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Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Modeling and Pricing of Covariance Correlation Swaps Financial Markets Semi-Markov Volatilities Pricing of Securities
2012/6/5
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and cor...
Electricity price modeling and asset valuation: a multi-fuel structural approach
Electricity price modeling asset valuation multi-fuel structural approach Pricing of Securities
2012/6/4
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the pri...