On the control of the difference between two Brownian motions: an application to energy markets modeling

DOI10.1515/demo-2016-0008zbMath1350.60084arXiv2101.03041OpenAlexW2483015839MaRDI QIDQ324996

Thomas Deschatre

Publication date: 17 October 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.03041

zbMATH Keywords

copulaasymmetryBrownian motionriskcouplingbarrierenergy marketscommoditieslocal correlation

Mathematics Subject Classification ID

Multivariate analysis (62H99) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Brownian motion (60J65) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• Unnamed Item
• Unnamed Item
• The Wishart autoregressive process of multivariate stochastic volatility
• On the control of the difference between two Brownian motions: a dynamic copula approach
• Mathematical methods for financial markets.
• Coupling of Wiener processes by using copulas
• A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES
• A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing and Hedging Spread Options
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: On the control of the difference between two Brownian motions: an application to energy markets modeling