Search Results

Price risk intermediation in the over-the-counter derivatives markets: interpretation of a global survey,
Catherine Benadon, John Kambhu and Frank M. Keane, in Economic Policy Review (1996)
Keywords: Prices; Derivative securities

Estimating Security Price Derivatives Using Simulation,
Mark Broadie and Paul Glasserman, in Management Science (1996)
Keywords: simulation, derivative estimation, security pricing, option pricing

Fair Pricing of Weather Derivatives,
Eckhard Platen and Jason West, from Quantitative Finance Research Centre, University of Technology, Sydney (2003)
Keywords: weather derivatives; benchmark approach; growth optimal portfolio; fair pricing; actuarial pricing

Use of distributed computing in derivative pricing,
Juho Kanniainen, Robert Piche and Tommi Mikkonen, in International Journal of Electronic Finance (2009)
Keywords: derivative securities; distributed computing; cluster computing; grid computing; Monte Carlo simulation; Asian option pricing; Napoleon cliquet option pricing; e-finance; electronic finance; scientific computing; Linux; derivative pricing; derivatives.

PRICING PRECIPITATION BASED DERIVATIVES,
René Carmona and Pavel Diko, in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
Keywords: Weather derivatives, utility indifference pricing, precipitation modeling, jump Markov processes, maximum likelihood estimation

On modelling and pricing weather derivatives,
Peter Alaton, Boualem Djehiche and David Stillberger, in Applied Mathematical Finance (2002)
Keywords: Weather Derivatives, Pricing Model, Historical Data, Stochastic Process, Approximation Formula, Monte Carlo Simulation,

Pricing and hedging of derivatives in contagious markets,
Thomas Kokholm, in Journal of Banking & Finance (2016)
Keywords: Multivariate modeling; Contagion; Derivatives pricing; Jump processes; Hedging;

Counterparty credit risk and derivatives pricing,
Gang Li and Chu Zhang, in Journal of Financial Economics (2019)
Keywords: Counterparty credit risk; Mitigating mechanism; Options pricing with vulnerability; Derivative warrants;

Design and pricing of derivative contracts in a spectrum market,
Aparna Gupta, Koushik Kar and Praveen K. Muthuswamy, in Journal of Financial Engineering (JFE) (2015)
Keywords: Spectrum market, derivatives, risk-neutral pricing

Basics of electricity derivative pricing in competitive markets,
Iivo Vehviläinen, in Applied Mathematical Finance (2002)
Keywords: Electricity Derivatives, Electricity Forwards, Exotic Options, Pricing,

Real-Time Derivative Pricing and Hedging with Consistent Metamodels,
Guangxin Jiang, L. Jeff Hong and Haihui Shen, in INFORMS Journal on Computing (2024)
Keywords: simulation analytics, metamodeling, stochastic kriging, derivative pricing

Volatility and volatility-linked derivatives: estimation, modeling, and pricing,
Elisa Alòs, Maria Elvira Mancino and Tai-Ho Wang, in Decisions in Economics and Finance (2019)
Keywords: Volatility, Estimation, Modeling, Volatility derivatives, Pricing

Pricing credit derivatives in credit classes frameworks,
Franck Moraux and Patrick Navatte, from HAL (2002)
Keywords: pricing credit derivatives,credit classes frameworks

The price of power: The valuation of power and weather derivatives,
Craig Pirrong and Martin Jermakyan, in Journal of Banking & Finance (2008)
Keywords: Electricity markets Derivatives pricing Market price of risk Inverse techniques

A consistent two-factor model for pricing temperature derivatives,
Andreas Groll, Brenda López-Cabrera and Thilo Meyer-Brandis, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2014)
Keywords: factor models, consistency, pricing and hedging, weather derivatives, market price of risk

A consistent two-factor model for pricing temperature derivatives,
Andreas Groll, Brenda López-Cabrera and Thilo Meyer-Brandis, in Energy Economics (2016)
Keywords: Factor models; Consistency; Pricing and hedging; Weather derivatives; Market price of risk;

