6 Publikationen

2020 | Diskussionspapier | Veröffentlicht | PUB-ID: 2943342 OA
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Kemper, Annika, The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. 635 (). Bielefeld, 2020
PUB | PDF
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2935798 OA
Mortality Options: the Point of View of an Insurer
Schmeck, Maren Diane, Mortality Options: the Point of View of an Insurer. 616 (). Bielefeld, 2019
PUB | PDF
 
2019 | Diskussionspapier | Veröffentlicht | PUB-ID: 2937756 OA
Capturing the power options smile by an additive two-factor model for overlapping futures prices
Piccirilli, Marco, Capturing the power options smile by an additive two-factor model for overlapping futures prices. 625 (). Bielefeld, 2019
PUB | PDF
 
2019 | Zeitschriftenaufsatz | E-Veröff. vor dem Druck | PUB-ID: 2935585
On the seasonality in the implied volatility of electricity options
Fanelli, Viviana, On the seasonality in the implied volatility of electricity options. Quantitative Finance 19 (8). , 2019
PUB | DOI | WoS
 
2017 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2912010
Electricity price modeling with stochastic time change
Borovkova, Svetlana, Electricity price modeling with stochastic time change. ENERGY ECONOMICS 63 (). , 2017
PUB | DOI | WoS
 
2016 | Zeitschriftenaufsatz | Veröffentlicht | PUB-ID: 2908022
PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED
Schmeck, Maren Diane, PRICING OPTIONS ON FORWARDS IN ENERGY MARKETS: THE ROLE OF MEAN REVERSION'S SPEED. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE 19 (8). , 2016
PUB | DOI | WoS
 

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