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~isPartOf:"Energy economics"
~isPartOf:"Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir"
~isPartOf:"The journal of energy markets"
~subject:"Electricity price"
~subject:"Optionspreistheorie"
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Electricity price
Optionspreistheorie
Stochastic process
89
Stochastischer Prozess
89
Theorie
36
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36
Volatility
30
Volatilität
30
Electric power industry
20
Elektrizitätswirtschaft
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Option pricing theory
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Ignatieva, Ekaterina
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Schmeck, Maren Diane
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Ambrosius, Mirjam
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Energy economics
Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir
The journal of energy markets
International journal of theoretical and applied finance
211
Quantitative finance
99
Applied mathematical finance
85
The journal of computational finance
84
Finance and stochastics
80
Insurance / Mathematics & economics
66
Mathematical finance : an international journal of mathematics, statistics and financial theory
62
European journal of operational research : EJOR
59
International journal of financial engineering
55
Journal of mathematical finance
47
Computational economics
46
Risks : open access journal
41
Review of derivatives research
40
The journal of futures markets
38
Journal of economic dynamics & control
37
Finance research letters
36
The North American journal of economics and finance : a journal of financial economics studies
32
Journal of banking & finance
31
Annals of finance
26
Journal of econometrics
26
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
24
Research paper series / Swiss Finance Institute
24
Asia-Pacific financial markets
22
Journal of risk and financial management : JRFM
20
Mathematical finance : an international journal of mathematics, statistics and financial economics
19
The European journal of finance
19
Economic modelling
18
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
Mathematics and financial economics
17
Operations research letters
17
Journal of financial economics
15
Decisions in economics and finance : DEF ; a journal of applied mathematics
14
Mathematics of operations research
14
Review of quantitative finance and accounting
14
SFB 649 discussion paper
14
Applied economics
13
Mathematical methods of operations research
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Operations research
13
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ECONIS (ZBW)
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1
Jumps in commodity prices : new approaches for pricing plain vanilla options
Crosby, John
;
Frau, Carme
- In:
Energy economics
114
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013477538
Saved in:
2
Risk aversion in multilevel electricity market models with different congestion pricing regimes
Ambrosius, Mirjam
;
Egerer, Jonas
;
Grimm, Veronika
; …
- In:
Energy economics
105
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013201742
Saved in:
3
Valuing investments in domestic PV-Battery Systems under uncertainty
Andreolli, Francesca
;
D'Alpaos, Chiara
;
Moretto, Michele
- In:
Energy economics
106
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013202034
Saved in:
4
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:
5
Short-term risk management of electricity retailers under rising shares of decentralized solar generation
Russo, Marianna
;
Kraft, Emil
;
Bertsch, Valentin
;
Keles, …
- In:
Energy economics
109
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013283857
Saved in:
6
The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika
;
Schmeck, Maren Diane
;
Kh.Balci, Anna
- In:
Energy economics
113
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013540564
Saved in:
7
A fractional Brownian-Hawkes model for the Italian electricity spot market : estimation and forecasting
Giordano, Luca M.
;
Morale, Daniela
- In:
The journal of energy markets
14
(
2021
)
3
,
pp. 65-109
Persistent link: https://www.econbiz.de/10012805344
Saved in:
8
Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay
;
Ignatieva, Ekaterina
- In:
Energy economics
98
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
Saved in:
9
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:
10
Contracts in electricity markets under EU ETS : a stochastic programming approach
Abate, Arega Getaneh
;
Riccardi, Rossana
;
Ruiz, Carlos
- In:
Energy economics
99
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012939437
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