Derivatives Markets for Home Prices,
Robert Shiller, from Cowles Foundation for Research in Economics, Yale University (2008)
Keywords: Home price index, Housing futures, Real estate futures, Real estate derivatives, Home equity insurance, Repeat sales indices, Hedging demand

Two frameworks for pricing defaultable derivatives,
Tsvetelin S. Zaevski, Ognyan Kounchev and Mladen Savov, in Chaos, Solitons & Fractals (2019)
Keywords: Stopping times; Default; Risk-neutral measure; Asset pricing; Derivative pricing; Convertible bonds;

A Fair Pricing Approach to Weather Derivatives,
Eckhard Platen and Jason West, in Asia-Pacific Financial Markets (2004)
Keywords: actuarial pricing, benchmark approach, fair pricing, growth optimal portfolio, weather derivatives,

Weather Derivatives,
Jan Pígl, in Acta Oeconomica Pragensia (2007)
Keywords: weather derivatives, pricing weather derivatives, time series

Multinomial Lattices and Derivatives Pricing,
George M. Jabbour, Marat V. Kramin, Timur Kramin and Stephen D. Young, from World Scientific Publishing Co. Pte. Ltd. (2005)
Keywords: Derivatives Pricing, Path Analysis, Spillover, Effective Interest Rate, Higher Moments, NASDAQ, Covered Call Investing, Index Securities, Hedging, Asset Pricing, CFA Designation,

State price densities implied from weather derivatives,
Wolfgang Härdle, Brenda López-Cabrera and Huei-Wen Teng, in Insurance: Mathematics and Economics (2015)
Keywords: Weather derivatives; Temperature derivatives; HDD; CDD; State Price Density; Quadrature; Bayesian; Data sparsity;

Pricing two dimensional derivatives under stochastic correlation,
Alexander Alvarez, Marcos Escobar Anel and Pablo Olivares, in International Journal of Financial Markets and Derivatives (2011)
Keywords: stochastic correlation; spread options; compo options; closed-form approximation; 2D derivatives; derivatives pricing.

Modelling and pricing derivatives on precipitation,
Fred Espen Benth and Jūratė Šaltytė Benth, from World Scientific Publishing Co. Pte. Ltd. (2012)
Keywords: Weather Derivatives, Stochastic Processes, HDD, CDD, Autoregressive Moving Average Time Series, Futures Contracts, Options, Utility Pricing, Girsanov Transform, Esscher Transform, Precipitation, Temperature, Wind Speed,

INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES,
Caroline Hillairet and Ying Jiao, in International Journal of Theoretical and Applied Finance (IJTAF) (2011)
Keywords: Asymmetric information, enlargement of filtrations, default threshold, risk neutral probability measures, pricing of credit derivatives

The Comparative Statics of Equilibrium Derivative Prices,
Masamitsu Ohnishi and Yusuke Osaki, from Osaka University, Graduate School of Economics (2004)
Keywords: Equilibrium Derivative Price, First-order Stochastic Dominance, Noise Risk, Risk-Neutral Probability.

Duality and Derivative Pricing with Lévy Processes,
José Fajardo and Ernesto Mordecki, from Economics Research Group, IBMEC Business School - Rio de Janeiro (2005)
Keywords: Lévy processes, Optimal stopping, Girsanov's Theorem, Dual Market Method, Derivative pricing, Symmetry

Pricing exotic derivatives exploiting structure,
Debora Sesana, Daniele Marazzina and Gianluca Fusai, in European Journal of Operational Research (2014)
Keywords: CEV process; Discrete monitoring; Exotic derivatives; Matrix Factorization; Numerical quadrature; Option pricing;

Pricing of Commodity Derivatives on Processes with Memory,
Fred Espen Benth, Asma Khedher and Michèle Vanmaele, in Risks (2020)
Keywords: equivalent measures; derivatives pricing; commodity markets; Langevin equation; affine processes; Fourier transform

