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[published papers |
working papers |
miscellanous]
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Tony Ware
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2005
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Swing options in a mean-reverting world
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[pdf]
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Abstract
Swing options can be seen as
generalisations of American or bermudan options that give the holder a
certain constrained freedom to exercise partially at some discrete set
of times, or indeed to exercise continuously at some rate of their
choosing. In this way they are closely related to passport
options. They are used in the energy industry to value natural gas
storage facilities and power delivery contracts. Elliott and
Cadenillas address the question of pricing swing options for
log-normal and mean-reverting assets, describing conditions under
which they reduce to American options and also describing a set of
variational inequalities that serve to define the solution in more
general settings. In this paper we develop a finite-element approach
to this class of problems which can be applied in the presence of
strong mean-reversion in the underlying prices. We explore the
continuous-time limit under various types of exercise constraint,
while addressing issues of accuracy and computational complexity.
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Tony Ware
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2005
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Financial derivatives - a brief introduction
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[pdf]
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Short course presented at the MITACS 6th Annual Conference in Calgary,
May 11, 2005. (Note that the pdf file contains references to video clips that are not
available in the downloaded version.)
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Tony Ware
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2005
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Natural gas option pricing under mean-reverting price models
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[pdf]
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UBC PIMS-MITACS Math Finance Seminar, February 24th 2005. (Note that
the pdf file contains references to video clips that are not
available in the downloaded version.)
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Tony Ware
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2004
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The Black-Scholes formula
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[pdf]
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Society of Calgary Undergraduate Mathematicians Math Night, December
7th, 2004. (Note that the pdf file contains references to video clips that are not
available in the downloaded version.)
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Zhiyong (James) Xu
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2004
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Stochastic models for gas prices
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[pdf]
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M.Sc. thesis, University of Calgary, September 2004.
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Lei Xiong
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2004
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Stochastic models for electricity prices in Alberta
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[pdf]
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M.Sc. thesis, University of Calgary, August 2004.
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Abstract
This thesis investigates the modeling of electricity prices in the Canadian province of
Alberta. We model the electricity price processes as ane jump-diusion processes,
and we are able to exploit the transform analysis of Due, Pan and Singleton (1996)
to develop computationally tractable and asymptotically ecient estimators of the
parameters. We examine six mean-reverting jump-diusion models for modeling
electricity spot prices. The models which we propose have the features of multiple
types of jumps, or time-varying mean and stochastic volatility. The estimation
methodologies we adopt include maximum likelihood estimation based on conditional
characteristic function and spectral generalized method of moments. Extensive empirical
comparisons have been conducted via these estimation methods based on
actual spot hourly electricity prices in Alberta.
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Lei Xiong
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2004
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Calibration of energy price processes using jump-diffusion models
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[pdf]
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Presented at the Young Researcher¢s Forum in Mathematical and
Statistical Sciences, University of Alberta, March 2004.
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Tony Ware
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2000
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Numerical methods for basket options
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[pdf]
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Presented at the MITACS AGM, June 2000.
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