We investigate the pricing of swing options in a model where the logarithm of the spot price is the sum of a deterministic seasonal trend and an Ornstein-Uhlenbeck process driven by a jump diffusion. First we calibrate the model to Nord Pool electricity market data. Second, the existence of an...

We extend the single period structural model from Kjaer \cite{mk2017c} to continuous time. The resulting valuation adjustment formulas look as expected and are to be evaluated under a dealer financing probability measure. We also show what it means to hedge the capital valuation adjustment

Understanding the interaction between a new derivative, its financing and the wider balance sheet during pricing is critical for dealer profitability. For this purpose we extend a single period structural balance sheet model developed in Andersen, Duffie and Song to include equity financing...

In this article we expand the semi-replication framework by Burgard and Kjaer to derivative books with multiple counterparties. We then find the funding strategy that corresponds to the recent funding value adjustment accounting proposal by Albanese and Andersen. This strategy is asymmetric and...

We present a consistent framework for computing shareholder and firm values of derivative portfolios in the presence of collateral, counterparty risk and funding costs in a multi-currency economy. The results extend the single currency economy results from Kjaer and the major difference is that...

We present a consistent framework for computing shareholder and firm values of derivative portfolios in the presence of collateral, counterparty risk and funding costs in a single currency economy with stochastic interest rates and spot assets with local volatility. The follow-up paper Kjaer...