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A Non-Gaussian Ornstein-Uhlenb...
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Volatility
Theorie
86
Theory
86
Option pricing theory
72
Optionspreistheorie
72
Stochastic process
66
Stochastischer Prozess
66
Derivat
54
Derivative
54
Volatilität
45
Hedging
36
Energiemarkt
32
Energy market
32
Electricity price
26
Portfolio selection
26
Portfolio-Management
26
Strompreis
26
Weather
21
Wetter
21
Risk premium
19
Electric power industry
18
Elektrizitätswirtschaft
18
Option trading
17
Optionsgeschäft
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Risikoprämie
17
Risk
17
Risiko
15
Spot market
15
Spotmarkt
15
Time series analysis
15
Zeitreihenanalyse
15
Incomplete market
12
Unvollkommener Markt
12
Yield curve
12
Zinsstruktur
12
Commodity derivative
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Energiehandel
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35
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5
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2
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2
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2
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English
45
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Benth, Fred Espen
34
Kallsen, Jan
8
Meyer-Brandis, Thilo
4
Groth, Martin
3
Kiesel, Rüdiger
3
Koekebakker, Steen
3
Muhle-Karbe, Johannes
3
Cartea, Alvaro
2
Felten, Björn
2
Khedher, Asma
2
Kremer, Marcel
2
Paraschiv, Florentina
2
Pircalabu, Anca
2
Vierthauer, Richard
2
Černý, Aleš
2
Andresen, Arne
1
Barndorff-Nielsen, Ole E.
1
Blanco, Ana Solanilla
1
Blanco, Sara Ana Solanilla
1
Christensen, Troels Sønderby
1
Deelstra, Griselda
1
Denkl, Stephan
1
Di Nunno, Giulia
1
Di Persio, Luca
1
Eyjolfsson, Heidar
1
Hell, Philipp
1
Hvistendahl Karlsen, Kenneth
1
Jahncke, Giso
1
Kettler, Paul C.
1
Kozpınar, And Sinem
1
Krühner, Paul
1
Kufakunesu, Rodwell
1
Kutrolli, Gleda
1
Lavagnini, Silvia
1
Lindberg, Carl
1
Nazarova, Anna
1
Ollmar, Fridthjof
1
Ortiz-Latorre, Salvador
1
Piccirilli, Marco
1
Reikvam, Kristin
1
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International journal of theoretical and applied finance
9
Finance and stochastics
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
2
Applied mathematical finance
2
Energy economics
2
IMA journal of management mathematics
2
Risks : open access journal
2
Birkbeck working papers in economics and finance : BWPEF
1
Journal of banking & finance
1
Mathematical Finance, 2008, 18(3), 473-492
1
Mathematics and financial economics
1
Quantitative finance
1
Recent advances in financial engineering 2012 : proceedings of the International Workshop on Finance 2012, the University of Tokyo, Japan, 30-31 October 2012
1
Review of finance : journal of the European Finance Association
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
Working papers on finance
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ECONIS (ZBW)
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1
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Benth, Fred Espen
;
Meyer-Brandis, Thilo
- In:
Finance and stochastics
9
(
2005
)
4
,
pp. 563-575
Persistent link: https://www.econbiz.de/10003133280
Saved in:
2
Consistent factor models for temperature markets
Hell, Philipp
;
Meyer-Brandis, Thilo
;
Rheinländer, Thorsten
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009624466
Saved in:
3
How duration between trades of underlying securities affects option prices
Cartea, Alvaro
;
Meyer-Brandis, Thilo
- In:
Review of finance : journal of the European Finance …
14
(
2010
)
4
,
pp. 749-785
Persistent link: https://www.econbiz.de/10008823633
Saved in:
4
How does duration between trades of underlying securities affect option prices
Cartea, Alvaro
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003595139
Saved in:
5
On forward price modeling in power markets
Benth, Fred Espen
- In:
Alternative investments and strategies : credit, …
,
(pp. 93-122)
.
2010
Persistent link: https://www.econbiz.de/10008655206
Saved in:
6
The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets
Benth, Fred Espen
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 595-625
Persistent link: https://www.econbiz.de/10009311688
Saved in:
7
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 477-496)
.
2016
Persistent link: https://www.econbiz.de/10011800392
Saved in:
8
Discrete-time variance-optimal hedging in affine stochastic volatility models
Kallsen, Jan
;
Muhle-Karbe, Johannes
;
Shenkman, Natalia
; …
- In:
Alternative investments and strategies : credit, …
,
(pp. 375-393)
.
2010
Persistent link: https://www.econbiz.de/10008655196
Saved in:
9
Pricing options on variance in affine stochastic volatility models
Kallsen, Jan
;
Muhle-Karbe, Johannes
;
Voß, Moritz
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 627-641
Persistent link: https://www.econbiz.de/10009311683
Saved in:
10
Second-order approximations to pricing and hedging in presence of jumps and stochastic volatility
Denkl, Stephan
-
2013
Persistent link: https://www.econbiz.de/10010200946
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