An overview of today's energy markets from a multi-commodity perspective As global
warming takes center stage in the public and private sectors, new debates on the future of …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

Praise for Energy and Power Risk Management" Energy and Power Risk Management
identifies and addresses the key issues in the development of the turbulent energy industry …

Using Bessel processes, one can solve several open problems involving the integral of an
exponential of Brownian motion. This point will be illustrated with three examples. The first …

In this paper, distributional questions which arise in certain mathematical finance models are
studied: the distribution of the integral over a fixed time interval [0, T] of the exponential of …

In this paper, arithmetic average Asian options are studied. It is observed that the Asian
option is a special case of the option on a traded account. The price of the Asian option is …

Arithmetic Asian options are difficult to price and hedge as they do not have closed-form
analytic solutions. The main theoretical reason for this difficulty is that the payoff depends on …

Ksi ka czy og ln wiedz o rynkach papier w warto ciowych z nowoczesnym wyk adem
matematyki finansowej, kt ry obejmuje modele i metody dotycz ce wyceny instrument w …

We explore the pricing of Asian options by numerically solving the the associated partial di
erential equations. We demonstrate that numerical PDE techniques commonly used in …