Search Results - "Colwell, David B."

A multi-factor model with time-varying and seasonal risk premiums for the natural gas market by Shao, Chengwu, Bhar, Ramaprasad, Colwell, David B.

“…In this paper, we develop a quantitative model of the US natural gas market that explores its multi-factor structure and its time-varying and seasonal risk…”
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Risk Premium in Electricity Prices: Evidence from the PJM Market by Xiao, Yuewen, Colwell, David B., Bhar, Ramaprasad

“…In this article, we construct a stochastic model for electricity spot prices, derive a pricing formula for electricity forward contracts, and specify risk…”
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A structural model for credit risk with switching processes and synchronous jumps by Hainaut, Donatien, Colwell, David B.

“…This paper studies a switching regime version of Merton's structural model for the pricing of default risk. The default event depends on the total value of the…”
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Non-transferable non-hedgeable executive stock option pricing by Colwell, David B., Feldman, David, Hu, Wei

“…To value non-transferable non-hedgeable (NTNH) contingent claims and price executive stock options (ESOs), we use a replication argument to translate…”
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Variance minimizing strategies for stochastic processes with applications to tracking stock indices by Colwell, David B., El‐Hassan, Nadima, Kwon, Oh Kang

“…This paper extends the notion of variance optimal hedging of contingent claims under the incomplete market setting to the hedging of entire processes and…”
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Hitting times, number of jumps, and occupation times for continuous-time finite state Markov chains by Colwell, David B.

“…In this paper we discuss three random variables associated with a finite state continuous-time Markov chain having a constant transition rate matrix: the…”
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Variance dynamics and term structure of the natural gas market by Shao, Chengwu, Bhar, Ramaprasad, Colwell, David B., Sheng, Ni, Wei, Xinyang

“…In this paper, we develop a stochastic model to investigate the variance dynamics and term structure of the US natural gas market. The model features two…”
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A jump diffusion model for spot electricity prices and market price of risk by Bhar, Ramaprasad, Colwell, David B., Xiao, Yuewen

“…We construct a jump-diffusion model with seasonality, mean-reversion, time-dependent jump intensity and heteroskedastic disturbance for electricity spot…”
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Effect of Investor Category Trading Imbalances on Stock Returns by COLWELL, DAVID, HENKER, JULIA, WALTER, TERRY

“…ABSTRACT Trading is the mechanism of the economist's ‘invisible hand,’ the means by which price discovery occurs. We use daily shareholdings data from the…”
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