Francis Longstaff
Francis A. Longstaff is a Certified Public Accountant (CPA) and a Chartered Financial Analyst (CFA). From 1995 to 1998, Professor Longstaff was head of Fixed Income Derivative Research at Salomon Brothers Inc. in New York. Professor Longstaff has also worked in the research department of the Chicago Board of Trade and for Deloitte and Touche as a management consultant.
Articles by this Author
Valuing American options by simulation: A simple least-squares approach
- By Francis Longstaff
- Published 12/10/2007
- Valuation
- Unrated
Keywords:
Published in: The review of financial studies
Publication year: 2001
Co-author 1: Eduardo Schwartz
This article presents a simple yet powerful new approach for approximating the value of American options by simulation. The key to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable in path-dependent and multifactor situations where traditional finite difference techniques cannot be used. we illustrate this technique with several realistic examples including valuing an option when the underlying asset follows a jump-diffusion process and valuing an American swaption in a 20-factor string model of the term structure.
Published in: The review of financial studies
Publication year: 2001
Co-author 1: Eduardo Schwartz
This article presents a simple yet powerful new approach for approximating the value of American options by simulation. The key to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable in path-dependent and multifactor situations where traditional finite difference techniques cannot be used. we illustrate this technique with several realistic examples including valuing an option when the underlying asset follows a jump-diffusion process and valuing an American swaption in a 20-factor string model of the term structure.
Electricity forward prices: A High-Frequency Empirical Analysis
- By Francis Longstaff
- Published 12/21/2007
- Price modeling
- Unrated
Keywords:
Published in:
Publication year: 2002
Co-author 1: Ashley Wang
We conduct an empirical analysis of electricity forward prices using a highfrequency data set of hourly spot and day-ahead forward prices. We nd that there are signi cant risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors such as the volatility of unexpected changes in prices and demand as well as the risk of price spikes. In contrast to the popular post-Enron view that electricity markets are easily manipulated, these results support the hypothesis that electricity forward prices are determined rationally by risk-averse economic agents.
Published in:
Publication year: 2002
Co-author 1: Ashley Wang
We conduct an empirical analysis of electricity forward prices using a highfrequency data set of hourly spot and day-ahead forward prices. We nd that there are signi cant risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors such as the volatility of unexpected changes in prices and demand as well as the risk of price spikes. In contrast to the popular post-Enron view that electricity markets are easily manipulated, these results support the hypothesis that electricity forward prices are determined rationally by risk-averse economic agents.