On Modelling and Pricing Rainfall Derivatives with Seasonality,
Gunther Leobacher and Philip Ngare, in Applied Mathematical Finance (2011)
Keywords: Rainfall derivatives, Seasonality, Discrete-time Markov control process, Utility indifference pricing, Monte Carlo methods,

Modeling and pricing of space weather derivatives,
Birgit Lemmerer and Stephan Unger, in Risk Management (2019)
Keywords: Space weather, Geomagnetic storms, Geomagnetic indices, Space weather derivative, Pricing, Hedging, Inverse transformation sampling

Predicting the Prices of Electricity Derivatives on the Energy Exchange,
Štěpán Kratochvíl and Oldřich Starý, in Acta Oeconomica Pragensia (2013)
Keywords: electricity derivatives, energy exchange, predicting prices, estimation of the parameters, data filtering

PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES,
José Fajardo and Ernesto Mordecki, in International Journal of Theoretical and Applied Finance (IJTAF) (2006)
Keywords: Lévy processes, optimal stopping, dual market method, derivative pricing

Pricing of financial derivatives based on the Tsallis statistical theory,
Pan Zhao, Jian Pan, Qin Yue and Jinbo Zhang, in Chaos, Solitons & Fractals (2021)
Keywords: Financial derivatives; Pricing; Tsallis statistics; Jump process; Martingale method;

Derivative pricing with non-linear Fokker–Planck dynamics,
Fredrick Michael and M.D. Johnson, in Physica A: Statistical Mechanics and its Applications (2003)
Keywords: Econophysics; Black–Scholes derivative pricing; Non-extensive statistics;

Pricing Derivatives on Two Lé}vy-driven Stocks,
Ernesto Mordecki and José Fajardo, from Econometric Society (2004)
Keywords: Lévy processes, Dual Market Method, Derivative pricing, Symmetry.

Average Derivative Estimation of Hedonic Price Models,
Junsoo Lee, Seung-Jun Kwak and John List, in Environmental & Resource Economics (2000)
Keywords: average derivative estimation, hedonic price models, semiparametric estimation,

A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS,
Marco Rosa-Clot and Stefano Taddei, in International Journal of Theoretical and Applied Finance (IJTAF) (2002)
Keywords: Derivative pricing, path integrals, numerical methods

Derivatives as the Price Fluctuation Risk Management for Vietnamese Coffee Exporters,
Cuong Dinh and Nguyen Quoc Toan, in Research in World Economy (2016)
Keywords: commodity derivative, price risk, Vietnamese coffee

Wine price risk management: International diversification and derivative instruments,
Apostolos Kourtis, Raphael Markellos and Dimitris Psychoyios, in International Review of Financial Analysis (2012)
Keywords: Fine wine; International diversification; Derivatives; Option pricing;

ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES,
Richard Jordan and Charles Tier, in International Journal of Theoretical and Applied Finance (IJTAF) (2016)
Keywords: Derivative pricing, mean-reverting processes, asymptotic approximations

Modelling the Temperature Time-dependent Speed of Mean Reversion in the Context of Weather Derivatives Pricing,
A. Zapranis and A. Alexandridis, in Applied Mathematical Finance (2008)
Keywords: Neural networks, weather derivatives pricing,

Derivatives in a Dynamic Environment,
Myron Scholes, from Nobel Prize Committee (1997)
Keywords: Option Pricing; Derivatives

Which Method for Pricing Weather Derivatives ?,
Helene Hamisultane, from HAL (2008)
Keywords: Monte-Carlo simulations,weather derivatives,arbitrage-free pricing method,actuarial pricing approach,consumption-based pricing model,risk-neutral distribution,market price of risk,finite difference method,Monte-Carlo simulations.

Pattern derivatives,
Casey S. Schroeder and Massimo Di Pierro, in International Journal of Financial Markets and Derivatives (2011)
Keywords: patterns; pattern derivatives; options pricing.

