Markus Hess

Université Libre de Bruxelles (ULB)

CP 210 Boulevard du Triomphe

Brussels, Brussels 1050

Belgium

SCHOLARLY PAPERS

28

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SSRN CITATIONS
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Top 18,567

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35

CROSSREF CITATIONS

22

Scholarly Papers (28)

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 428 (88,961)
Citation 2

Abstract:

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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 257 (154,969)
Citation 3

Abstract:

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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 227 (174,838)
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 (IJTAF), Vol. 19, No. 7, 1650051, November 2016
Number of pages: 25 Posted: 05 Mar 2016 Last Revised: 09 Feb 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 162 (236,274)
Citation 9

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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.

An Arithmetic Pure-Jump Multi-Curve Interest Rate Model

International Journal of Theoretical and Applied Finance (IJTAF), Vol. 22, No. 8, 1950042, December 2019
Number of pages: 28 Posted: 04 Aug 2016 Last Revised: 20 Jan 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 141 (264,761)
Citation 3

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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

6.

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 125 (290,244)
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

7.

Minimal Variance Hedging in Multi-Curve Interest Rate Modeling

Lithuanian Mathematical Journal (LMJ), Vol. 59, No. 3, 338-356, July 2019
Number of pages: 18 Posted: 22 Feb 2017 Last Revised: 25 Sep 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 105 (328,065)
Citation 6

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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 98 (343,324)

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.

The Stochastic Leibniz Formula for Volterra Integrals under Enlarged Filtrations

Number of pages: 25 Posted: 10 Jan 2019 Last Revised: 10 Nov 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 92 (357,382)

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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

10.

A Stochastic Control Approach to Fight COVID-19

Number of pages: 19 Posted: 29 Oct 2020 Last Revised: 23 Nov 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 88 (367,406)

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Lévy process, CBI process, stochastic differential/integral equation, stochastic control problem, stochastic maximum principle, modeling epidemiologic infection numbers

11.

A New Model for Pricing Wind Power Futures

"A new approach to wind power futures pricing", Decisions in Economics and Finance (DEAF), Vol. 44, 1235-1252, December 2021
Number of pages: 17 Posted: 22 Apr 2019 Last Revised: 16 Dec 2021
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 88 (369,909)
Citation 1

Abstract:

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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

12.

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 84 (377,974)
Citation 4

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

13.

Backward Stochastic Differential Equations under Enlarged Filtrations

Number of pages: 19 Posted: 25 Apr 2018 Last Revised: 09 Nov 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 80 (389,109)
Citation 1

Abstract:

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

14.

Cliquet Option Pricing with Meixner Processes

Modern Stochastics: Theory and Applications, 2018, Vol. 5, No. 1, 81-97
Number of pages: 16 Posted: 11 Aug 2017 Last Revised: 09 Feb 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 75 (403,571)

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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

15.

Optimal Equivalent Probability Measures under Enlarged Filtrations

Journal of Optimization Theory and Applications (JOTA), Vol. 183, No. 3, 813-839, December 2019
Number of pages: 25 Posted: 24 Feb 2018 Last Revised: 08 Nov 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 74 (406,621)
Citation 5

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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

16.

Modeling Positive Electricity Prices with Arithmetic Jump-Diffusions

Energy Economics, Vol. 67, No. C, 496-507, September 2017
Number of pages: 24 Posted: 30 May 2016 Last Revised: 09 Feb 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 74 (406,621)

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

17.

Pricing Temperature Derivatives under Weather Forecasts

International Journal of Theoretical and Applied Finance (IJTAF), Vol. 21, No. 5, 1850031, August 2018
Number of pages: 29 Posted: 20 Mar 2018 Last Revised: 14 Apr 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 73 (409,659)
Citation 10

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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

18.

A Lower-Bounded Short Rate Model

Modern Stochastics: Theory and Applications, 2020, Vol. 7, No. 2, 113-134
Number of pages: 27 Posted: 27 Dec 2017 Last Revised: 29 Jun 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 68 (425,639)

Abstract:

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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

19.

An Anticipative Stochastic Minimum Principle under Enlarged Filtrations

Stochastic Analysis and Applications, 2021, Vol. 39, No. 2, 252-277
Number of pages: 24 Posted: 27 Nov 2017 Last Revised: 13 Apr 2021
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 63 (442,693)
Citation 7

Abstract:

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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

20.

Optimal Hedging Strategies for Options in Electricity Futures Markets

Number of pages: 22 Posted: 17 Apr 2021 Last Revised: 01 Jul 2021
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 58 (464,653)

Abstract:

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minimal variance hedging, portfolio optimization, stochastic maximum principle, stochastic control, stochastic differential equation, Malliavin calculus, Clark-Ocone formula, electricity spot/forward/futures price model, option pricing

21.

Explicit Representations for Utility Indifference Prices

Applied Mathematical Finance, 2021, Vol. 28, No. 1, 23-47
Number of pages: 21 Posted: 01 Feb 2021 Last Revised: 14 Sep 2021
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 47 (505,335)

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utility indifference price, contingent claim, wealth process, risk aversion, information premium, stochastic control problem, stochastic maximum principle, enlarged filtration

22.

Enlarged Filtrations and Indistinguishable Processes

Stochastic Analysis and Applications, 2020, Vol. 38, No. 1, 179-189
Number of pages: 12 Posted: 29 May 2018 Last Revised: 04 Dec 2019
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 45 (514,230)
Citation 1

Abstract:

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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

23.

A Malliavin Calculus Approach to Minimal Variance Hedging

Number of pages: 25 Posted: 09 Apr 2021 Last Revised: 01 Jul 2021
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 43 (523,463)

Abstract:

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minimal variance hedging, portfolio optimization, stochastic maximum principle, stochastic control, stochastic differential equation, Malliavin calculus, Clark-Ocone formula

24.

A Stochastic Maximum Principle for CBI Processes

Number of pages: 12 Posted: 07 May 2021 Last Revised: 07 Sep 2021
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 34 (568,975)

Abstract:

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CBI process, stochastic differential/integral equation, stochastic control problem, stochastic maximum principle, optimal consumption, optimal control of infection numbers

25.

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

Decisions in Economics and Finance (DEAF), Vol. 43, No. 2, 751-767, December 2020
Number of pages: 12 Posted: 10 Jul 2019 Last Revised: 24 Dec 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 33 (574,395)

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

26.

A New Approach to Minimal Variance Hedging of European Options (Part 1: The Brownian Motion Case)

Number of pages: 20 Posted: 24 Mar 2021 Last Revised: 01 Jul 2021
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 32 (579,859)

Abstract:

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minimal variance hedging, portfolio optimization, option pricing, Fourier transform, stochastic maximum principle, stochastic control problem, stochastic differential equation

27.

A New Approach to Minimal Variance Hedging of European Options (Part 2: The Pure-Jump Case)

Number of pages: 19 Posted: 29 Mar 2021 Last Revised: 01 Jul 2021
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 25 (623,280)

Abstract:

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minimal variance hedging, portfolio optimization, option pricing, Fourier transform, stochastic maximum principle, stochastic control problem, stochastic differential equation

28.

The VIX and Future Information

International Journal of Theoretical and Applied Finance (IJTAF), Vol. 24, No. 06n07, 2150038, September & November 2021
Posted: 07 Jul 2020
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 82

Abstract:

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VIX index/futures/option, variance swap, realized volatility, mean variance hedging, Barndorff-Nielsen Shephard (BNS) stochastic volatility model, information premium, Lévy process, enlarged filtration, stochastic differential equation (SDE), stochastic maximum principle