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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
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Pricing of Derivatives on Mean-Reverting Assets
Lutz, Björn - 2010
Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration … stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …
Persistent link: https://www.econbiz.de/10013522771
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Energy Price Risk
James, Tom - 2003
Energy Price Risk was inspired by the success of the courses Tom James has been running in global energy and commodities trading and price risk management. It is the practitioner's guide to optimizing company performance using the correct price risk strategies and tools. Based on the author's...
Persistent link: https://www.econbiz.de/10012054392
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Derivate im Portfoliomanagement
Bossert, Thomas - 2017
Finanzmathematische Grundlagen -- Eigenschaften und Bewertung von Derivaten -- Der Einsatz von Derivaten -- Hedging mit … Bewertung von Derivaten • Hedging • Derivate zur Optimierung der Performance • Feinsteuerung des Risikoprofils • Besondere …
Persistent link: https://www.econbiz.de/10014020663
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China’s Monetary Policy Regulation and Financial Risk Prevention : The Study of Effectiveness and Appropriateness
Zhou, Hui - 2015
-- Study on Building China’s Financial Supervision System -- Reference -- Acknowledgement. … correlations between monetary policy, economic growth, inflation and asset price volatility, explores the creation of financial … inflation, and provides a theoretical basis for and empirical demonstration of monetary policy implementation in China. Previous …
Persistent link: https://www.econbiz.de/10014021002
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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016 - 1. Aufl. 2016
Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle -- Analyse von Handelswartezeiten -- Glättung der Volatilität von hochfrequenten Finanzdaten in einem...
Persistent link: https://www.econbiz.de/10014018518
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Value-at-Risk Ansätze zur Abschätzung von Marktrisiken : Theoretische Grundlagen und empirische Analysen
Fricke, Jens (contributor) - 2006
Für eine effiziente Kapitalallokation, insbesondere mit Blick auf die Hinterlegung ausreichender Eigenmittel zur Absicherung gegen extreme Marktbewegungen, ist eine möglichst genaue Abschätzung der Marktrisiken erforderlich. Die Ermittlung des Value-at-Risk ist in diesem Zusammenhang von...
Persistent link: https://www.econbiz.de/10013516630
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David (contributor) - 2008
This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...
Persistent link: https://www.econbiz.de/10013520959
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Modeling Financial Time Series with S-Plus®
Zivot, Eric - 2003
The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to...
Persistent link: https://www.econbiz.de/10013523086
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Commodity Market Trading and Investment : A Practitioners Guide to the Markets
James, Tom - 2016
This book offers practical knowledge, analysis, trading techniques and methodologies required for the management of key international commodities. The author explores each aspect of commodity trading in detail and helps the reader to implement effective techniques to build a strong portfolio....
Persistent link: https://www.econbiz.de/10012397512