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~isPartOf:"Energy economics"
~subject:"Derivat"
~subject:"Mathematical programming"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Stochastic process"
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Derivat
Mathematical programming
Monte Carlo simulation
Stochastic process
81
Stochastischer Prozess
81
Theorie
32
Theory
32
Volatility
28
Volatilität
28
Electric power industry
19
Elektrizitätswirtschaft
19
Option pricing theory
19
Optionspreistheorie
19
Oil price
17
Ölpreis
17
Commodity derivative
15
Rohstoffderivat
15
Electricity price
14
Strompreis
14
Estimation
12
Schätzung
12
Stochastic volatility
12
Energiemarkt
10
Energy market
10
Greenhouse gas emissions
10
Treibhausgas-Emissionen
10
Welt
10
World
10
Monte-Carlo-Simulation
9
Time series analysis
9
Zeitreihenanalyse
9
ARCH model
8
ARCH-Modell
8
Derivative
8
Markov chain
8
Markov-Kette
8
Mathematische Optimierung
8
Bayes-Statistik
7
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7
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English
23
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Ignatieva, Ekaterina
2
Li, Y. P.
2
Abate, Arega Getaneh
1
Angus, Andrew
1
Baum, Christopher F.
1
Benth, Fred Espen
1
Bertocchi, Marida
1
Boffino, Luigi
1
Brennan, Feargal
1
Brix, Anne Floor
1
Caporin, Massimiliano
1
Cartea, Álvaro
1
Chen, C.
1
Chen, Liyuan
1
Chiarella, Carl
1
Conejo, Antonio J.
1
Cortazar, Gonzalo
1
Costa, Letícia de Almeida
1
Dehler-Holland, Joris
1
Ewald, Christian-Olivier
1
Fuzuli, Gulistiani
1
Garcés, Francisco
1
Gonzalez, Jhonny
1
Gonzato, Luca
1
González-Pedraz, Carlos
1
Gudkov, Nikolay
1
Huang, Charley Z.
1
Huang, Guo H.
1
Ioannou, Anastasia
1
Kang, Boda
1
Kanudia, Amit
1
Keles, Dogan
1
Kemper, Annika
1
Kh.Balci, Anna
1
Klüppelberg, Claudia
1
Labriet, Maryse
1
Liu, J.
1
Lopez, Matias
1
Loulou, Richard
1
Lunde, Asger
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Energy economics
European journal of operational research : EJOR
302
Computers & operations research : and their applications to problems of world concern ; an international journal
103
Operations research
85
International journal of theoretical and applied finance
82
Operations research letters
72
Mathematics of operations research
70
International journal of production research
63
INFORMS journal on computing : JOC
55
International journal of production economics
43
Computational Management Science : CMS
42
Quantitative finance
41
Transportation research / E : an international journal
37
Omega : the international journal of management science
34
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
34
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences
32
Applied mathematical finance
31
Computational economics
31
The journal of computational finance
30
Annals of operations research
27
Finance and stochastics
26
Discussion paper / Tinbergen Institute
25
Insurance / Mathematics & economics
25
Journal of econometrics
25
Management science : journal of the Institute for Operations Research and the Management Sciences
25
International journal of financial engineering
23
Journal of economic dynamics & control
22
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
OR spectrum : quantitative approaches in management
22
Mathematical methods of operations research
21
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
20
IMA journal of management mathematics
19
Journal of mathematical finance
19
Les cahiers du GERAD
18
Journal of the Operational Research Society
17
Risks : open access journal
17
Journal of risk and financial management : JRFM
16
Top : an official journal of the Spanish Society of Statistics and Operations Research
16
Journal of banking & finance
15
Review of derivatives research
15
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ECONIS (ZBW)
23
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1
Evaluation of photovoltaic storage systems on energy markets under uncertainty using stochastic dynamic programming
Keles, Dogan
;
Dehler-Holland, Joris
- In:
Energy economics
106
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013202117
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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
Saved in:
7
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:
8
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:
9
A two-stage stochastic optimization planning framework to decarbonize deeply electric power systems
Boffino, Luigi
;
Conejo, Antonio J.
;
Sioshansi, Ramteen
; …
- In:
Energy economics
84
(
2019
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012183445
Saved in:
10
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:
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