Jasper Hoogland

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It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often under the name of 'change of numeraire', but in recent work it was shown that when invoked as a fundamental first principle , it provides a powerful alternative method for the(More)
Prices of tradables can only be expressed relative to each other at any instant of time. This fundamental fact should therefore also hold for contingent claims, i.e. tradable instruments, whose prices depend on the prices of other tradables. We show that this property induces a local scaling invariance in the problem of pricing contingent claims. Due to(More)
Motivated by the energy domain, we examine a risk-averse buyer that has to purchase a fixed quantity of a continuous good. The buyer has two opportunities to buy: now or later. The buyer can spread the quantity over the two timeslots in any way, as long as the total quantity remains the same. The current price is known, but the future price is not. It is(More)
We examine retailers that maximize their relative profit, which is the (absolute) profit relative to the average profit of the other retailers. Customer behavior is modelled by a multinomial logit (MNL) demand model. Although retailers with low retail prices attract more customers than retailers high retail prices, the retailer with the lowest retail price,(More)
This is a list of theses and publications, marked as follows: H done (at least partially) at Stony Ford, OR * providing a perspective on work at Stony Ford, OR • on a topic that could profitably be pursued at Stony Ford. Unless otherwise noted, the theses were done by undergraduates in the Department of Biology or the Department of Ecology and Evolutionary(More)
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in terms of tradables. The basic idea is to fit a finite difference scheme to exact solutions of the pricing PDE. This can be done in a very elegant way, due to the fact that in our(More)
This article is the second one in a series on the use of scaling invariance in finance. In the first paper, we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects only, and which completely avoids the use of martingale techniques. In this article we show the use of the formalism in the context of(More)
In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale invariance that exists in the theory of contingent claim pricing. This allows us to derive, in a natural way, a simple PDE for the price of arithmetic Asians options. In the case(More)