<r> You may want to take a look at this paper: <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1882567which"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 82567which">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1882567which</LINK_TEXT></URL>, among other things, di...
<t>An overview of methodologies for constructing volatility surfaces is given inhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=1882567Please mention in this thread any other references that you think are relevant and were not mentioned in the paper. Also, feel free to add any insight/comment reg...
<r>As described in various papers/conference presentations, the AAD approach can potentially reduce the computational cost of sensitivities by several orders of magnitude, while having no approximation error. It can be used either for computing the Greeks or, respectively, for computing exact (up to...
Take a look at this oneArticle linkAlso, one other way is to use a hybrid optimizer:a) 10-20 iterations of a good global optimizer (such as Differential Evolution)b) then use that output as initial guess for good local optimizer (such as L-BFGS)
<t>I came across a 2009 paper by Pilz and Schogl that showed a difference of about 0.4%-0.5% between forwards and futures prices at 3 year mark for WTI market dataThe article can be found here:article linkCan anybody suggest papers/presentations that describe or mention practitioners' use convexity ...
<t>Daniel,I have implemented the 1D ADE that you have presented in your paper mentioned in your post and it works quite nice.I am curious how you treat the "mized derivative" part when you apply the methodology to 2D problems. That is quite a challenge for regular FD methods. As you were mentioning ...
<t>I understand that adding jumps to a model would enhance it and would allow it to capture additional characteristics of the market compared to local vol or stoch vol models.But I wanted to find out how is hedging usually done by the traders when using these types of model that include jumps. In ot...
<t>I understand that adding jumps to a model would enhance it and would allow it to capture additional characteristics of the market compared to local vol or stoch vol models.But I wanted to find out how is hedging usually done by the traders when using these types of model that include jumps. In ot...
<t>some decent progress. After extensive lit search, regime switching models seemed to be the way to go. The papers present mostly the models and sometimes their calibration (including deseasonalization and parameter estimation). But not too much was written on actually pricing instruments which re ...
I have experience with stochastic and local vol models, but not in electricityThat is why I was trying to get some of the collective wisdom on this board
Thank youI looked at FEA and papers and they do not give too much details in what they are using, although they mention jump diffusion, regime switching etcAlso their papers are from 2003, and a lot of models were proposed since then
Yes, that is also a good book (that I just bought). Can you also point out any presentations/articles by practioners on the actual models that are used in industry? I have found extremely few in this category: among them, the paper by Andreasen and Dalhgren
<t>Would anybody like to share any insight on which models are used by practitioners for capturing well the main characteristics of electricity spot prices: seasonality (yearly, weekly, intradaily), spikes, mean reversion etc while, in the same time, be analytically or numerically tractable for opti...