In this article we study the evaluation of American options with stochastic volatility models and the optimal fish harvesting decision with stochastic convenience yield models, in the presence of drift ambiguity. From the perspective of an ambiguity averse agent, we transfer the problem to the...

In this article we derive tractable analytic solutions for futures and options prices for a linear-quadratic jump-diffusion model with seasonal adjustments in stochastic volatility and convenience yield. We then calibrate our model to data from the fish pool futures market, using the extended...

Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pension scheme which decides to hedge the longevity risk using a mortality-linked...

This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme efficiently, the manager and members agree to share the investment risk based on a pre-decided risk-sharing rule. The...

With the intention of maximizing an investor's terminal utility, we construct a non-threshold ased trading model within which the optimal trading weights for daily rebalancing are derived analytically via stochastic optimal control. Having released the constraint that the cointegrating vector is...

We price Asian options on commodity futures contracts in the presence of stochastic convenience yield, stochastic interest rates and jumps in the commodity spot price. We obtain a closed-form solution for the case of a geometric average option without the presence of jumps, both for continuous...

We adapt the evolutionary stock market model from Evstigneev, Hens, Schenk-Hoppeacute; (2006) to a continuous time framework, where uncertainty in dividends is produced by a single Wiener process. The setup is therefore significantly different from Yang and Ewald (2008), who also study continuous...

Geometric mean reversion plays a fundamental role in economic dynamic models. While it is known, at least since Merton (1975) [9], that the equilibrium distribution of geometric mean reversion is a Gamma distribution, an explicit expression for the non-equilibrium distribution has not been...

We solve a Dixit and Pindyck type irreversible investment problem in continuous time under the assumption that the project value follows a Cox-Ingersoll-Ross process. We indicate how the solution qualitatively differs from the two classical cases geometric Brownian motion and geometric mean...

We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques with the Newton method in order to solve nonlinear equations. The method relies on accurate and fast computation of the corresponding vegas of the option. In order to achieve this...