Asset-pricing puzzles, credit risk, and credit derivatives: a speech at the Conference on Credit Risk and Credit Derivatives, Washington, D.C., March 22, 2007,
Donald L. Kohn, from Board of Governors of the Federal Reserve System (U.S.) (2007)
Keywords: Asset pricing; Credit derivatives; Financial markets

Utility-based pricing of weather derivatives,
Helene Hamisultane, in The European Journal of Finance (2010)
Keywords: weather derivatives, consumption-based asset pricing model, generalized method of moments, simulated method of moments, Monte-Carlo simulations, periodic variance,

Arbitrage Free Price Bounds for Property Derivatives,
Juerg Syz and Paolo Vanini, in The Journal of Real Estate Finance and Economics (2011)
Keywords: Property derivatives, Property spread, Arbitrage free price bounds, Market frictions, Halifax House Price Index,

Weather derivatives pricing using regime switching model,
Evarest Emmanuel, Berntsson Fredrik, Singull Martin and Yang Xiangfeng, in Monte Carlo Methods and Applications (2018)
Keywords: Weather derivatives, arbitrage-free pricing, regime switching, Monte Carlo simulation,option pricing

On utility-based derivative pricing with and without intermediate trades,
Kallsen Jan and Kühn Christoph, in Statistics & Risk Modeling (2006)
Keywords: neutral derivative pricing, utility-based pricing, incomplete markets, martingales under finitely additive set functions

Derivative pricing based on local utility maximization,
Jan Kallsen, in Finance and Stochastics (2002)
Keywords: Option pricing, Incomplete markets, Local utility, Neutral derivative price, Sensitivity process, Local sensitivity

Electricity Spot and Derivatives Pricing when Markets are Interconnected,
Roland Füss, Steffen Mahringer and Marcel Prokopczuk, from University of St. Gallen, School of Finance (2013)
Keywords: Electricity Pricing, Fundamental Model, Multi-Market Modeling, Derivatives Pricing, Energy Market Coupling

The Impact of Global Energy Price Volatility on Oil Derivative and Local Price in Jordan: Using DCC-GARCH Model,
Radi Mohammad Adailah, Saba Bassam Al-Damour and Ahmad Al-Majali, in International Journal of Energy Economics and Policy (2024)
Keywords: Oil, Price Fluctuations, Energy, Jordan, Oil Derivatives

Credit Derivatives Pricing in Brazil,
Jorge C. Kapotas, Pedro Paulo Schirmer and Marcelo M. Taddeo, in Brazilian Review of Finance (2004)
Keywords: credit derivatives, bonds, credit swaps, spreads

SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES,
Carole Bernard and Junsen Tang, in International Journal of Theoretical and Applied Finance (IJTAF) (2016)
Keywords: Derivatives pricing, derivatives hedging, path-dependent derivatives, semi-static replication

The Derivatives Market,
Khader Shaik, from Springer (2014)
Keywords: Credit Risk, Hedge Fund, Price Discovery, Derivative Market, Derivative Contract

Index Revision, House Price Risk, and the Market for House Price Derivatives,
Yongheng Deng and John Quigley, from Berkeley Program on Housing and Urban Policy (2008)
Keywords: repeat sales index, index revision, house price risk, house price derivative, Social and Behavioral Sciences

Index Revision, House Price Risk, and the Market for House Price Derivatives,
Yongheng Deng and John Quigley, in The Journal of Real Estate Finance and Economics (2008)
Keywords: Repeat sales index, Index revision, House price risk, House price derivative, G11, R21, G13,

Utility-based Pricing of the Weather Derivatives,
Helene Hamisultane, from HAL (2007)
Keywords: weather derivatives,consumption-based asset pricing model,constant relative risk aversion utility function,generalized method of moments,simulated method of moments,HAC matrix,Monte-Carlo simulations,periodic variance,GARCH

COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW,
Janis Back and Marcel Prokopczuk, in International Journal of Theoretical and Applied Finance (IJTAF) (2013)
Keywords: Review, commodity derivatives, convenience yield, theory of storage, commodity prices, seasonality, Samuelson effect, mean reversion

