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~subject:"Electricity spot and forward prices"
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Electricity spot and forward prices
Option pricing theory
14
Optionspreistheorie
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Hedging
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Stochastic process
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Stochastischer Prozess
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Portfolio selection
10
Portfolio-Management
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Martingal
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Martingale
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Local risk-minimization
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local risk minimization
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Local risk minimization
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Incomplete market
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Derivat
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Derivative
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Risiko
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Risk
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Unvollkommener Markt
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Volatility
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Volatilität
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basis risk
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incomplete markets
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CAPM
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Föllmer-Schweizer decomposition
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Minimal martingale measure
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Risikomanagement
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Risk management
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Theorie
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Theory
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local risk-minimization
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mean-variance hedging
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Lévy processes
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option hedging
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Barndorff-Nielsen and Shephard models
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Bivariate diffusion limit
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Credit risk
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Defaultable claims
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Campi, Luciano
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Langrené, Nicolas
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Aid, René
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Aïd, René
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Université Paris-Dauphine (Paris IX)
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A structural risk-neutral model for pricing and hedging power derivatives
Aid, René
;
Campi, Luciano
;
Langrené, Nicolas
-
HAL
-
2010
such a market incomplete. We follow a
local
risk
minimization
approach to price and hedge energy derivatives. Despite the …
Persistent link: https://www.econbiz.de/10008793959
Saved in:
2
A Structural Risk-Neutral Model for Pricing and Hedging Power Derivatives
Langrené, Nicolas
;
Campi, Luciano
;
Aïd, René
-
Université Paris-Dauphine (Paris IX)
-
2013
market incomplete. We follow a
local
risk
minimization
approach to price and hedge energy derivatives. Despite the richness …
Persistent link: https://www.econbiz.de/10011073663
Saved in:
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