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Spot and derivative pricing in the EEX power market
Bierbrauer, Michael; Menn, Christian; Rachev, Svetlozar T. - In: Journal of Banking & Finance 31 (2007) 11, pp. 3462-3485
Persistent link: https://www.econbiz.de/10005194536
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Second order of stochastic dominance efficiency vs mean variance efficiency
Malavasi, Matteo; Ortobelli Lozza, Sergio; Trück, Stefan - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1192-1206
Persistent link: https://www.econbiz.de/10012495268
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Cyber risk frequency, severity and insurance viability
Malavasi, Matteo; Peters, Gareth; Shevchenko, Pavel V.; … - In: Insurance / Mathematics & economics 106 (2022), pp. 90-114
Persistent link: https://www.econbiz.de/10013380467
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Modeling electricity prices: jump diffusion and regime switching
Weron, Rafal; Bierbrauer, Michael; Trück, Stefan - Hugo Steinhaus Center for Stochastic Methods, … - 2003
In this paper we address the issue of modeling spot electricity prices. After summarizing the stylized facts about spot electricity prices, we review a number of models proposed in the literature. Afterwards we fit a jump diffusion and a regime switching model to spot prices from the Nordic...
Persistent link: https://www.econbiz.de/10009003610