Levy processes
Smiling jumps
Smiling jumps
Cutting Edge: Pure jump models for energy prices
Université de Lausanne’s Roberto Marfè investigates pure jump processes as modelling blocks for the distributions of energy returns under the pricing measure. An easy-to-implement option-implied approach is outlined, which circumvents most of the…
Modeling electricity prices by potential Lévy diffusions
Research Papers
Intensity gamma
Mark Joshi and Alan Stacey develop a new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the variance gamma model for stock price evolution
Both sides of the fence: a statistical and regulatory view of electricity risk
Ernst Eberlein and Gerhard Stahl analyse price series of 25 energy spot rates simultaneously using Lévy models. This model class allows the capture of stochastic behaviour of these financial instruments. The implications of this analysis will form the…
Assets with jumps
Option pricing