Kinetic theory provides a statistical framework for understanding how macroscopic behaviour emerges from the collective dynamics of microscopic constituents. This field has long been fundamental in ...
In this paper, we consider the numerical valuation of swing options in electricity markets based on a two-factor model. These kinds of contracts are modeled as path dependent options with multiple ...
In this paper we examine the capacity of arbitrage-free neural stochastic differential equation market models to produce realistic scenarios for the joint dynamics of multiple European options on a ...
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