Forecasting the realized volatility of the oil futures market: A regime switching approach
Considering nonlinear and highly persistent dynamics of realized volatility, we introduce
Markov regime switching models to the Heterogeneous Autoregressive model of the …
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
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 …
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
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 …
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
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 …
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 …
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
Nowadays, the pricing of financial instruments under continuous-time Markov switching
models have received a widespread attention from researchers and practitioners in the …
models have received a widespread attention from researchers and practitioners in the …
Markov chain approximations to stochastic differential equations by recombination on lattice trees
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 …
discrete-time and discrete-space Markov chain. Our construction iterates Caratheodory's …