Markus Hess

Université Libre de Bruxelles (ULB)

CP 210 Boulevard du Triomphe

Brussels, Brussels 1050

Belgium

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

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 (59,535)
Citation 1

Abstract:

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: 19 Aug 2016
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 193 (111,252)

Abstract:

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 (144,110)

Abstract:

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 (217,244)

Abstract:

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 (273,564)

Abstract:

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

6.

Cliquet Option Pricing with Meixner Processes

Number of pages: 16 Posted: 11 Aug 2017 Last Revised: 20 Sep 2017
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (444,328)

Abstract:

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

7.

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 (377,092)

Abstract:

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

8.

Minimal Variance Hedging in Multi-Curve Interest Rate Modeling

Number of pages: 17 Posted: 22 Feb 2017 Last Revised: 02 Jun 2017
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (331,333)

Abstract:

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

9.

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 (247,981)

Abstract:

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

10.

Modeling Positive Electricity Prices with Arithmetic Jump-Diffusions

Number of pages: 24 Posted: 30 May 2016 Last Revised: 14 Jul 2017
Markus Hess
Université Libre de Bruxelles (ULB)
Downloads 0 (303,651)

Abstract:

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.

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 (200,718)

Abstract:

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