8,957 research outputs found
Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management
No full textWe develop a normative framework for the optimal design, value assessment,
and risk management integration of combined custom contingent claims. A risk-averse
firm faces a mix of financially insurable and noninsurable risk. The firm seeks optimal positioning in a pair of custom claims, one written on the insurable term and another written
on any listed index correlated to the noninsurable term. We prove that a unique optimum
always exists unless the index is redundant and show that the optimal payoff schedules
satisfy a design integral equation. We assess the firm’s incremental benefit in terms of both
an indifference value and an efficiency rating; this benefit increases with the correlation of
the index to the noninsurable term, and it decreases with the correlation of the index to the
insurable term. Our hedge proves to be empirically relevant for a highly risk-averse firm
facing a market shock (COVID-19 pandemic). In the context of a newsvendor model featuring random price and demand, we show that (i) integrating our optimal combined custom
hedge with the corresponding optimal procurement policy allows the firm to obtain a significant improvement in both risk and return, and (ii) this gain may be traded off for a substantial enhancement in operational flexibility
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management
No full texthe Handbook of Multi-Commodity Markets and Products is the definitive desktop reference for traders, structurers, and risk managers who wish to broaden their knowledge base. This non-technical yet sophisticated manual covers everything the professional needs to become acquainted with the structure, function, rules, and practices across a wide spectrum of commodity markets. Contributions from a global team of renowned industry experts provide real-world examples for each market, along with tools for analyzing, pricing, and risk managing deals. The discussion focuses on convergence, including arbitrage valuation, econometric modeling, market structure analysis, contract engineering, and risk, while simulated scenarios help readers understand the practical application of the methods and models presented.
Gradual deregulation and the resulting increase in diversity and activity have driven the evolution of the traditionally segmented market toward integration, raising important questions about opportunity identification and analysis in multi-commodity deals. This book helps professionals navigate the shift, providing in-depth information and practical advice.
Structure and manage both simple and sophisticated multi-commodity deals
Exploit pay-off profiles and trading strategies with a diversified set of commodity prices
Develop more accurate forecasting models by considering additional metrics
Price energy products and other commodities in segmented markets with an eye toward specific structural features
As one of the only markets strong enough to boom during the credit crunch, the commodities markets are growing rapidly. Combined with increasing convergence, this transition presents potentially valuable opportunities for the development of a robust multi-commodity portfolio. For the professional seeking deeper understanding and a more effective strategy, the Handbook of Multi-Commodity Markets and Products offers complete information and expert guidance
Operations Revenue Insurance
No full textWe propose a new framework for the optimal design of a financial instrument to hedge nonclaimable (e.g., background, operational, and nontradable) risk embedded by business and operating revenues. Our method leverages the ability of financial markets to securitize nonfinancial assets and contingent claims written on the related notes. A new array of integrated operational and financial risk management policies is identified and an explicit solution is provided for a class of project allocation decisions
Bidimensional and multidimensional principal component analysis in long term atmospheric monitoring
No full textAtmospheric monitoring produces huge amounts of data. Univariate and bivariate statistics are widely used to investigate variations in the parameters. To summarize information graphs are usually used in the form of histograms or tendency profiles (e.g., variable concentration vs. time), as well as bidimensional plots where two-variable correlations are considered. However, when dealing with big data sets at least two problems arise: a great quantity of numbers (statistics) and graphs are produced, and only two-variable interactions are often considered. The aim of this article is to show how the use of multivariate statistics helps in handling atmospheric data sets. Multivariate modeling considers all the variables simultaneously and returns the main results as bidimensional graphs that are easy-to-read. Principal Component Analysis (PCA; the most known multivariate method) and multiway-PCA (Tucker3) are compared from methodological and interpretative points of view. The article demonstrates the ability to emphasize different information depending on the data handling performed. The results and benefits achieved using a more complex model that allows for the simultaneous consideration of the entire variability of the system are compared with the results provided by the simpler but better-known model. Atmospheric monitoring (SO2, NOx, NO2, NO, and O3) data from the Lake Como Area (Italy) since 1992 to 2007 were chosen for consideration for the case study
Understanding the fine structure of electricity prices
No full textThis paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in trajectories. We introduce a class of discontinuous processes exhibiting a "jump-reversion" component to properly represent these sharp upward moves shortly followed by drops of similar magnitude. Our approach allows to capture—for the first time to our knowledge—both the trajectorial and the statistical properties of electricity pool prices. The quality of the fitting is illustrated on a database of major U.S. power markets
Andrea Bacová
No full textAndrea Bacová focuses on research and teaching in the field of residential architecture. Her work includes systematic research on residential buildings and their urban context. She actively participates in promoting Slovak architecture and is the author of several publications and exhibitions
A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
No full textWe present a numerical method for pricing derivatives on electricity prices. The method is based on approximating the generator of the underlying process and can be applied for stochastic processes that are combinations of diusions and jump processes. The method is accurate even in the case of processes with fast mean-reversion and jumps of large magnitude. We illustrate the speed and accuracy of the method by pricing European and Bermudan options and calculating the hedge ratios of European options for the Geman-Roncoroni model for electricity prices.Electricity derivatives; operator methods
Principal Component Analysis and Multi-way analysis of tropospheric trace gases data in Lake Como area (Italy) during the period 1992-2007
No full textModeling spatial and temporal variations of tropospheric data in Lake Como area (Italy) during the period 1992-2007 using Principal Component Analysis and Multi-way Analysis
No full textViewer-, Author-, and Ownership in the Work of Andrea Zittel
No full textAndrea Zittel invites others to collapse the distinctions between artist, viewer, and collaborator by interacting with her usable works. This thesis explores the process of interacting with Zittel\u27s works, and how it affects viewer-, author- and ownership
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