John Moriarty

Queen Mary University of London - School of Mathematical Sciences

School of Mathematical Sciences

Mile End Road

London, E1 4NS

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

351

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Real Option Valuation for Reserve Capacity

Number of pages: 32 Posted: 12 Oct 2014 Last Revised: 03 Jul 2016
John Moriarty and Jan Palczewski
Queen Mary University of London - School of Mathematical Sciences and University of Leeds - School of Mathematics
Downloads 225 (143,123)
Citation 2

Abstract:

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American option, real option, energy balancing, capacity market

2.

Bayesian Calibration and Number of Jump Components in Electricity Spot Price Models

Number of pages: 43 Posted: 13 Jan 2016 Last Revised: 06 May 2017
Jhonny Gonzalez, John Moriarty and Jan Palczewski
University of Manchester - School of Mathematics, Queen Mary University of London - School of Mathematical Sciences and University of Leeds - School of Mathematics
Downloads 67 (354,379)

Abstract:

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Multifactor models, Bayesian calibration, Markov Chain Monte Carlo, Ornstein-Uhlenbeck process, Electricity spot price, Negative jumps

3.

A Non Convex Singular Stochastic Control Problem and Its Related Optimal Stopping Boundaries

Institute of Mathematical Economics Working Paper No. 508
Number of pages: 25 Posted: 11 May 2014 Last Revised: 05 Dec 2014
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
University of Manchester, Bielefeld University - Center for Mathematical Economics and Queen Mary University of London - School of Mathematical Sciences
Downloads 32 (481,079)
Citation 1

Abstract:

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fi nite-fuel singular stochastic control, optimal stopping, free-boundary, smooth-fit, Hamilton-Jacobi-Bellman equation, irreversible investment

4.

A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs

Center for Mathematical Economics Working Paper No. 531
Number of pages: 28 Posted: 05 Dec 2014
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
University of Manchester, Bielefeld University - Center for Mathematical Economics and Queen Mary University of London - School of Mathematical Sciences
Downloads 27 (506,813)

Abstract:

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finite-fuel singular stochastic control, optimal stopping, free boundary, Hamilton-Jacobi-Bellmann equation, irreversible investment, electricity market