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Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium
Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021
Persistent link: https://www.econbiz.de/10003778569
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Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium
Benth, Fred Espen (contributor); Cartea, Álvaro (contributor) - 2006
Persistent link: https://www.econbiz.de/10003384971
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A multivariate commodity analysis and applications to risk management
Börger, Reik H.; Cartea, Álvaro; Kiesel, Rüdiger; … - 2007
Persistent link: https://www.econbiz.de/10003455322
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Cross-commodity analysis and applications to risk management
Börger, Reik H.; Cartea, Álvaro; Kiesel, Rüdiger; … - In: The journal of futures markets 29 (2009) 3, pp. 197-217
Persistent link: https://www.econbiz.de/10003831083
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An empirical study of the information premium on electricity markets
Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger - In: Energy economics 36 (2013), pp. 55-77
Persistent link: https://www.econbiz.de/10009724766
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A critical empirical study of three electricity spot price models
Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna - In: Energy economics 34 (2012) 5, pp. 1589-1616
Persistent link: https://www.econbiz.de/10009687984
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Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel; Benth, Fred Espen; Felten, Björn; … - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
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Derivatives pricing with marked point processes using tick-by-tick data
Cartea, Álvaro - 2010
Persistent link: https://www.econbiz.de/10003972644
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Dynamic hedging of financial instruments when the underlying follows a non-Gaussian process
Cartea, Álvaro (contributor) - 2005
Persistent link: https://www.econbiz.de/10002846509
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On forward price modeling in power markets
Benth, Fred Espen - In: Alternative investments and strategies : credit, …, (pp. 93-122). 2010
Persistent link: https://www.econbiz.de/10008655206