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~language:"eng"
~subject:"Energy market"
~type_genre:"Aufsatz in Zeitschrift"
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Energy market
Stochastic process
5
Stochastischer Prozess
5
Theorie
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Option pricing theory
4
Optionspreistheorie
4
Hawkes processes
3
Option trading
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Volatilität
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Bayes-Statistik
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Asian options
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Branching Processes
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Electric power industry
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Enlargement of filtrations
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Exponential affine processes
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Implied volatility for VIX options
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Aufsatz in Zeitschrift
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Sgarra, Carlo
2
Fileccia, Gaetano
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Jiao, Ying
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Ma, Chunhua
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Scotti, Simone
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Energy economics
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International journal of computational economics and econometrics
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1
A branching process approach to power markets
Jiao, Ying
;
Ma, Chunhua
;
Scotti, Simone
;
Sgarra, Carlo
- In:
Energy economics
79
(
2019
),
pp. 144-156
Persistent link: https://www.econbiz.de/10012172268
Saved in:
2
Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets
Fileccia, Gaetano
;
Sgarra, Carlo
- In:
International journal of computational economics and …
5
(
2015
)
4
,
pp. 451-479
Persistent link: https://www.econbiz.de/10011440890
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