4

As a starting point to this, determining seasonality for a given market is as follows: i) Take several years of historical spot price time series, e.g. TTF spot prices. For year $i$ work out a yearly price $p_{yr,i}$ by taking the arithmetic average of daily spot prices. Do the same in respect of month number $j$ of the same year to get a monthly price $p_{...


3

This is indeed a standard result. You can convince yourself by noticing The bank account grows from 1 at $t=\tau$ to $E\left[\exp(\int_\tau^T r(u)du)|\mathscr{F}_\tau\right]$ at time $T$ The price of a security paying $X$ at time $T$ discounted to $t=\tau$ is then $E\left[X \exp(-\int_\tau^T r(u)du)\right|\mathscr{F}_\tau]$ Hence the price of a credit risk-...


1

Black-Scholes does not really require a constant interest rate. For a european option with maturity $T$ the only rate involved is the zero coupon rate for maturity $T$. The theory behind this comes from working under the $T$-forward measure (the risk neutral measure associated with the zero coupon bond as numeraire). The only subtelty is that the model ...


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