Seminar series
Date
Thu, 22 Nov 2012
Time
13:00 -
15:00
Location
DH 1st floor SR
Speaker
Jeff Dewynn
A number of pricing models for electricity and carbon credit pricing involve nonlinear dependencies between two, or more, of the processes involved; for example, the models developed by Schwarz and Howison. The consequences of these nonlinearities are not well understood.
In this talk I will discuss some much simpler models, namely options whose values are defined self-referentially, which have been looked at in order to better understand the effects of these non-linear dependencies.