英文标题：
《Cointegrating Jumps: an Application to Energy Facilities》
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作者：
Nicola Cufaro Petroni and Piergiacomo Sabino
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最新提交年份：
2016
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英文摘要：
  Based on the concept of self-decomposable random variables we discuss the application of a model for a pair of dependent Poisson processes to energy facilities. Due to the resulting structure of the jump events we can see the self-decomposability as a form of cointegration among jumps. In the context of energy facilities, the application of our approach to model power or gas dynamics and to evaluate transportation assets seen as spread options is straightforward. We study the applicability of our methodology first assuming a Merton market model with two underlying assets; in a second step we consider price dynamics driven by an exponential mean-reverting Geometric Ornstein-Uhlenbeck plus compound Poisson that are commonly used in the energy field. In this specific case we propose a price spot dynamics for each underlying that has the advantage of being treatable to find non-arbitrage conditions. In particular we can find close-form formulas for vanilla options so that the price and the Greeks of spread options can be calculated in close form using the Margrabe formula (if the strike is zero) or some other well known approximation.
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中文摘要：
基于自分解随机变量的概念，我们讨论了一对相依泊松过程模型在能源设施中的应用。由于跳跃事件的结果结构，我们可以将自分解视为跳跃之间协整的一种形式。在能源设施的背景下，应用我们的方法对电力或气体动力学进行建模，并评估被视为差价选项的运输资产，是很简单的。我们研究了我们方法的适用性，首先假设一个默顿市场模型有两个基础资产；在第二步中，我们考虑了由指数平均数回复几何的Ornstein-Uhlenbeck加上复合泊松所驱动的价格动态，这在能源领域中常用。在这种特定情况下，我们为每一个具有可处理优势的标的证券提出了一个价格现货动态，以发现无套利条件。特别是，我们可以找到普通期权的封闭式公式，这样就可以使用Margrabe公式（如果行权为零）或其他一些众所周知的近似值，以封闭式计算差价期权的价格和价格。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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