversion in the risk...

Persistent link: https://www.econbiz.de/10013025891

Weak approximations : a Malliavin calculus approach

Kohatsu-Higa, Arturo - 1999

Persistent link: https://www.econbiz.de/10001371928

Models for insider trading with finite utility

Kohatsu-Higa, Arturo - In: Paris Princeton lectures on mathematical finance 3 (2004), pp. 103-171

Persistent link: https://www.econbiz.de/10009357089

Local volatility changes in the Black-Scholes model

Bermin, Hans-Peter; Kohatsu-Higa, Arturo - 1999

Persistent link: https://www.econbiz.de/10001425316

Asymptotic behaviour of the density in a parabolic SPDE

Kohatsu-Higa, Arturo; Márquez-Carreras, D.; Sanz-Solé, M. - 1999

Persistent link: https://www.econbiz.de/10001372054

Local vega index and variance reduction methods

Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-97

Persistent link: https://www.econbiz.de/10001765651

Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options

Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113

Persistent link: https://www.econbiz.de/10001765655

On moments and tail behaviors of storage processes

Kohatsu-Higa, Arturo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001747502

Variance reduction methods for simulation of densities on Wiener space

Kohatsu-Higa, Arturo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001637705

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