Markus Hess

Université Libre de Bruxelles (ULB)

CP 210 Boulevard du Triomphe

Brussels, Brussels 1050

Belgium

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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 375 (61,172)
Citation 1

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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 193 (111,971)

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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 135 (143,625)

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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.

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 67 (222,487)

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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

5.

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 48 (277,437)

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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

6.

A Lower-Bounded Short Rate Model

Number of pages: 28 Posted: 27 Dec 2017 Last Revised: 09 Jan 2018
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (440,101)

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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

7.

An Anticipative Stochastic Minimum Principle under Enlarged Filtrations

Number of pages: 24 Posted: 27 Nov 2017 Last Revised: 09 Jan 2018
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (445,277)

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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

8.

Cliquet Option Pricing with Meixner Processes

Number of pages: 16 Posted: 11 Aug 2017 Last Revised: 03 Jan 2018
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (380,075)

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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

9.

Cliquet Option Pricing in a Jump-Diffusion Lévy Model

Number of pages: 17 Posted: 03 Jun 2017 Last Revised: 30 Aug 2017
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (353,075)

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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

10.

Minimal Variance Hedging in Multi-Curve Interest Rate Modeling

Number of pages: 18 Posted: 22 Feb 2017 Last Revised: 09 Jan 2018
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (307,497)

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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

11.

An Arithmetic Pure-Jump Multi-Curve Interest Rate Model

Number of pages: 28 Posted: 04 Aug 2016 Last Revised: 10 Jun 2017
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (248,312)

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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

12.

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 0 (300,053)

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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

13.

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: 09 Dec 2016
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (200,642)

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