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- Peter Hepperger
- SIAM J. Financial Math.
- 2010

Hilbert space-valued jump-diffusion models are employed for various markets and derivatives. Examples include swaptions, which depend on continuous forward curves, and basket options on stocks. Usually, no analytical pricing formulas are available for such products. Numerical methods, on the other hand, suffer from exponentially increasing computational… (More)

- Peter Hepperger
- 2010

The basic contracts traded on energy exchanges are swaps involving the delivery of electricity for fixed-rate payments over a certain period of time. The main objective of this article is to solve the quadratic hedging problem for European options on these swaps, known as electricity swaptions. We consider a general class of Hilbert space valued exponential… (More)

- Peter Hepperger
- 2010

The basic contracts traded on energy exchanges involve fixed-rate payments for the delivery of electricity over a certain period of time. It has been shown that options on these electricity swaps can be priced efficiently using a Hilbert space-valued time-inhomogeneous jump-diffusion model for the forward curve. We consider the mean-variance hedging problem… (More)

- Peter Hepperger
- 2010

Asian options on a single asset under a jump-diffusion model can be priced by solving a partial integro-differential equation (PIDE). We consider the more challenging case of an option whose payoff depends on a large number (or even a continuum) of assets. Possible applications include options on a stock basket index and electricity contracts with a… (More)

- Peter Hepperger
- 2011

We present a numerical method for pricing Bermudan options depending on a large number of underlyings. The asset prices are modeled with exponential time-inhomogeneous jump-diffusion processes. We improve the least-squares Monte Carlo method proposed by Longstaff and Schwartz introducing an efficient variance reduction scheme. A control variable is obtained… (More)

- Christian Clason, Peter Hepperger
- SIAM J. Scientific Computing
- 2009

Variational data assimilation problems are concerned with computing unknown initial values for the simulation and prediction of natural phenomena, most notably in weather prediction, and are usually solved via an ill-posed optimal control problem for the initial state at the time of the first available measurements. An alternative “forward” approach focuses… (More)

- Peter Hepperger
- 2010

The basic contracts traded on energy exchanges are swaps. They involve fixed-rate payments for the delivery of electricity over a certain period of time. It has been shown that options on these swaps (called electricity swaptions) can be priced efficiently using a Hilbert space-valued timeinhomogeneous jump-diffusion model for the forward curve. We consider… (More)

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