We tackle the calibration of the Stochastic Local-Volatility (SLV) model. This is the class of financial models that combines the local volatility and stochastic volatility features and has been subject of the attention ...

We propose a feasible and constructive methodology which allows us to compute pure hedging strategies with respect to arbitrary square-integrable claims in incomplete markets. In contrast to previous works based on PDE ...

La identificación del movimiento de precios de productos con riesgo como un movimiento browniano geométrico por parte de Black, Scholes y Merton, condujo a la deducción del modelo de Black Scholes para la valoración de las ...

Se presentan los fundamentos del problema de la valoración de opciones en contextos menos restrictivos que el propuesto por Black-Scholes, utilizando ecuaciones diferenciales parciales no lineales.

The increase of smart grids penetration has allowed the development of dierent energy eciency resources, such as demand response programs, integration of electric vehicles into the grid, and the electricity commercialization ...

Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ...

In the day-ahead dispatching of network-constrained electricity markets, renewable energy and distributed resourcesare dispatched together with conventional generation. The uncertainty and volatility ...

A maximum likelihood method for estimating the power-law exponent verifies that the positive and negative tails of the Colombian stock market index (IGBC) and the Colombian peso exchange rate (TRM) approximate a scale-free ...