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~subject:"Commodity derivative"
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Commodity derivative
market price of risk
46
Market price of risk
36
Risikoprämie
25
CAPM
24
Risk premium
24
Theorie
22
Theory
21
Yield curve
18
Zinsstruktur
18
Optionspreistheorie
17
Risiko
17
Risk
17
Option pricing theory
16
Derivat
12
Derivative
12
price of risk
9
Weather derivatives
8
risk premium
8
Capital income
7
Kapitaleinkommen
7
Market Price of Risk
7
Portfolio selection
7
Portfolio-Management
7
Stochastic process
7
Stochastischer Prozess
7
Volatility
7
weather derivatives
7
Estimation
6
Hedging
6
Price of risk
6
Rohstoffderivat
6
Schätzung
6
Volatilität
6
ARCH model
5
ARCH-Modell
5
Kalman filter
5
Price of Risk
5
Wetter
5
interest rate caps
5
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English
6
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Aiube, Fernando Antônio Lucena
1
Benth, Fred Espen
1
Dokučaev, Nikolaj G.
1
García Mirantes, Andrés
1
Härdle, Wolfgang
1
Ignatieva, Ekaterina
1
López Cabrera, Brenda
1
Melzer, Awdesch
1
Pircalabu, Anca
1
Población, Javier
1
Serna, Gregorio
1
Souza, Carla Gomes Costa de
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Annals of finance
1
Applied mathematical finance
1
Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada
1
Review of derivatives research
1
SFB 649 discussion paper
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
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1
Pricing green financial products
Melzer, Awdesch
;
Härdle, Wolfgang
;
López Cabrera, Brenda
-
2017
Price
of
Risk
(MPR) estimates based on NASDAQ weekly and monthly German wind power futures prices and German wind power …
Persistent link: https://www.econbiz.de/10011710540
Saved in:
2
Time-varying market
price
of
risk
and autoregressive error structure of oil prices
Souza, Carla Gomes Costa de
;
Aiube, Fernando Antônio Lucena
- In:
Estudios de economía aplicada : revista promovida por …
38
(
2020
)
1
,
pp. 133-141
Persistent link: https://www.econbiz.de/10012307969
Saved in:
3
A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
Benth, Fred Espen
;
Pircalabu, Anca
- In:
Applied mathematical finance
25
(
2018
)
1/2
,
pp. 36-65
Persistent link: https://www.econbiz.de/10011959115
Saved in:
4
On the implied market
price
of
risk
under the stochastic numéraire
Dokučaev, Nikolaj G.
- In:
Annals of finance
14
(
2018
)
2
,
pp. 223-251
Persistent link: https://www.econbiz.de/10011945595
Saved in:
5
Commodity derivative valuation under a factor model with time-varying market prices of risk
García Mirantes, Andrés
;
Población, Javier
;
Serna, …
- In:
Review of derivatives research
18
(
2015
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10011414114
Saved in:
6
A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
Ignatieva, Ekaterina
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
5
,
pp. 483-505
Persistent link: https://www.econbiz.de/10010461199
Saved in:
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