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Chapter
On the Volatility of Commodity Futures Prices
This paper analyzes the volatility structure of commodity futures markets by using a continuous time forward price model with stochastic volatility. The model features three distinct volatility structures, eac...
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Chapter
A Multi-factor Structural Model for Australian Electricity Market Risk
In this paper, we develop a general framework for the modelling of Australian electricity market risk based on the structural relationships in the market. The model framework is designed to be consistent with ...
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Chapter and Conference Paper
The Evaluation of Gas Swing Contracts with Regime Switching
A typical gas swing contract is an agreement between a supplier and a purchaser for the delivery of variable daily quantities of gas, between specified minimum and maximum daily limits, over a certain period a...
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Article
The Dynamics of the S&P 500 Implied Volatility Surface
This empirical study is motivated by the literature on “smile-consistent” arbitrage pricing with stochastic volatility. We investigate the number and shape of shocks that move implied volatility smiles and sur...
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Article
Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach
Simple analytical pricing formulae have been derived, by different authors and for several derivatives, under the Gaussian Langetieg (1980) model. The purpose of this paper is to use such exact Gaussian soluti...
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Chapter
Mathematical Programming and Risk Management of Derivative Securities
In this paper we discuss the use of mathematical programming techniques linear, dynamic, and goal programming to the problem of the risk management of derivative securities (also known as contingent claims or ...
