scholarly journals Pricing of Commodity and Energy Derivatives for Polynomial Processes

Mathematics ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 124
Author(s):  
Fred Espen Benth
Keyword(s):  
Diffusion Processes ◽  
Empirical Studies ◽  
Nonlinear Function ◽  
Energy Markets ◽  
Commodity Markets ◽  
Weather Variables ◽  
Energy Derivatives ◽  
Jump Diffusion Processes ◽  
Wide Range ◽  
Derivative Products

Operating in energy and commodity markets require a management of risk using derivative products such as forward and futures, as well as options on these. Many of the popular stochastic models for spot dynamics and weather variables developed from empirical studies in commodity and energy markets belong to the class of polynomial jump diffusion processes. We derive a tailor-made framework for efficient polynomial approximation of the main derivatives encountered in commodity and energy markets, encompassing a wide range of arithmetic and geometric models. Our analysis accounts for seasonality effects, delivery periods of forwards and exotic temperature forwards where the underlying “spot” is a nonlinear function of the temperature. We also include in our derivations risk management products such as spread, Asian and quanto options.

scholarly journals Double-barrier first-passage times of jump-diffusion processes

2013 ◽  
Vol 19 (2) ◽  
pp. 107-141
Author(s):  
Lexuri Fernández ◽  
Peter Hieber ◽  
Matthias Scherer
Keyword(s):  
Diffusion Processes ◽  
First Passage Time ◽  
Asset Price ◽  
Jump Diffusion ◽  
Mathematical Finance ◽  
Passage Time ◽  
First Passage ◽  
Double Barrier ◽  
Jump Diffusion Processes ◽  
Wide Range

Abstract. Required in a wide range of applications in, e.g., finance, engineering, and physics, first-passage time problems have attracted considerable interest over the past decades. Since analytical solutions often do not exist, one strand of research focuses on fast and accurate numerical techniques. In this paper, we present an efficient and unbiased Monte-Carlo simulation to obtain double-barrier first-passage time probabilities of a jump-diffusion process with arbitrary jump size distribution; extending single-barrier results by [Journal of Derivatives 10 (2002), 43–54]. In mathematical finance, the double-barrier first-passage time is required to price exotic derivatives, for example corridor bonus certificates, (step) double barrier options, or digital first-touch options, that depend on whether or not the underlying asset price exceeds certain threshold levels. Furthermore, it is relevant in structural credit risk models if one considers two exit events, e.g., default and early repayment.

scholarly journals Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes

2021 ◽  
pp. 1-22
Author(s):  
Piergiacomo Sabino ◽  
Nicola Cufaro Petroni
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Energy Derivatives ◽  
Jump Diffusion Processes

Real Options Under Jump Diffusion Processes: What Types of Jumps?

2009 ◽  
Author(s):  
Xianfeng Jiang ◽  
Yongdong Shi ◽  
George J. Jiang
Keyword(s):  
Real Options ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes

Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes

2014 ◽  
Author(s):  
Binh Thanh Dao ◽  
Monique Jeanblanc ◽  
Nadine Bellamy
Keyword(s):  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes ◽  
American Put ◽  
Negative Jump

Studying Populations of Online Communities

2019 ◽  
pp. 173-193
Author(s):  
Benjamin Mako Hill ◽  
Aaron Shaw
Keyword(s):  
Online Communities ◽  
Information Diffusion ◽  
Diffusion Processes ◽  
Empirical Studies ◽  
Population Level ◽  
Study Groups ◽  
Population Based ◽  
Large Majority ◽  
Community Processes ◽  
Published Research

While the large majority of published research on online communities consists of analyses conducted entirely within individual communities, this chapter argues for a population-based approach, in which researchers study groups of similar communities. For example, although there have been thousands of papers published about Wikipedia, a population-based approach might compare all wikis on a particular topic. Using examples from published empirical studies, the chapter describes five key benefits of this approach. First, it argues that population-level research increases the generalizability of findings. Next, it describes four processes and dynamics that are only possible to study using populations: community-level variables, information diffusion processes across communities, ecological dynamics, and multilevel community processes. The chapter concludes with a discussion of a series of limitations and challenges.

scholarly journals A developmentally descriptive method for quantifying shape in gastropod shells

2020 ◽  
Vol 17 (163) ◽  
pp. 20190721
Author(s):  
J. Larsson ◽  
A. M. Westram ◽  
S. Bengmark ◽  
T. Lundh ◽  
R. K. Butlin
Keyword(s):  
Empirical Studies ◽  
Three Dimensional ◽  
Shell Shape ◽  
Large Set ◽  
Littorina Saxatilis ◽  
Shape Variation ◽  
Gastropod Shell ◽  
Geometric Morphometric ◽  
Wide Range ◽  
Descriptive Method

The growth of snail shells can be described by simple mathematical rules. Variation in a few parameters can explain much of the diversity of shell shapes seen in nature. However, empirical studies of gastropod shell shape variation typically use geometric morphometric approaches, which do not capture this growth pattern. We have developed a way to infer a set of developmentally descriptive shape parameters based on three-dimensional logarithmic helicospiral growth and using landmarks from two-dimensional shell images as input. We demonstrate the utility of this approach, and compare it to the geometric morphometric approach, using a large set of Littorina saxatilis shells in which locally adapted populations differ in shape. Our method can be modified easily to make it applicable to a wide range of shell forms, which would allow for investigations of the similarities and differences between and within many different species of gastropods.

scholarly journals Personality trait differences across types of entrepreneurs: a systematic literature review

2021 ◽  
Author(s):  
Florentine U. Salmony ◽  
Dominik K. Kanbach
Keyword(s):  
Literature Review ◽  
Personality Traits ◽  
Systematic Literature Review ◽  
Empirical Studies ◽  
Academic Research ◽  
Future Research ◽  
Rural Farmers ◽  
Start Up ◽  
Wide Range ◽  
Research Integration

AbstractThe personality traits that define entrepreneurs have been of significant interest to academic research for several decades. However, previous studies have used vastly different definitions of the term “entrepreneur”, meaning their subjects have ranged from rural farmers to tech-industry start-up founders. Consequently, most research has investigated disparate sub-types of entrepreneurs, which may not allow for inferences to be made regarding the general entrepreneurial population. Despite this, studies have frequently extrapolated results from narrow sub-types to entrepreneurs in general. This variation in entrepreneur samples reduces the comparability of empirical studies and calls into question the reviews that pool results without systematic differentiation between sub-types. The present study offers a novel account by differentiating between the definitions of “entrepreneur” used in studies on entrepreneurs’ personality traits. We conduct a systematic literature review across 95 studies from 1985 to 2020. We uncover three main themes across the previous studies. First, previous research applied a wide range of definitions of the term “entrepreneur”. Second, we identify several inconsistent findings across studies, which may at least partially be due to the use of heterogeneous entrepreneur samples. Third, the few studies that distinguished between various types of entrepreneurs revealed differences between them. Our systematic differentiation between entrepreneur sub-types and our research integration offer a novel perspective that has, to date, been widely neglected in academic research. Future research should use clearly defined entrepreneurial samples and conduct more systematic investigations into the differences between entrepreneur sub-types.

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