相关论文: The Valuation of Clean Spread Options: Linking Ele…

The present work is an attempt to understand and review existing methods of energy generation in electric vehicles in the modern day context. Previous works in the field have proposed various mechanisms of energy generation that are very…

While peer-to-peer energy trading has the potential to harness the capabilities of small-scale energy resources, a peer-matching process often overlooks power grid conditions, yielding increased losses, line congestion, and voltage…

This paper describes various approaches to modeling a random process with a given rational power spectral density. The main attention is paid to the spectral form of mathematical description, which allows one to obtain a relation for the…

We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pricing. We relax the assumptions of constant volatility and interest rate. In doing so, we rely on the square root of the Brownian motion. We…

After a brief review of option pricing theory, we introduce various methods proposed for extracting the statistical information implicit in options prices. We discuss the advantages and drawbacks of each method, the interpretation of their…

The growing penetration of renewable energy requires upgrades to the transmission network to ensure the deliverability of renewable generation. As an efficient alternative to transmission expansion, flexible transmission technologies, whose…

We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing complex full equilibrium models and pure reduced form models.…

Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…

In this paper a real option approach for the valuation of real assets is presented. Two continuous time models used for valuation are described: geometric Brownian motion model and interest rate model. The valuation for electricity spread…

Recorded option pricing datasets are not always freely available. Additionally, these datasets often contain numerous prices which are either higher or lower than can reasonably be expected. Various reasons for these unexpected observations…

Based on the concept of self-decomposable random variables we discuss the application of a model for a pair of dependent Poisson processes to energy facilities. Due to the resulting structure of the jump events we can see the…

We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of…

Ensemble learning is characterized by flexibility, high precision, and refined structure. As a critical component within computational finance, option pricing with machine learning requires both high predictive accuracy and reduced…

Cross-commodity valuation approaches to value gas fire power plants are well studied in the literature. Hence, the value of the gas fire power plant is identical to the value of a spark spread option wherein the underlying are electricity…

Electricity markets currently fail to incorporate preferences of buyers, treating polluting and renewable energy sources as having equal social benefit under a system of uniform clearing prices. Meanwhile, renewable energy is prone to…

Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system…

We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential future exposure profiles under the risk-neutral and the…

The credit spread is a key indicator in bond investments, offering valuable insights for fixed-income investors to devise effective trading strategies. This study proposes a novel credit spread forecasting model leveraging ensemble learning…

This paper proposes a novel method for demand forecasting in a pricing context. Here, modeling the causal relationship between price as an input variable to demand is crucial because retailers aim to set prices in a (profit) optimal manner…

We develop a method using parameterized linear equations to define trading mechanisms in market design models. Our method adeptly addresses challenges arising from factors such as complex endowments or coarse priorities, while offering…