This paper generalizes earlier work by G. Larcher and the author about hedging with short-term futures contracts, a problem which was considered in connection with the debacle of the German company Metallgesellschaft. While the original problem corresponded to the simplest possible model for the price process, i.e. Brownian motion, we give here solutions to more general models, i.e. a mean reve...

We give a geometric derivation of SLE(κ, ρ) in terms of con-formally invariant random growing compact subsets of polygons. The parameters ρ j are related to the exterior angles of the polygons. We also show that SLE(κ, ρ) can be generated by a metric Brownian motion , where metric and Brownian motion are coupled and the metric is a pull-back metric of the Euclidean metric of an evolving polygon.

In order to study the regularity of density a solution infinite activity jump driven stochastic differential equation we consider following two-step approximation method. First, use moment problem in approximate small jumps by another whose Lévy measure has finite support. second step replace first two moments noise Brownian motion based on Assmussen-Rosiński approach. This needs satisfy certai...

In this paper, according to G-Brownian motion and other related concepts properties, we define multiple Itô integrals driven by G-Lévy process. By using the G-Itô formula properties of G-expectation, two main theorems about integral are obtained proved. These provide powerful help for subsequent research on jump

This paper introduces a fuel-switching price to the Alberta market, which is designed for encouraging power plant companies switch from coal natural gas when they produce electricity; this has been successfully applied European market. Moreover, we consider an energy-switching considers wind. We modeled these two prices using five mean reverting processes including Regime-switching processes, L...

We study the stochastic Hamilton–Jacobi–Bellman (HJB) equation with jump, which arises from a non-Markovian optimal control problem recursive utility cost functional. The solution to is predictable triplet of random fields. show that value function problem, under some regularity assumptions, HJB equation; and classical this characterizes control. With additional assumptions on coefficients, an ...

Due to CO2 emissions, humans are encountering grave environmental crises (e.g., rising sea levels and the grim future of submerged cities). Governments have begun offset emissions by constructing emission-trading schemes (carbon-offset markets). Investors naturally crave carbon-offset options effectively control risk. However, research practice for these relatively limited. This paper contribut...

This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.

Regarding the effects of the kinematics of the movement on athletic performance and the Importance of promoting athlete’s performance on the sport fields, there is limited knowledge about the mechanism of the effect of different variables of volleyball spike. Therefore, the aim of this study was the prediction of jump performance in elite female volleyball players with selected kinematic variab...

We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to...