Pure jump models for pricing and hedging VIX derivatives,
Jing Li, Lingfei Li and Gongqiu Zhang, in Journal of Economic Dynamics and Control (2017)
Keywords: VIX derivatives; 3/2 diffusion; Time change; Pure jump; Infinite activity; Option pricing; Hedging; Eigenfunction expansions;

Electricity derivatives pricing with forward-looking information,
Roland Füss, Steffen Mahringer and Marcel Prokopczuk, in Journal of Economic Dynamics and Control (2015)
Keywords: Electricity futures; Fundamental model; Derivatives pricing; Forward-looking information; Enlargement of filtrations;

A Bayesian Pricing of Longevity Derivatives with Interest Rate Risks,
Kogure Atsuyuki and Fushimi Takahiro, in Asia-Pacific Journal of Risk and Insurance (2018)
Keywords: longevity derivatives, lee-carter methodology, interest rate risk, CIR model, Bayesian pricing, maximum entropy principle

Weak time-derivatives and no-arbitrage pricing,
Massimo Marinacci and Federico Severino, in Finance and Stochastics (2018)
Keywords: No-arbitrage pricing, Weak time-derivative, Martingale component, Special semimartingales, Stochastic interest rates

Pricing derivatives of American and game type in incomplete markets,
Jan Kallsen and Christoph Kühn, in Finance and Stochastics (2004)
Keywords: American options, game contingent claims, neutral derivative pricing, incomplete markets, Dynkin game, $\sigma$ -supermartingales,

Efficient Derivative Pricing By The Extended Method of Moments,
Patrick Gagliardini, Christian Gourieroux and Eric Renault, from Swiss Finance Institute (2010)
Keywords: Derivative Pricing, Trading Activity, GMM, Information Theoretic Estimation, KLIC, Identification, Weak Instrument, Nonparametric Efficiency, Semiparametric Efficiency

Electricity Derivatives Pricing with Forward-Looking Information,
Roland Füss, Steffen Mahringer and Marcel Prokopczuk, from University of St. Gallen, School of Finance (2013)
Keywords: Electricity Futures, Fundamental Model, Derivatives Pricing, Forward-looking Information, Enlargement of Filtrations

Non-causal Affine Processes with Applications to Derivative Pricing,
Christian Gouriéroux and Yang Lu, from Center for Research in Economics and Statistics (2019)
Keywords: Derivative Pricing, Term Structure, Affine Process, Noncausal Process, Speculative Bubble, Reverse Time.

Pricing of Traffic Light Options and other Correlation Derivatives,
Thomas Kokholm, from University of Aarhus, Aarhus School of Business, Department of Business Studies (2008)
Keywords: LIBOR market model; traffic light option; correlation; simulation; derivatives pricing; structured products;

SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES,
Tommaso Pellegrino, in International Journal of Theoretical and Applied Finance (IJTAF) (2020)
Keywords: FX derivatives pricing, stochastic volatility, asymptotic analysis, singular perturbation theory

Applying fuzzy parameters in pricing financial derivatives inspired by Kyoto Protocol,
Piotr Nowak and Maciej Romaniuk, in Operations Research and Decisions (2009)
Keywords: option pricing, financial derivatives, Kyoto Protocol, martingale method, fuzzy parameters

Hedged Monte-Carlo: low variance derivative pricing with objective probabilities,
Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic, in Physica A: Statistical Mechanics and its Applications (2001)
Keywords: Financial derivatives; Monte Carlo methods; Option pricing; Historical probabilities;

Derivative pricing using multivariate affine generalized hyperbolic distributions,
José Fajardo and Aquiles de Farias, in Journal of Banking & Finance (2010)
Keywords: Generalized hyperbolic distributions Multivariate distributions Derivative pricing Levy processes

Does commodity hedging with derivatives reduce stock price volatility?,
Ningli Wang and Qichong Zhou, in Finance Research Letters (2022)
Keywords: Hedging; Commodities; Financial derivatives; Stock price volatility; Risk management;

