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~isPartOf:"Innovative Modellierung und Optimierung von Energiesystemen"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Dual optimization problem"
~subject:"Stochastic process"
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Search: "Energiepreis" OR "Energieversorgung" OR "Erdölpreis" OR "Ölpreis" OR "Rohstoff" OR "Rohstoffpreis"
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Dual optimization problem
Stochastic process
Theorie
67
Theory
67
Hedging
65
Option pricing theory
42
Optionspreistheorie
42
Stochastischer Prozess
20
Portfolio selection
16
Portfolio-Management
16
Transaction costs
13
Transaktionskosten
13
Volatility
13
Volatilität
13
Option trading
11
Optionsgeschäft
11
Derivat
9
Derivative
9
Black-Scholes model
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Black-Scholes-Modell
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Incomplete market
7
Unvollkommener Markt
7
Mathematical programming
5
Mathematische Optimierung
5
CAPM
4
Energieversorgung
4
Energy supply
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Risiko
4
Risk
4
Yield curve
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Zinsstruktur
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Börsenkurs
3
Commodity derivative
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Duales Optimierungsproblem
3
Ganzzahlige Optimierung
3
Integer programming
3
Martingal
3
Martingale
3
Rohstoffderivat
3
Search theory
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4
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Römisch, Werner
3
Küchler, C.
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Bank, Peter
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Bardou, O.
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Baum, Dietmar
1
Benth, Fred Espen
1
Biagini, Francesca
1
Carr, Peter
1
Crépey, Stéphane
1
Delbaen, Freddy
1
Eichhorn, Andreas
1
Epe, Alexa
1
Frikha, N.
1
Garcia, René
1
Gotzes, U.
1
Guasoni, Paolo
1
Guéant, Olivier
1
Heath, David C.
1
Heitsch, Holger
1
Henrion, René
1
Hernández-Hernández, Daniel
1
Ilhan, Aytaç
1
Kabanov, Jurij M.
1
Kallsen, Jan
1
Laurence, Peter
1
Li, Lingfei
1
Linetsky, Vadim
1
Pagès, Gilles
1
Pennanen, Teemu
1
Pergamenshchikov, Serguei
1
Peters, R. Th.
1
Platen, Eckhard
1
Pratelli, Maurizio
1
Pu, Jiang
1
Renault, Eric
1
Schultz, R.
1
Schweizer, Martin
1
Sircar, Kaushik Ronnie
1
Stricker, Christophe
1
Thai Huu Nguyen
1
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Innovative Modellierung und Optimierung von Energiesystemen
Mathematical finance : an international journal of mathematics, statistics and financial theory
Energy economics
45
International journal of theoretical and applied finance
37
Applied mathematical finance
18
European journal of operational research : EJOR
16
Finance and stochastics
16
Quantitative finance
15
Insurance / Mathematics & economics
14
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
11
Journal of economic dynamics & control
10
Annals of finance
9
The journal of futures markets
9
Computational Management Science : CMS
8
Journal of banking & finance
8
Review of derivatives research
8
Computational economics
7
Computers & operations research : and their applications to problems of world concern ; an international journal
7
CoFE discussion papers
6
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
6
Mathematical methods of operations research
6
Risks : open access journal
6
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
International journal of financial engineering
5
Journal of mathematical finance
5
Journal of risk and financial management : JRFM
5
Operations research
5
Operations research letters
5
Série des documents de travail / Centre de Recherche en Économie et Statistique
5
Working paper
5
Advanced mathematical methods for finance
4
Applied economics
4
Asia-Pacific financial markets
4
Discussion paper / Tinbergen Institute
4
Discussion papers of interdisciplinary research project 373
4
Economic modelling
4
IMA journal of management mathematics
4
International Journal of Energy Economics and Policy : IJEEP
4
Omega : the international journal of management science
4
Research paper series / Swiss Finance Institute
4
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ECONIS (ZBW)
23
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1
Verteilte Erzeugung im liberalisierten Energiemarkt : Analyse von Investitionsentscheidungen
Gotzes, U.
;
Woll, Oliver
;
Schultz, R.
;
Weber, Christoph
- In:
Innovative Modellierung und Optimierung von Energiesystemen
,
(pp. 95-116)
.
2009
Persistent link: https://www.econbiz.de/10003920657
Saved in:
2
Ökonomische Bewertung von elektrischen Energiespeichern : Ausbau und Betrieb im Kontext wachsender Windenergieerzeugung
Epe, Alexa
;
Küchler, C.
;
Römisch, Werner
;
Vigerske, Stefan
- In:
Innovative Modellierung und Optimierung von Energiesystemen
,
(pp. 135-152)
.
2009
Persistent link: https://www.econbiz.de/10003920696
Saved in:
3
Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
Saved in:
4
Approximate hedging problem with transaction costs in stochastic volatility markets
Thai Huu Nguyen
;
Pergamenshchikov, Serguei
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 832-865
Persistent link: https://www.econbiz.de/10011764979
Saved in:
5
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:
6
CVaR hedging using quantization-based stochastic approximation algorithm
Bardou, O.
;
Frikha, N.
;
Pagès, Gilles
- In:
Mathematical finance : an international journal of …
26
(
2016
)
1
,
pp. 184-229
Persistent link: https://www.econbiz.de/10011550286
Saved in:
7
Bilateral counterparty risk under funding constraints - part I : pricing
Crépey, Stéphane
- In:
Mathematical finance : an international journal of …
25
(
2015
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011347260
Saved in:
8
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
Saved in:
9
Series expansion of the SABR joint density
Wu, Qi
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 310-345
Persistent link: https://www.econbiz.de/10009613197
Saved in:
10
Efficient hedging of European options with robust convex loss functionals : a dual-representation formula
Hernández-Hernández, Daniel
;
Treviño Aguilar, Erick
- In:
Mathematical finance : an international journal of …
21
(
2011
)
1
,
pp. 99-115
Persistent link: https://www.econbiz.de/10008935700
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