This monograph is based on methods and numerical tools from such fields as theory of stochastic differential equations (SDEs), stochastic modeling in computational physics, engineering and mathematical finance, statistical estimation methods, and Monte-Carlo type approximations.

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field, this book offers a unique combination of...

Statistical Tools for Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field this book offers a unique combination of...

When building stochastic models for electricity spot prices the problem of uttermost importance is the estimation and consequent forecasting of a component to deal with trends and seasonality in the data. While the short-term seasonal components (daily, weekly) are more regular and less...

In this paper we concentrate on power producers’ strategies on the electricity market with contracts and Asian-type call options for power delivery. We propose stochastic asymmetric supply function equilibrium and Cournot models that are based on the assumption of the stochastic behavior of...

Nowadays power system faces up to various problems and challenges, like e.g. decreasing resources of fossil fuels, ineffective large power plants and transmission lines, as well as increasing demand on energy and quality of energy services and protection of environment. At the same time the...

In this paper we investigate the dependence structure for Ornstein–Uhlenbeck process with tempered stable distribution that is natural extension of the classical Ornstein–Uhlenbeck process with Gaussian and alpha-stable behavior. However, for the alpha-stable models the correlation is not...

In this paper we obtain the scaling limit of multidimensional Levy walk and describe the detailed structure of the limiting process. It occurs that the scaling limit is a subordinated alpha-stable Levy motion with the parent process and subordinator being strongly dependent processes. The...

The paper deals with decision optimization of the integration of distributed generation with electrical grid. Presented algorithm is based on technical and economic factors of integration of distributed generation. The method is based on optimization of coordinates, which in this case are values...

In the last decade Markov-regime switching (MRS) models have been extensively used for modeling the unique behavior of spot prices in wholesale electricity markets. This popularity stems from the models’ relative parsimony and the ability to capture the stylized facts, in particular the mean...