Forecasting the realized volatility of the oil futures market: A regime switching approach

F Ma, MIM Wahab, D Huang, W Xu - Energy Economics, 2017 - Elsevier
Considering nonlinear and highly persistent dynamics of realized volatility, we introduce
Markov regime switching models to the Heterogeneous Autoregressive model of the …

Retrofitting carbon capture and storage to natural gas-fired power plants: A real-options approach

RS Elias, MIM Wahab, L Fang - Journal of Cleaner Production, 2018 - Elsevier
This paper presents a real-options approach to assess the value of retrofitting carbon
capture and storage technology to an existing natural gas-fired base-load power plant …

A comparison of regime-switching temperature modeling approaches for applications in weather derivatives

RS Elias, MIM Wahab, L Fang - European Journal of Operational Research, 2014 - Elsevier
A comparison of regime-switching approaches to modeling the stochastic behavior of
temperature with an aim to the valuation of temperature-based weather options is presented …

The spark spread and clean spark spread option based valuation of a power plant with multiple turbines

RS Elias, MIM Wahab, L Fang - Energy Economics, 2016 - Elsevier
This paper offers a novel study of two key factors that affect the valuation of a natural gas-
fired power plant having multiple turbines: carbon allowance prices and the ability to switch …

Formal verification meets stochastic analysis

F Cosentino - 2021 - ora.ox.ac.uk
The thesis goal is to explore the relations between Formal Verification techniques in
Computer Science and Stochastic Analysis in Mathematics. They both deal with probabilistic …

[HTML][HTML] A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

Z Ahmadi, SM Hosseini, AF Bastani - Journal of Computational and …, 2020 - Elsevier
Nowadays, the pricing of financial instruments under continuous-time Markov switching
models have received a widespread attention from researchers and practitioners in the …

Markov chain approximations to stochastic differential equations by recombination on lattice trees

F Cosentino, H Oberhauser, A Abate - arXiv preprint arXiv:2111.03497, 2021 - arxiv.org
We revisit the classical problem of approximating a stochastic differential equation by a
discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's …