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A comparison of wavelet networks and genetic programming in the context of temperature derivatives

Alexandridis, Antonis K.; Kampouridis, Michael; Cramer, Sam - In: International journal of forecasting 33 (2017) 1, pp. 21-47

Persistent link: https://www.econbiz.de/10011754682

A dynamic programming approach for pricing weather derivatives under issuer default risk

Härdle, Wolfgang; Osipenko, Maria - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-18

Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather … risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of … weather derivatives under default risk on the issuer side in over-the-counter markets. In our model, agents maximise the …

Persistent link: https://www.econbiz.de/10011760235

Intraday power trading : toward an arms race in weather forecasting?

Kuppelwieser, Thomas; Wozabal, David - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 57-83

Persistent link: https://www.econbiz.de/10014226371

Continuously controlled options : derivatives with added flexibility

Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10009725089

Upper and lower bounds for convex value functions of derivative contracts

Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75

Persistent link: https://www.econbiz.de/10010360612

Perturbative expansion technique for non-linear FBSDEs with interacting particle method

Fujii, Masaaki; Takahashi, Akihiko - In: Asia-Pacific financial markets 22 (2015) 3, pp. 283-304

Persistent link: https://www.econbiz.de/10011524810

Portfolio optimization for American options

Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64

Persistent link: https://www.econbiz.de/10011988191

Polynomial upper and lower bounds for financial derivative price functions under regime-switching

Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71

Persistent link: https://www.econbiz.de/10011976660

Applications of simulation-based methods in finance : the use of ModelRisk software

Habibi, Hamed; Habibi, Reza - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 82-89

Persistent link: https://www.econbiz.de/10011720964

Robust option pricing : Hannan and Blackwell meet Black and Scholes

DeMarzo, Peter M.; Kremer, Ilan; Mansour, Yishay - In: Journal of economic theory 163 (2016), pp. 410-434

Persistent link: https://www.econbiz.de/10011593386