Related papers: Cointegrating Jumps: an Application to Energy Faci…
In energy systems with high shares of weather-driven renewable power sources, gas-fired power plants can serve as a back-up technology to ensure security of supply and provide short-term flexibility. Therefore, a tighter coordination…
A variety of energy resources has been identified as being flexible in their electric energy consumption or generation. This energetic flexibility can be used for various purposes such as minimizing energy procurement costs or providing…
Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
In this paper, we are presenting a method for estimation of market parameters modeled by jump diffusion process. The method proposed is based on Gibbs sampler, while the market parameters are the drift, the volatility, the jump intensity…
We consider stochastic differential systems driven by a Brownian motion and a Poisson point measure where the intensity measure of jumps depends on the solution. This behavior is natural for several physical models (such as Boltzmann…
We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation…
We consider the pricing of derivatives written on accumulated marks, such as weather derivatives or aggregate loss claims, using a self-exciting marked point process. The jump intensity mean-reverts between events and increases at jump…
We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability of the framework. We point out two difficulties that seem to limit this applicability, namely drift dependence and…
We derive a set of modified Poisson-Nernst-Planck (mPNP) equations for ion transport from the variation of the free energy functional which includes the many-body Coulomb correlation in media of variable dielectric coefficient. The…
We present a systematic computation of the heat conductivity of the Markov jump process modeling the energy exchanges in an array of locally confined hard spheres at the conduction threshold. Based on a variational formula [Sasada M. 2016,…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their…
Many-body dissipative particle dynamics is constructed to exhibit vapour-liquid coexistence, with a sharp interface, and a vapour phase of vanishingly small density. In this form, the model is an unusual example of a soft-sphere liquid with…
The Energy-Dissipation Principle provides a variational tool for the analysis of parabolic evolution problems: solutions are characterized as so-called null-minimizers of a global functional on entire trajectories. This variational…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
A novel phase-flip model is proposed for thermodynamically consistent and computationally efficient description of spallation and cavitation in pure liquids within the framework of ideal hydrodynamics. Aiming at ultra-fast dynamic loads,…
A generally covariant four-dimensional representation of Maxwell's electrodynamics in a generic material medium can be achieved straightforwardly in the metric-free formulation of electromagnetism. In this setup, the electromagnetic…
We propose a variational formulation for the nonequilibrium thermodynamics of discrete open systems, i.e., discrete systems which can exchange mass and heat with the exterior. Our approach is based on a general variational formulation for…
We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the solution of each…