God's Model vs. Market Models Part II: The Importance of a Book

Wilmott ◽  
2021 ◽  
Vol 2021 (116) ◽  
pp. 42-49
Author(s):  
Elie Ayache
Keyword(s):  
Market Models

Lognormal approximations to Libor market models

2002 ◽  
Vol 6 (1) ◽  
pp. 69-100 ◽  
Author(s):  
O Kurbanmuradov ◽  
K Sabelfeld ◽  
J Schoenmakers
Keyword(s):  
Market Models

Valuation of structured retail electricity contracts with market models

2012 ◽  
Vol 5 (1) ◽  
pp. 29-51
Author(s):  
Kevin Metka ◽  
Reik Borger
Keyword(s):  
Market Models

Risk Aversion in Multilevel Electricity Market Models With Different Congestion Pricing Regimes

2020 ◽  
Author(s):  
Mirjam Ambrosius ◽  
Jonas Egerer ◽  
Veronika Grimm ◽  
Adriaan H. van der Weijde
Keyword(s):  
Risk Aversion ◽  
Electricity Market ◽  
Congestion Pricing ◽  
Market Models

A note on finite securities market models

1995 ◽  
Vol 13 (5) ◽  
pp. 543-554
Author(s):  
Norman L. Kleinberg
Keyword(s):  
Securities Market ◽  
Market Models

scholarly journals LIBOR and swap market models and measures

1997 ◽  
Vol 1 (4) ◽  
pp. 293-330 ◽  
Author(s):  
Farshid Jamshidian
Keyword(s):  
Market Models

scholarly journals Option Pricing Driven by a Telegraph Process with Random Jumps

2012 ◽  
Vol 49 (3) ◽  
pp. 838-849 ◽  
Author(s):  
Oscar López ◽  
Nikita Ratanov
Keyword(s):  
Option Pricing ◽  
Financial Market ◽  
Option Prices ◽  
Martingale Measures ◽  
Market Models ◽  
Telegraph Process ◽  
Equivalent Martingale Measures ◽  
Hedging Strategies ◽  
Random Jumps ◽  
Equivalent Martingale

In this paper we propose a class of financial market models which are based on telegraph processes with alternating tendencies and jumps. It is assumed that the jumps have random sizes and that they occur when the tendencies are switching. These models are typically incomplete, but the set of equivalent martingale measures can be described in detail. We provide additional suggestions which permit arbitrage-free option prices as well as hedging strategies to be obtained.

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