Pricing stock and bond derivatives with a multi-factor Gaussian model,
Isabelle Bajeux-Besnainou and Roland Portait, in Applied Mathematical Finance (1998)
Keywords: Derivative Securities, Multi-factor Model, Continuous-time, Pricing,

Automatic Extraction of Derivative Market Prices from Webpages using a Software Agent,
Patrick Bartels and Michael Breitner, from Institut für Wirtschaftsinformatik, Universität Hannover (2003)
Keywords: Software agent, market prices, derivatives, artificial neural networks

Fair prices under a unified lattice approach for interest rate derivatives,
Giacomo Morelli, in Annals of Operations Research (2021)
Keywords: Interest rates, Single curve, Multiple curve, Derivative pricing, Fair contracts

Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo,
Ivan Guo and Gregoire Loeper, in Journal of Optimization Theory and Applications (2018)
Keywords: VIX derivatives, Convex conjugate, Least squares Monte Carlo, Pricing bounds

Benchmark Pricing of Credit Derivatives Under a Standard Market Model,
Mark Craddock and Eckhard Platen, from Quantitative Finance Research Centre, University of Technology, Sydney (2001)
Keywords: credit risk; benchmark pricing; credit derivatives; credit spreads

The potential use of derivatives to manage the price risk of seafood markets: the case of sole and cuttlefish in France,
Jean-Loïc Bégué-Turon, Yves Perraudeau and Nicolas Rautureau, from University Library of Munich, Germany (2006)
Keywords: Cuttlefish; Derivative instruments; Price risk management; Sole

Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme,
George Daskalakis, Dimitris Psychoyios and Raphael Markellos, in Journal of Banking & Finance (2009)
Keywords: Emission allowances Futures Options on futures Derivative pricing

The Effects of Liquidity on the Price Discovery Process in Credit Derivatives Markets in Times of Financial Distress,
Sergio Mayordomo, Juan Ignacio Peña and Juan Romo, from CNMV- Spanish Securities Markets Commission - Research and Statistics Department (2010)
Keywords: Price Discovery, VECM, Credit Derivatives, Credit Spreads.

Commodity derivative markets,
Delphine Lautier, from HAL (2008)
Keywords: Term structure,commodity prices,derivatives

On Fair Pricing of Emission-Related Derivatives,
Juri Hinz and Alex Novikov, from Quantitative Finance Research Centre, University of Technology, Sydney (2009)
Keywords: environmental risk; emission derivatives

Credit derivatives and loan pricing,
Lars Norden and Wolf Wagner, in Journal of Banking & Finance (2008)
Keywords: Banks Syndicated lending Loan rates Credit derivatives Credit spreads

Credit Derivatives and Loan Pricing,
Lars Norden and Wolf Wagner, from Tilburg University, Tilburg Law and Economic Center (2007)
Keywords: Syndicated Lending; Loan Rates; Credit Derivatives; Credit Markets; Credit Spreads

Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach,
Joanna Janczura, in Mathematical Methods of Operations Research (2014)
Keywords: Regime-switching model, Electricity spot price, Derivatives pricing, Risk premium,

A 'simple' hybrid model for power derivatives,
Matthew R. Lyle and Robert J. Elliott, in Energy Economics (2009)
Keywords: Electricity pricing Power derivatives Seasonality

DERIVATIVES MARKETS AND MANAGED MONEY: IMPLICATIONS FOR PRICE DISCOVERY,
Gregory Arburn and Laura Harper, in The International Journal of Business and Finance Research (2019)
Keywords: Price Discovery, Managed Futures, Commitment of Traders, Regression, Hedge Funds, Managed Money, Speculation, Derivatives, Futures, Options, Swaps, CFTC

Doubly-Binomial Option Pricing with Application to Insurance Derivatives,
Carolyn W. Chang and Jack S. K. Chang, in Review of Pacific Basin Financial Markets and Policies (RPBFMP) (2005)
Keywords: Doubly-binomial tree, random information arrival, subordinated process, catastrophe insurance derivatives, information-time option pricing, JEL Classification: G13