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~person:"Fabozzi, Frank J."
~person:"Yamada, Yuji"
~source:"econis"
~subject:"ARCH model"
~subject:"Derivat"
~subject:"Elektrizitätswirtschaft"
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Search: subject_exact:"Financial+hedging"
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ARCH model
Derivat
Elektrizitätswirtschaft
Hedging
32
Derivative
17
Option pricing theory
9
Optionspreistheorie
9
Theorie
9
Theory
9
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8
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8
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Fabozzi, Frank J.
Yamada, Yuji
Lien, Da-hsiang Donald
44
Broll, Udo
27
Hull, John
26
Kit, Pong Wong
22
McAleer, Michael
17
Chang, Chia-Lin
12
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11
Hammoudeh, Shawkat
11
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10
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9
Welzel, Peter
9
Alexander, Carol
8
Benth, Fred Espen
8
Dark, Jonathan
8
Korn, Olaf
8
Minton, Bernadette A.
8
Wahl, Jack E.
8
Zilcha, Itzhak
8
Bartram, Söhnke M.
7
Choudhry, Taufiq
7
Deutsch, Hans-Peter
7
Gündüz, Yalın
7
Hanly, Jim
7
Kleshchelski, Isaac
7
Lai, Yu-Sheng
7
Lee, Hsiang-tai
7
Leistikow, Dean
7
Madan, Dilip B.
7
Nguyen, Duc Khuong
7
Ranasinghe, Tharindra
7
Rossi Júnior, José Luiz
7
Tan, Ken Seng
7
Tse, Yiu Kuen
7
Acharya, Viral V.
6
Adam-Müller, Axel F. A.
6
Brown, Gregory W.
6
Chen, Ren-Raw
6
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2
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1
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1
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1
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ECONIS (ZBW)
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1
Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji
;
Bunn, Derek W.
;
Yamada, Yuji
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 835-860
Persistent link: https://www.econbiz.de/10013367864
Saved in:
2
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
3
Applications of FX derivatives in active currency risk management
Fabozzi, Frank J.
;
Vohra, Suprita
- In:
The journal of derivatives : JOD
29
(
2022
)
4
,
pp. 168-191
Persistent link: https://www.econbiz.de/10014231064
Saved in:
4
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
5
Simultaneous hedging strategy for price and volume risks in electricity businesses using energy and weather derivatives
Matsumoto, Takuji
;
Yamada, Yuji
- In:
Energy economics
95
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012816562
Saved in:
6
Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market
Matsumoto, Takuji
;
Yamada, Yuji
- In:
Asia-Pacific financial markets
26
(
2019
)
2
,
pp. 211-227
Persistent link: https://www.econbiz.de/10012308054
Saved in:
7
The handbook of mortgage-backed securities
Fabozzi, Frank J.
(
ed.
)
-
2016
-
7th revised edition
Persistent link: https://www.econbiz.de/10011485010
Saved in:
8
Commercial real estate risk management with derivatives
Fabozzi, Frank J.
;
Stanescu, Silvia
;
Tunaru, Radu
- In:
The journal of portfolio management : a publication of …
39
(
2013
)
5
,
pp. 111-119
Persistent link: https://www.econbiz.de/10010209637
Saved in:
9
Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin
;
Fabozzi, Frank J.
;
Lin, Zuodong
; …
- In:
Review of derivatives research
15
(
2012
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
Saved in:
10
Properties of optimal smooth functions in additive models for hedging multivariate derivatives
Yamada, Yuji
- In:
Asia-Pacific financial markets
19
(
2012
)
2
,
pp. 149-179
Persistent link: https://www.econbiz.de/10009629160
Saved in:
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