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In this study we consider the pricing of energy derivatives when the evolution of spot prices is modeled with a normal tempered stable driven Ornstein-Uhlenbeck process. Such processes are the generalization of normal inverse Gaussian…
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures…
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and…
This article analyzes the formulation of space-time continuous hyperbolic hydrodynamic models for systems of interacting particles moving on a lattice, by connecting their local stochastic lattice dynamics to the formulation of an…
Discrete variational methods show excellent performance in numerical simulations of mechanical systems. In this paper, we adapt discrete variational integrators for the case of mechanical systems with double-bracket dissipation. In…
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and…
Coordinating the interactions between flexibility assets in multi-carrier integrated energy systems (MIES) can lead to an efficient integration of variable renewable energy resources, and a cost-efficient energy transition. However, the…
Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for…
Stochastic storage models based on essentially non-Gaussian noise are considered. The stochastic description of physical systems based on stochastic storage models is associated with generalized Poisson (or shot) noise, in which the jump…
Stochastic evolution equations with compensated Poisson noise are considered in the variational approach with monotone and coercive coefficients. Here the Poisson noise is assumed to be time-homogeneous with $\sigma$-finite intensity…
We describe multiscale geometrical changes via structured deformations $(g,G)$ and the non-local energetic response at a point $x$ via a function $\Psi$ of the weighted averages of the jumps $[u_{n}](y)$ of microlevel deformations $u_{n}$…
It is an well established fact that statistical properties of energy level spectra are the most efficient tool to characterize nonintegrable quantum systems. The study of statistical properties and spectral fluctuation in the interacting…
We investigate transient clustering dynamics in nonlocal aggregation-diffusion systems from an energetic perspective. Starting from a stochastic interacting particle system, we study the associated macroscopic McKean-Vlasov equation on the…
The modeling of coupled fluid transport and deformation in a porous medium is essential to predict the various geomechanical process such as CO2 sequestration, hydraulic fracturing, and so on. Current applications of interest, for instance,…
We present a differential machine learning method for zero-days-to-expiry (0DTE) options under a stochastic-volatility jump-diffusion model. To handle the ultra-short-maturity regime, we express the option price in Black-Scholes form with a…
We consider the pricing of energy spread options for spot prices following an exponential Ornstein-Uhlenbeck process driven by a sum of independent multivariate variance gamma processes, which gives rise to mean-reverting, infinite activity…
In this paper analytic formulas for electricity derivatives are calculated. To this end, we assume that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition…
We study the statistical properties of the variation of the kinetic energy of a spherical Brownian particle that freely moves in an incompressible fluid at constant temperature. Based on the underdamped version of the generalized Langevin…
We use a simple gas model to study non-equilibrium aspects of the multiparticle dynamics relevant to heavy ion collisions. By performing numerical simulations for various initial conditions we identify several characteristic features of the…
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…