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A new tempered stable distribution and its application to finance
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008
Persistent link: https://www.econbiz.de/10003781614
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A modified tempered stable distribution with volatility clustering
Kim, Young Shin; Račev, Svetlozar T.; Chung, Dong Myung; … - In: New developments in financial modelling, (pp. 344-365). 2008
Persistent link: https://www.econbiz.de/10003981863
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Pricing futures and options in electricity markets
Benth, Fred Espen; Schmeck, Maren Diane - In: The interrelationship between financial and energy markets, (pp. 233-260). 2014
Persistent link: https://www.econbiz.de/10010411140
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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392
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Asset prices and the level of background risk
Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: Beiträge zur Mikro- und zur Makroökonomik : …, (pp. 157-171). 2001
Persistent link: https://www.econbiz.de/10014553662