1 citations · 1 across the 3 of their papers we have counts for
3 papers
Agent-Based Models for Two Stocks with Superhedging
Dario Crisci, Sebastian E. Ferrando, Konrad Gajewski
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class…
Superhedging Supermartingales
C. Bender, S. E. Ferrando, K. Gajewski +1
Supermartingales are here defined on a non-probabilistic setting and can be interpreted solely in terms of superhedging operations. The classical expectation operator is replaced b…
Pricing Energy Contracts under Regime Switching Time-Changed models
Konrad Gajewski, Sebastian Ferrando, Pablo Olivares
The shortcomings of the popular Black-Scholes-Merton (BSM) model have led to models which could more accurately model the behavior of the underlying assets in energy markets, parti…