We discuss the modeling of electricity contracts traded in many deregulated power markets.
These forward/futures type contracts deliver (either physically or financially) electricity over a …

We empirically compare a wide range of term structure models used in the pricing and, in
particular, hedging of caps and swaptions. We analyze the influence of the number of factors …

We examine whether the information in cap and swaption prices is consistent with realized
movements of the interest rate term structure. To extract an option-implied interest rate …

We present the stochastic string model of Santa-Clara and Sornette (2001), as reformulated
by Bueno-Guerrero et al.(2015), as a unifying theory of the continuous-time modeling of the …

Raoul Pietersz was born on 12 June 1978 in Rotterdam, The Netherlands. In 2000, he
obtained a Certificate of Advanced Studies in Mathematics (Mathematical Tripos Part III) …

Traditional affine models of the term structure are eminently tractable, but suffer from
empirical difficulties. Random field models offer great flexibility in fitting the data, but are …

A random field LIBOR market model (RFLMM) is proposed by extending the LIBOR market
model, with interest rate uncertainties modeled via a random field. First, closed‐form …

We develop a Gaussian stochastic string model that provides closed-form expressions for
the prices of caps and swaptions that, under certain conditions, reduce to Black (1976) …

The over-the-counter (OTC) interest rate derivative market is large and rapidly developing. In
March 2005, the Bank for International Settlements published its “Triennial Central Bank …

We develop a Gaussian stochastic string model that provides exact closed-form expressions
for the prices and hedging portfolios of caps and swaptions. Under certain conditions, our …