Results 11  20
of
54
Numerical Hedging of Electricity Contracts Using Dimension Reduction
"... The basic contracts traded on energy exchanges involve fixedrate payments for the delivery of electricity over a certain period of time. It has been shown that options on these electricity swaps can be priced efficiently using a Hilbert spacevalued timeinhomogeneous jumpdiffusion model for the f ..."
Abstract
 Add to MetaCart
for the forward curve. We consider the meanvariance hedging problem for European options under this model. We use portfolios containing only traded contracts. The computation of hedging strategies leads to quadratic optimization problems whose parameters depend on the solution of an infinitedimensional partial
Pricing American barrier options with discrete dividends by binomial trees
 Decisions in Economics and Finance 32(2
, 2009
"... The stock assets pay frequently dividends at discrete times and this produces important modification on the numerical procedures involved in the option pricing. For plain vanilla European and American options several close formulas and approximation techniques have been investigated in previous pape ..."
Abstract

Cited by 4 (1 self)
 Add to MetaCart
in the equity market, the literature which takes into account discrete dividends is very poor also in the European case. Actually the techniques for pricing such options seem related just to the algorithms developed in plainvanilla case with suitable
On the use of policy iteration as an easy way of pricing American options
 SIAM Journal on Financial Mathematics
"... Abstract. In this paper, we demonstrate that policy iteration, introduced in the context of HJB equations in [10], is an extremely simple generic algorithm for solving linear complementarity problems resulting from the finite difference and finite element approximation of American options. We show ..."
Abstract

Cited by 2 (1 self)
 Add to MetaCart
, identical to the pricing of European options, which is O(MN). We also discuss the numerical properties and robustness with respect to model parameters in relation to penalty and projected relaxation methods.
AN ITERATIVE ALGORITHM FOR EVALUATING APPROXIMATIONS TO THE OPTIMAL EXERCISE BOUNDARY FOR A NONLINEAR BLACKSCHOLES EQUATION
"... ABSTRACT. The purpose of this paper is to analyze and compute the early exercise boundary for a class of nonlinear BlackScholes equations with a nonlinear volatility which can be a function of the second derivative of the option price itself. A motivation for studying the nonlinear BlackScholes eq ..."
Abstract
 Add to MetaCart
Scholes equation with a nonlinear volatility arises from option pricing models taking into account, e.g., nontrivial transaction costs, investor's preferences, feedback and illiquid markets eects and risk from a volatile (unprotected) portfolio. We present a new method how to transform the free boundary
A PrimalDual DecompositionBased Interior Point Approach to TwoStage Stochastic Linear Programming
 OPERATIONS RESEARCH
, 1999
"... Decision making under uncertainty is a challenge faced by many decision makers. Stochastic programming is a major tool developed to deal with optimization with uncertainties that has found applications in, e.g. finance, such as assetliability and bondportfolio management. Computationally however, ..."
Abstract

Cited by 13 (3 self)
 Add to MetaCart
period portfolio selection problem using options on a stock index. In this model the investor can invest in a moneymarket account, a stock index, and European options on this index with different maturities. We experiment our model with market prices of options on the S&P500.
Interestrate modeling with multiple yield curves,” arXiv:1006.4767v1 [qfin.PR
, 2010
"... The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe the market of interest rate products. On the other hand, us ..."
Abstract

Cited by 6 (3 self)
 Add to MetaCart
, such as forward starting IRS, plainvanilla European Swaptions, Constant Maturity Swaps (CMS) and CMS spread options, with the final goal to investigate whether the market is actually using a multicurve approach or not. We finally present some numerical examples for a simple formulation of the framework which
Hedging Electricity Swaptions Using Partial IntegroDifferential Equations
"... The basic contracts traded on energy exchanges are swaps involving the delivery of electricity for fixedrate payments over a certain period of time. The main objective of this article is to solve the quadratic hedging problem for European options on these swaps, known as electricity swaptions. We c ..."
Abstract
 Add to MetaCart
The basic contracts traded on energy exchanges are swaps involving the delivery of electricity for fixedrate payments over a certain period of time. The main objective of this article is to solve the quadratic hedging problem for European options on these swaps, known as electricity swaptions. We
Calibration of the Heston model with application in derivative pricing and hedging
, 2007
"... Because of the complexity of the modern financial derivatives, like option contracts, practitioners heavily rely on mathematical models to price the derivatives. It is known that the classical BlackScholes option pricing model is not capable of pricing without a significant bias. Numerous model ext ..."
Abstract

Cited by 2 (0 self)
 Add to MetaCart
model can price European options highly efficiently by means of the socalled Fast Fourier Transform (FFT) algorithm. Advanced model requires equally sophisticated empirical implementation, in which stage the calibration problem comes in. Since the Heston model contains several undetermined parameters
Dissertação submetida como requisito parcial para obtenção do grau de Mestre em Finanças
"... An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios ..."
Abstract
 Add to MetaCart
An approach based on Extreme Value Theory as a measure to quantify market risk of equity securities and portfolios
Results 11  20
of
54