Abstract. We solve two optimal stopping problems whose payoff functions are the maximum and the minimum of two state variables driven by the Ornstein-Uhlenbeck processes. We consider a class of problems where we obtain analytical solutions. Furthermore, by making use of the analytical results we study some properties of exercise regions including convexity, symmetry, and continuity.

Abstract. We investigate the pricing of swing options in a model where the logarithm of the spot price is the sum of a deterministic seasonal trend and an Ornstein-Uhlenbeck process driven by a jump diffusion. First we calibrate the model to Nord Pool electricity market data. Second, the existence

We consider the three factor double mean reverting (DMR) model of Gatheral (2008), a model which can be successfully calibrated to both VIX options and SPX options simultaneously. One drawback of this model is that calibration may be slow because no closed form solution for European options exists

Abstract. This work provides an optimal trading rule that allows buying, selling and short selling of an asset when its price is governed by mean-reverting model. The goal is to find the buy and sell prices such that the overall return (with slippage cost imposed) is maximized. The associated HJB

not support a mean-reverting model of asset prices.

mean in comparison to the tick-by-tick fluctuations of the index value, but it is fast mean-reverting when looked at over the time scale of a derivative contract (many months). This motivates an asymptotic analysis of the partial differential equation satisfied by derivative prices, utilizing

This paper examines the intertemporal behavior of the short-term rate of interest in a mean-reverting model (Vasicek's elastic random walk model). Using the GoldfeldQuandt switching regressions technique, we show that the mean-reverting model switched regimes three times over the sample

). The regu-larity of the Itô map ensures a large deviation principle, and the existence of a density with respect to Lebesgue’s measure, for the solution of that general-ized mean-reverting equation. Finally, we study a generalized mean-reverting pharmacokinetic model. Contents

choice problem of constant relative risk averse investors, under the assumption that ination rates are mean-reverting. We consider alternative specications for the ination compensation offered by the available assets, in order to study the effect on portfolio choice and welfare. Moreover, we study

We introduce a mean-reverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the well-known Wright-Fisher diffusion. We provide conditions that ensure weak and strong uniqueness of the SDE, and describe its ergodic limit. We