Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analysed in the context of the Capital Asset Pricing Model (CAPM) and a Fama & French three-factor model where contracts are separated based on their maturities. Looking into 1 month; 6 months and 12 months contracts, we...

Inspired by the initial success and eventual failure of Einar Aas' trading strategy exploiting dynamical patterns in the spread between Nordic and German electricity futures, we investigate the question whether there is evidence for possible arbitrage from engaging in both markets simultaneously...

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...

In this article we introduce a linear quadratic volatility model with co-jumps and show how to cal- ibrate this model to a rich dataset. We apply GMM and more specifically match the moments of realized power and multi-power variations, which are obtained from high-frequency stock market data....

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...