Markus Hess

Université Libre de Bruxelles (ULB)

CP 210 Boulevard du Triomphe

Brussels, Brussels 1050

Belgium

SCHOLARLY PAPERS

20

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1,932

CITATIONS
Rank 23,230

SSRN RANKINGS

Top 23,230

in Total Papers Citations

27

Scholarly Papers (20)

1.

Pricing Electricity Derivatives under Future Information

Number of pages: 42 Posted: 03 Oct 2012 Last Revised: 25 Mar 2014
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 417 (68,720)
Citation 2

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Pricing electricity futures options, mean-reverting multi-factor models, Itô-Lévy process, enlargement of filtration, anticipating calculus, forward-looking information, insider trading, information premium, optimal consumption and portfolio choice in electricity markets, Fourier transform

2.

Optimal Liquidation of Electricity Futures Portfolios: An Anticipative Market Impact Model

Number of pages: 23 Posted: 21 Apr 2013 Last Revised: 01 Dec 2017
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 250 (121,359)
Citation 3

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Anticipative stochastic calculus, electricity market, price impact model, optimal electricity futures portfolio liquidation, enlargement of filtration, insider trading, forward-looking information, forward integral, arithmetic mean-reverting multi-factor electricity price model

3.

Pricing and Hedging Temperature Futures Derivatives under Weather Forecasts

Number of pages: 24 Posted: 25 Jun 2013 Last Revised: 04 Sep 2015
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 199 (151,502)
Citation 4

Abstract:

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stochastic calculus, stochastic differential equation, Itô-Lévy process, Sato process, mean-reverting multi-factor model, enlargement of filtration, anticipating calculus, insider trading, forward-looking information, option valuation, Fourier transform, hedging temperature futures derivatives

4.

Modeling and Pricing Precipitation Derivatives under Weather Forecasts

International Journal of Theoretical and Applied Finance, Vol. 19, No. 7, November 2016
Number of pages: 25 Posted: 05 Mar 2016 Last Revised: 14 Jan 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 146 (198,549)
Citation 1

Abstract:

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anticipative stochastic calculus, stochastic differential equation, enlargement of filtration, information premium, forward-looking information, pure jump Lévy process, arithmetic model, weather market, precipitation derivative, weather forecast, option pricing, wavelet transform

5.

Pricing Electricity Futures Options under Enlarged Filtrations

Number of pages: 35 Posted: 20 Feb 2014 Last Revised: 08 Sep 2015
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 119 (233,034)
Citation 4

Abstract:

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Electricity futures, option pricing, mean-reverting multi-factor model, Itô-Lévy process, enlargement of filtration, forward-looking information, insider trading, information premium, Fourier transform

6.

An Arithmetic Pure-Jump Multi-Curve Interest Rate Model

Number of pages: 28 Posted: 04 Aug 2016 Last Revised: 29 May 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 114 (240,420)
Citation 2

Abstract:

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stochastic calculus; Ornstein-Uhlenbeck process; arithmetic multi-factor model; pure-jump process; multi-curve model; OIS rate; LIBOR rate; basis spread; forward measure; caplet/floorlet pricing; hedging; Greeks; inverse Fourier pricing; enlarged filtration; future information; insider trading

7.

Minimal Variance Hedging in Multi-Curve Interest Rate Modeling

Lithuanian Mathematical Journal, Forthcoming
Number of pages: 18 Posted: 22 Feb 2017 Last Revised: 11 Dec 2018
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 94 (274,280)
Citation 1

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multi-curve model, OIS rate, LIBOR rate, basis spread, minimal variance hedging, delta hedge, wealth process, self-financing portfolio, replicable claim, arithmetic multi-factor model, jump process, Malliavin calculus, Clark-Ocone formula

8.

Cliquet Option Pricing in a Jump-Diffusion Lévy Model

Modern Stochastics: Theory and Applications, 2018, Vol. 5, No. 3, 317-336
Number of pages: 18 Posted: 03 Jun 2017 Last Revised: 09 Oct 2018
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 83 (296,578)

Abstract:

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Cliquet option pricing, path-dependent exotic option, equity indexed annuity, structured product, sensitivity analysis, greeks, jump-diffusion model, time-homogeneous Lévy process, stochastic differential equation, compound Poisson process, Fourier transform, distribution function

9.

Optimal Portfolio and Consumption in Anticipative Electricity Futures Markets

Number of pages: 22 Posted: 05 Aug 2014 Last Revised: 07 Sep 2014
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 79 (305,495)
Citation 3

Abstract:

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anticipative stochastic calculus, enlargement of filtration, forward integral, insider trading, forward-looking information, electricity futures market, portfolio selection, consumption rates, utility maximization

10.

Modeling Positive Electricity Prices with Arithmetic Jump-Diffusions

Energy Economics, Vol. 67, No. C, September 2017, pp. 496-507
Number of pages: 24 Posted: 30 May 2016 Last Revised: 30 Oct 2017
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 71 (324,700)

Abstract:

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stochastic calculus, positivity of solution to stochastic differential equation, Ornstein-Uhlenbeck process, enlargement of filtration, future information, insider trading, arithmetic jump-diffusion model, long-term behavior, electricity spot/forward/futures price, option pricing

11.

