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subject:"Stochastischer Prozess"
~isPartOf:"Energy economics"
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Search: subject_exact:"Monte Carlo method"
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Stochastischer Prozess
Monte Carlo simulation
26
Monte-Carlo-Simulation
26
Option pricing theory
11
Optionspreistheorie
11
Stochastic process
9
Markov chain
8
Markov-Kette
8
Simulation
8
Volatility
7
Volatilität
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Electric power industry
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Elektrizitätswirtschaft
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Bayes-Statistik
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Bayesian inference
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Theorie
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Erneuerbare Energie
4
Real options analysis
4
Realoptionsansatz
4
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Estimation
3
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Monte Carlo
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Portfolio selection
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Electricity price
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Angus, Andrew
1
Baum, Christopher F.
1
Brennan, Feargal
1
Brix, Anne Floor
1
Caporin, Massimiliano
1
Chen, Liyuan
1
Costa, Letícia de Almeida
1
Fuzuli, Gulistiani
1
Garcés, Francisco
1
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Gonzato, Luca
1
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1
Ioannou, Anastasia
1
Lunde, Asger
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Moriarty, John
1
Olsina, Fernando
1
Palczewski, Jan
1
Preś, Juliusz
1
Pringles, Rolando
1
Sgarra, Carlo
1
Teixeira, José Paulo
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Torro, Hipolit
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Vianello, Juliano Melquiades
1
Wei, Wei
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Wong, Patrick
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Yudha, Satya Widya
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Zerilli, Paola
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Energy economics
Discussion paper / Tinbergen Institute
16
Quantitative finance
14
Journal of econometrics
13
Econometric reviews
12
International journal of theoretical and applied finance
12
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
12
The journal of computational finance
12
European journal of operational research : EJOR
11
Computational economics
10
Journal of risk and financial management : JRFM
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Finance and stochastics
8
Finance research letters
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Mathematics of operations research
7
Risks : open access journal
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of empirical finance
6
CEMMAP working papers / Centre for Microdata Methods and Practice
5
International journal of financial engineering
5
SFB 649 discussion paper
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
Working paper
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Applied mathematical finance
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CAMA working paper series
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Discussion paper / Center for Economic Research, Tilburg University
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
4
Economic modelling
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GRIPS discussion papers
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INFORMS journal on computing : JOC
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Insurance / Mathematics & economics
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International journal of forecasting
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Journal of economic dynamics & control
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of mathematical finance
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The North American journal of economics and finance : a journal of financial economics studies
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1
Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina
;
Wong, Patrick
- In:
Energy economics
108
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
Saved in:
2
Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging
Gonzato, Luca
;
Sgarra, Carlo
- In:
Energy economics
99
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012939406
Saved in:
3
Multi-stage stochastic optimization framework for power generation system planning integrating hybrid uncertainty modelling
Ioannou, Anastasia
;
Fuzuli, Gulistiani
;
Brennan, Feargal
; …
- In:
Energy economics
80
(
2019
),
pp. 760-776
Persistent link: https://www.econbiz.de/10012173720
Saved in:
4
Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
5
A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method
Brix, Anne Floor
;
Lunde, Asger
;
Wei, Wei
- In:
Energy economics
72
(
2018
),
pp. 560-582
Persistent link: https://www.econbiz.de/10011972455
Saved in:
6
Bayesian calibration and number of jump components in electricity spot price models
Gonzalez, Jhonny
;
Moriarty, John
;
Palczewski, Jan
- In:
Energy economics
65
(
2017
),
pp. 375-388
Persistent link: https://www.econbiz.de/10011803998
Saved in:
7
Real option valuation of power transmission investments by stochastic simulation
Pringles, Rolando
;
Olsina, Fernando
;
Garcés, Francisco
- In:
Energy economics
47
(
2015
),
pp. 215-226
Persistent link: https://www.econbiz.de/10011527490
Saved in:
8
Dynamic modeling of uncertainty in the planned values of investments in petrochemical and refining projects
Vianello, Juliano Melquiades
;
Costa, Letícia de Almeida
; …
- In:
Energy economics
45
(
2014
),
pp. 10-18
Persistent link: https://www.econbiz.de/10010504801
Saved in:
9
Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano
;
Preś, Juliusz
;
Torro, Hipolit
- In:
Energy economics
34
(
2012
)
5
,
pp. 1700-1712
Persistent link: https://www.econbiz.de/10009687956
Saved in:
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