26,724 research outputs found
Interest-rate models: an extension to the usage in the energy market and pricing exotic energy derivatives.
In this thesis, we review various popular pricing models in the interest-rate market. Among these
pricing models, we choose the LIBOR Market model (LMM) as the benchmark model. Based on
market practice experience, we also develop a pricing model named the “Market volatility model”.
By pricing vanilla interest-rate options such as interest-rate caps and swaptions, we compare the
performance of our Market volatility model to that of the LMM. It is proved that the Market
Volatility model produce comparable results to the LMM, while its computing efficiency largely
exceeds that of the LMM.
Following the recent rapid development in the commodity market, in particular the energy market,
we attempt to extend the use of our proposed Market volatility model from the interest-rate market
to the energy market. We prove that the Market Volatility model is capable of pricing various energy
derivative under the assumption of absence of the convenience yield. In addition, we propose a new
type of exotic energy derivative which has a flexible option structure. This energy derivative is
named as the Flex-Asian spread options (FASO). We give examples of different option structures
within the FASO framework and use the Market volatility model to generate option prices and
greeks for each structure.
Although the Market volatility model can be used to price various energy derivatives based on
oil/gas contracts, it is not compatible with the structure of one of the most advanced derivatives
in the energy market, the storage option. We modify the existing pricing model for storage options
and use our own 3D-binomial tree approach to price gas storage contracts. By doing these, we
improve the performance of the traditional storage model
Feeding back Information on Ineligibility from Sample Surveys to the Frame
It is usually discovered in the data collection phase of a survey that some units in the sample are ineligible even if the frame information has indicated otherwise. For example, in many business surveys a nonnegligible proportion of the sampled units will have ceased trading since the latest update of the frame. This information may be fed back to the frame and used in subsequent surveys, thereby making forthcoming samples more efficient by avoiding sampling nonnegligible units. We investigate what effect on survey estimation the process of feeding back information on ineligibility may have, and derive an expression for the bias that can occur as a result of feeding back. The focus is on estimation of the total using the common expansion estimator. We obtain an estimator that is nearly unbiased in the presence of feed back. This estimator relies on consistent estimates of the number of eligible and ineligible units in the population being available
Classification of Argyres-Douglas theories from M5 branes
We obtain a large class of new 4d Argyres-Douglas theories by classifying
irregular punctures for the 6d (2,0) superconformal theory of ADE type on a
sphere. Along the way, we identify the connection between the Hitchin system
and three-fold singularity descriptions of the same Argyres-Douglas theory.
Other constructions such as taking degeneration limits of the irregular
puncture, adding an extra regular puncture, and introducing outer-automorphism
twists are also discussed. Later we investigate various features of these
theories including their Coulomb branch spectrum and central charges.Comment: 35 pages, 9 tables, 6 figures. v2: minor correction
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