We consider the integrated optimization problem of procurement, processing, and trade of
commodities in a multiperiod setting. Motivated by the operations of a prominent commodity …

Implied volatility (IV) reflects both expected empirical volatility and also risk premia.
Stochastic variation in either creates unhedged risk in a delta hedged options position. We …

This article presents lower and upper bounds on the prices of basket options for a general
class of continuous-time financial models. The techniques we propose are applicable …

We have presented a new unified approach to model the dynamics of both the sum and
difference of two correlated lognormal stochastic variables. By the Lie-Trotter operator …

We study the applicability to energy facilities of a model for correlated Poisson processes
generated by self-decomposable jumps. In this context, the implementation of our approach …

In this paper, we investigate basket spread options under the Heston–Nandi GARCH model.
Moreover, we adopt the reduced-form model to capture default risk, which is correlated with …

Adverse commodity prices can cause significant negative cash flows and expose firms that
deal in commodities to financial distress. In this paper we consider the dynamic risk …

In this paper, we propose a new framework for modeling commodity forward curves. The
proposed model describes the dynamics of fundamental driving factors simultaneously …

Using neural networks, we compute bounds on the prices of multi-asset derivatives given
information on prices of related payoffs. As a main example, we focus on European basket …

Pricing basket options has always been one of the key problems in financial engineering
because of high dimensionality and low convergence rate. This paper proposes a hybrid …