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12 records from EconBiz based on author Name
1. Explicit approximations of multi-asset option prices including Greeks
Börger, Reik H.;2014
Type: Aufsatz in Zeitschrift; Article in journal;
2. A multivariate commodity analysis and applications to risk management
Börger, Reik H.; Cartea, Álvaro; Kiesel, Rüdiger; Schindlmayr, Gero;2007
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:
3. Valuation of Structured Retail Electricity Contracts With Market Models
abstractIt is the goal of this work to show, how financial models can be used to price certain contracts in the electricity market in analogy to interest rate products. Such contracts are delivery contracts with retail or institutional customers. In fact, many features of electricity products exist almost identically in structured Libor products and some models have already been adapted to the world of commodities. Yet, we are the first to show, how they can be applied to value such structures in the retail market. Though the market under consideration is far from being driven by rational participants only, we show how to quantify features such as call rights for customers, hedge analysis for utilities and monetarize laziness, i.e. irrational behaviour of customers merely based on public information
Metka, Kevin; Boerger, Reik H.;2011
Availability: Link
4. Explicit Approximations of Multi-Asset Option Prices Including Greeks
abstractIn this article we give a lower bound approximation to a stochastic program that is typical for many complex financial derivatives, e.g. Bermudan options, Rainbow options and swing contracts. The approximation is based on an algorithm that does not require any simulation but uses a well-known spread option pricing formula. Since the method explicitly computes lower bounds for the claim's value, sensitivities such as deltas and gammas are available as well as derivatives with respect to correlations and other inputs. Our resulting procedure is a powerful and practical tool for the pricing and risk analysis of exotic payoff structures. As such, it is useful in the day-to-day environment of financial institutions
Börger, Reik H.;2011
Availability: Link Link
5. Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.; Heys, Jan van;2010
Type: Aufsatz in Zeitschrift; Article in journal;
6. Cross-Commodity Analysis and Applications to Risk Management
abstractThe understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. While this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this paper we are concerned with describing the joint return distribution of energy related commodities futures, namely power, oil, gas, coal and carbon.The objective of the paper is threefold. First, we conduct a careful analysis of empirical returns and show how the class of multivariate generalized hyperbolic distributions performs in this context. Second, we present how risk measures can be computed for commodity portfolios based on generalized hyperbolic assumptions. And finally, we discuss the implications of our findings for risk management analyzing the exposure of power plants which represent typical energy portfolios.Our main findings are that risk estimates based on a normal distribution in the context of energy commodities can be statistically improved using generalized hyperbolic distributions. Those distributions are flexible enough to incorporate many characteristics of commodity returns and yield more accurate risk estimates. Our analysis of the market suggests that carbon allowances can be a helpful tool for controlling the risk exposure of a typical energy portfolio representing a power plant
Boerger, Reik H.; Cartea, Álvaro; Kiesel, Ruediger; Schindlmayr, Gero;2009
Availability: Link
7. A Multivariate Commodity Analysis and Applications to Risk Management
Boerger, Reik H.; Cartea, Alvaro; Kiesel, Ruediger; Schindlmayr, Gero;2007
Availability:
8. Erweiterung eines Strompreismodells um GARCH-Prozesse
Börger, Reik H.;2004
9. Erweiterung eines Strompreismodells um GARCH-Prozesse
Börger, Reik H.;2004
Type: Graue Literatur; Non-commercial literature;
10. Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options
abstractThis work discusses the calibration of instantaneous Libor correlations in the Libor market model. We extend existing calibration strategies by incorporation of spread option implied correlation information. The correlation structure implied by CMS spread options observed in the present-day's market motivates us to extend existing parameterizations of ratio correlations by a new three parameter approach. For the first time, this paper presents an extensive empirical study of different parameterizations and their capability of matching market correlations. We can show that our approach leads to stable calibrations and gives a satisfactory fit to the market. We conclude our investigation with a pricing of a callable swap on cms spread using the parameterizations compared before
Heys, Jan van; Börger, Reik H.;2011