2 papers
stat.AP2025
Data-driven Calibration Sample Selection and Forecast Combination in Electricity Price Forecasting: An Application of the ARHNN Method
Tomasz Serafin, Weronika Nitka
Calibration sample selection and forecast combination are two simple yet powerful tools used in forecasting. They can be combined with a variety of models to significantly improve…
q-fin.CP2020
Note on simulation pricing of -options
Zbigniew Palmowski, Tomasz Serafin
In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman (1997) to price a -option. This method is based on the simulated price tree that comes from d…