Related papers: A Self-Exciting Modelling Framework for Forward Pr…
Electricity market price predictions enable energy market participants to shape their consumption or supply while meeting their economic and environmental objectives. By utilizing the basic properties of the supply-demand matching process…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
Hawkes processes are a particularly interesting class of stochastic process that have been applied in diverse areas, from earthquake modelling to financial analysis. They are point processes whose defining characteristic is that they…
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agent-based model that describes the present state of the investors' beliefs,…
This paper introduces a no-arbitrage, Monte Carlo-free approach to pricing path-dependent interest rate derivatives. The Heath-Jarrow-Morton model gives arbitrage-free contingent claims prices but is infinite-dimensional, making traditional…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…
This article presents a generic framework for modeling the dynamics of forward curves in commodity market as commodity derivatives are typically traded by futures or forwards. We have theoretically demonstrated that commodity prices are…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath-Jarrow-Morton (HJM) approach. For this purpose we introduce a new class of state-dependent volatility…
Our paper aims to model and forecast the electricity price by taking a completely new perspective on the data. It will be the first approach which is able to combine the insights of market structure models with extensive and modern…
Power grids are moving towards 100% renewable energy source bulk power grids, and the overall dynamics of power system operations and electricity markets are changing. The electricity markets are not only dispatching resources economically…
A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the…
Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we…
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties in the model. However, due to the complexity of the…
We propose a mathematical framework for the study of a family of random fields--called forward performances--which arise as numerical representation of certain rational preference relations in mathematical finance. Their spatial structure…
Modelling and forecasting the occurrence of extreme events is especially difficult when the event process is nonstationary, with changes in both the rate at which extremes occur and the magnitude of the extremes when they occur. We approach…
This study explores the application of Hawkes processes to model high-frequency data in the context of limit order books. Two distinct Hawkes-based models are proposed and analyzed: one utilizing exponential kernels and the other employing…
While the field of electricity price forecasting has benefited from plenty of contributions in the last two decades, it arguably lacks a rigorous approach to evaluating new predictive algorithms. The latter are often compared using unique,…
In this paper we propose a novel pricing-hedging framework for volatility derivatives which simultaneously takes into account rough volatility and volatility jumps. Our model directly targets the instantaneous variance of a risky asset and…
Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers a self-exciting Hawkes process where…