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Mini-course on "Fourier methods in mathematical finance with applications to Energy and Commodity markets" (external website )

Location: WPI Seminar room C 714 Mon, 16. Jan - Tue, 17. Jan 12
Topics:
16 Jan: 10:00-12:30, 14:00-16:00
Eberlein will present the general mathematical underpinnings

17 Jan: 10:00-12:30, 14:00-16:00
Benth will give applications to Energy and Commodity Markets
Organisation(s)
WPI
Organiser(s)
Peter Laurence (U. Roma)
Fred Benth (U. Oslo)
Valery Kholodny (Verbund, Wien)
Speaker:
Ernst Eberlein (U. Freiburg)
Fred Benth (U. Oslo)

Talks in the framework of this event


Eberlein, Ernst WPI, Seminar Room C 714 Mon, 16. Jan 12, 10:00
"Fourier based valuation methods in mathematical finance"
The aim of this mini-course is to provide a systematic analysis of valuation formulas for derivatives in finance which are based on Fourier transforms. In the first part we concentrate on the case where the underlying security is modeled by an exponential semimartingale in general. This covers e.g. stock prices, indices and FX rates. In particular Lévy processes as drivers are studied in detail. A great variety of payoff functions and specific processes can be considered within this framework. Formulas for derivatives which depend on multidimensional underlyers are considered as well. The Fourier based approach allows also to compute Greeks.
In the second part of this mini-course we will introduce jump processes (or inhomogeneous Levy processes) for modelling the dynamics of energy prices. We analyse multi-factor Ornstein-Uhlenbeck processes with stochatsic volatility as a general class of spot price models, and link these to forward prices. Our models will be motivated by stylized facts of energy prices, like mean-reversion, seasonality and spikes. Finally, we study pricing of options on forwards, based on Fourier methods analysed in detail in the first part of the mini-course by Professor Eberlein.
  • Event: Mini-course on "Fourier methods in mathematical finance with applications to Energy and Commodity markets" (2012)

Benth, Fred WPI, Seminar Room C 714 Tue, 17. Jan 12, 10:00
"Modelling and pricing in energy markets using jump processes"
In the second part of this mini-course we will introduce jump processes (or inhomogeneous Levy processes) for modelling the dynamics of energy prices. We analyse multi-factor Ornstein-Uhlenbeck processes with stochatsic volatility as a general class of spot price models, and link these to forward prices. Our models will be motivated by stylized facts of energy prices, like mean-reversion, seasonality and spikes. Finally, we study pricing of options on forwards, based on Fourier methods analysed in detail in the first part of the mini-course by Professor Eberlein.
  • Event: Mini-course on "Fourier methods in mathematical finance with applications to Energy and Commodity markets" (2012)

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