Results 31 to 40 of about 2,133 (266)
Density forecasting for weather derivative pricing [PDF]
International Journal of Forecasting, 2006 Weather derivatives enable energy companies to protect themselves against weather risk. Weather ensemble predictions are generated from atmospheric models and consist of multiple future scenarios for a weather variable. They can be used to forecast the density of the payoff from a weather derivative.
Taylor J, Buizza R
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Discrete Dynamics in Nature and Society, 2021 This paper studies the pricing of American carbon emission derivatives and its numerical method under the mixed fractional Brownian motion. To capture the long memory properties such as self-similarity and long-range dependence in the price process, we ...
Yuling Wang, Jing Wang
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A Generalized Weighted Monte Carlo Calibration Method for Derivative Pricing
Mathematics, 2021 The weighted Monte Carlo method is an elegant technique to calibrate asset pricing models to market prices. Unfortunately, the accuracy can drop quite quickly for out-of-sample options as one moves away from the strike range and maturity range of the ...
Hilmar Gudmundsson, David Vyncke
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Forecast Based Pricing of Weather Derivatives [PDF]
SSRN Electronic Journal, 2012 Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR) are often not incorporated.
Wolfgang Karl Härdle +2 more
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Derivatives pricing under bilateral counterparty risk [PDF]
The Journal of Risk, 2015 We consider risk-neutral valuation of a contingent claim under bilateral counterparty risk in a reduced-form setting similar to that of Duffe and Huang [1996] and Duffe and Singleton [1999]. The probabilistic valuation formulas derived under this framework cannot be usually used for practical pricing due to their recursive path-dependencies.
Peter Carr, Samim Ghamami
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Rethinking plastic waste: innovations in enzymatic breakdown of oil‐based polyesters and bioplastics
FEBS Open Bio, EarlyView.Plastic pollution remains a critical environmental challenge, and current mechanical and chemical recycling methods are insufficient to achieve a fully circular economy. This review highlights recent breakthroughs in the enzymatic depolymerization of both oil‐derived polyesters and bioplastics, including high‐throughput protein engineering, de novo ...
Elena Rosini +2 more
wiley +1 more source
On the Quantitative Properties of Some Market Models Involving Fractional Derivatives
Mathematics, 2021 We review and discuss the properties of various models that are used to describe the behavior of stock returns and are related in a way or another to fractional pseudo-differential operators in the space variable; we compare their main features and ...
Jean-Philippe Aguilar +2 more
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FEBS Open Bio, EarlyView.Enzymes of the 2‐hydroxyacyl‐CoA lyase group catalyze the condensation of formyl‐CoA with aldehydes or ketones. Thus, by structural adaptation of active sites, practically any pharmaceutically and industrially important 2‐hydroxyacid could be biotechnologically synthesized. Combining crystal structure analysis, active site mutations and kinetic assays,
Michael Zahn +4 more
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Impact of Positive Lifestyle Behaviors on Direct Health Care Cost Savings for Low Back Pain
Arthritis Care &Research, EarlyView.Objective This study aimed to investigate the relationship between a previously purpose‐developed lifestyle behavior scale and health care cost savings related to low back pain (LBP). Methods This longitudinal study used data from the Australian Twin Back (AUTBACK) study. LBP and lifestyle behavior measures were collected at baseline. Physical activity
Ye Tian +8 more
wiley +1 more source
Arthritis Care &Research, Accepted Article.Objective To support high‐quality, patient‐centered care for systemic lupus erythematosus (SLE), the American College of Rheumatology (ACR) developed evidence‐based measures incorporating clinical and patient‐reported outcomes measures (PROMs). Using the Consolidated Framework for Implementation Research (CFIR), we conducted semi‐structured interviews ...
Catherine Nasrallah +13 more
wiley +1 more source