Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited. One of the potential reasons for this is that the spot price process of electricity is still puzzling researchers and practitioners. In this paper, we propose an approach to model spot prices t...

In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at short timescales, along with the slow convergence to Gaussian at longer timescales. I further test the truncated Levy paradigm using high freq...

In this paper, European option pricing with stochastic volatility forecasted by well known GARCH model is discussed in context of Indian financial market. The data of Reliance Ltd. stockprice from 3/01/2000 to 30/03/2009 is used and resulting partial differential equation is solved byCrank-Nicolson finite difference method for various interest rates and maturity in time. Thesensitivity measures...

This paper presents the design of InterPSS simulation engine, including its object model, open software architecture, and software development process. Several advanced applications, including an integrated transmission and distribution co-simulation, an electromagnetic transient and phasor domain hybrid simulation, and InterPSS integration with a market simulator, have been developed by either...

In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at short timescales, along with the slow convergence to Gaussian at longer timescales. In this paper I further test the truncated Levy paradigm u...

Since the introduction of volatility derivatives, there has been growing interest in option implied volatility (IV). Many studies have examined informational content, and or forecast accuracy of IV, however there is relatively less work on directly modeling and forecasting IV. This paper uses a semi-parametric forecasting approaching to implement a time varying long volatility hedge to combine ...

of economical and financial models E.A.Akkerman Ben-Gurion University in the Negev,P.O.B.653,84105 Beer-Sheva , Israel il . ac . bgu . ella@bgumail Abstract The growing interest of physical and mathematical researchers to new areas as: market modeling and prediction, risk management and option pricing, agent-based modeling, time series empirical analysis, is due mainly by the stochastic ...

This study is based on the achievement goal theory and intended to verify the effects of the motivational climate of the physical education (PE) on students’ motivation, interest, and intention to practice physical activity or sport. In order to meet these objectives, 975 participants, from 13 to 18 years of age, completed the following instruments: PECCS, TEOSQ, IMI, Satisfaction Scale, and th...