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Natural Gas Storage Valuation and Optimisation Under Time-Inhomogeneous Exponential Lévy Processes

Safarov, Nemat - 2016

We analyse a stochastic control problem for the valuation of a natural gas storage facility while taking into account operating characteristics. The underlying natural gas spot price dynamics is assumed to follow time-inhomogeneous exponential Lévy process by F.E. Benth and C. Sgarra. This...

Persistent link: https://www.econbiz.de/10013004738

Natural Gas-Fired Power Plants Valuation and Optimisation Under Levy Copulas and Regime-Switching

Safarov, Nemat - 2016

In this work we analyse a stochastic control problem for the valuation of a natural gas power station while taking into account operating characteristics. Both electricity and gas spot price processes exhibit mean-reverting spikes and Markov regime-switches. The Levy regime-switching model...

Persistent link: https://www.econbiz.de/10012987803

Pricing a European basket option in the presence of proportional transaction costs

Atkinson, Colin; Alexandropoulos, C. A. - In: Applied mathematical finance 13 (2006) 3, pp. 191-214

Persistent link: https://www.econbiz.de/10003383647

Building an optimal portfolio in discrete time in the presence of transaction costs

Atkinson, Colin; Storey, Emmeline - In: Applied mathematical finance 17 (2010) 3/4, pp. 323-357

Persistent link: https://www.econbiz.de/10008653253

Dynamic portfolio optimization in discrete-time with transaction costs

Atkinson, Colin; Quek, Gary - In: Applied mathematical finance 19 (2012) 3/4, pp. 265-298

Persistent link: https://www.econbiz.de/10009710973

The effect of correlation and transaction costs on the pricing of basket options

Atkinson, Colin; Ingpochai, P. - In: Applied mathematical finance 19 (2012) 1/2, pp. 131-179

Persistent link: https://www.econbiz.de/10009561237

Multi-asset portfolio optimization with transaction cost

Atkinson, Colin; Mokkhavesa, S. - In: Applied mathematical finance 11 (2004) 2, pp. 95-123

Persistent link: https://www.econbiz.de/10002085489

Towards the determination of utility preference from optimal portfolio selections

Atkinson, Colin; Mokkhavesa, Sutee - In: Applied mathematical finance 8 (2001) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10001625413

Intertemporal portfolio optimization with small transaction costs and stochastic variance

Atkinson, Colin; Mokkhavesa, S. - In: Applied mathematical finance 10 (2003) 4, pp. 267-302

Persistent link: https://www.econbiz.de/10001864221

A possible way of estimating options with stable distributed underlying asset prices

Tsibiridi, C.; Atkinson, Colin - In: Applied mathematical finance 11 (2004) 1, pp. 51-75

Persistent link: https://www.econbiz.de/10002001538