Cliquet Option Pricing with Meixner Processes

Modern Stochastics: Theory and Applications, 2018, Vol. 5, No. 1, pp. 81-97
Number of pages: 16 Posted: 11 Aug 2017 Last Revised: 09 Oct 2018
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 63 (345,952)

Abstract:

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Cliquet option pricing, path-dependent exotic option, equity indexed annuity, log-return of financial asset, Meixner distribution, Meixner-Lévy process, stochastic differential equation, probability measure change, characteristic function, Fourier transform

12.

Pricing Temperature Derivatives under Weather Forecasts

International Journal of Theoretical and Applied Finance, Vol. 21, No. 5, 1850031, Aug. 2018
Number of pages: 29 Posted: 20 Mar 2018 Last Revised: 24 Sep 2018
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 52 (379,310)
Citation 1

Abstract:

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Temperature Derivative, CAT Futures, Weather Forecast, Option Pricing, Optimal Portfolio Selection, Information Premium, Minimal Variance Hedging, Enlarged Filtration, Ornstein-Uhlenbeck Process, Stochastic Differential Equation, Stochastic Minimum Principle, Stochastic Control

13.

A Lower-Bounded Short Rate Model

Number of pages: 27 Posted: 27 Dec 2017 Last Revised: 20 Jun 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 46 (399,729)

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short rate, zero-coupon bond, forward rate, LIBOR rate, spot rate, option pricing, market-consistent calibration, multi-curve model, Lévy process, multi-factor model, Ornstein-Uhlenbeck process, stochastic differential equation, Poisson random measure, Doléans-Dade exponential

14.

Backward Stochastic Differential Equations under Enlarged Filtrations

Number of pages: 19 Posted: 25 Apr 2018 Last Revised: 28 Mar 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 42 (414,208)
Citation 1

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Backward Stochastic Differential Equation, Comparison Theorem, Predictive Mean-Field BSDE, Enlarged Filtration, Jump-Diffusion, Lévy Process, Forward Integral, Information Yield, Portfolio Selection, Hedging, Wealth Process, Temperature Forecast

15.

An Anticipative Stochastic Minimum Principle under Enlarged Filtrations

Number of pages: 24 Posted: 27 Nov 2017 Last Revised: 11 Jun 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 41 (417,943)
Citation 4

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stochastic minimum principle, optimal control, mean/minimal variance hedging, wealth process, self-financing portfolio, anticipative calculus, forward integral, forward stochastic differential equation, enlargement of filtration, future information, insider trading, Lévy process

16.

Optimal Equivalent Probability Measures under Enlarged Filtrations

Number of pages: 25 Posted: 24 Feb 2018 Last Revised: 03 Mar 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 38 (429,916)

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Radon-Nikodym Density, Doléans-Dade Exponential, Girsanov Theorem, Stochastic Differential Equation, Jump-Diffusion, Enlarged Filtration, Relative Entropy, Stochastic Maximum/Minimum Principle, Stochastic Optimization Problem, Stochastic Control, Esscher Transform

17.

Enlarged Filtrations and Indistinguishable Processes

Number of pages: 12 Posted: 29 May 2018 Last Revised: 12 Jun 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 26 (484,765)

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Enlarged Filtration, Indistinguishable Processes, Lévy Process, Poisson Random Measure, Martingale Compensator, Radon-Nikodym Density, Doléans-Dade Exponential, Girsanov Theorem, Stochastic Differential Equation, Weather Derivative, Precipitation Swap, Optimal Portfolio Selection

18.

The Stochastic Leibniz Formula for Volterra Integrals Under Enlarged Filtrations

Number of pages: 23 Posted: 10 Jan 2019 Last Revised: 29 Jul 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 23 (501,275)

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Volterra process/integral/equation, stochastic Leibniz formula, initially enlarged filtration, Doléans-Dade exponential, Lévy process, stochastic differential equation (SDE), backward stochastic Volterra integral equation (BSVIE), parameter integral, drift restriction

19.

A new Model for Pricing Wind Power Futures

Number of pages: 14 Posted: 22 Apr 2019 Last Revised: 16 Jun 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 20 (518,662)

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wind power futures, wind power production index, arithmetic multi-factor model, pure-jump Ornstein-Uhlenbeck process, Lévy-type process, Poisson random measure, Fourier transform, stochastic differential equation, Doléans-Dade exponential, risk premium

20.

Pricing Electricity Forwards under Future Information on the Stochastic Mean-Reversion Level

Number of pages: 12 Posted: 10 Jul 2019 Last Revised: 19 Jul 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 9 (584,732)

Abstract:

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electricity spot/forward/futures price, arithmetic multi-factor model, pure-jump Ornstein-Uhlenbeck process, Lévy-type process, Poisson random measure, stochastic differential equation, initially enlarged filtration, information premium