The liberalization of electricity markets has forced energy producing companies and traders to calculate costs closer to the profit frontier. Thus, an efficient risk management and risk controlling are needed to ensure the financial survival even during bad times. Using the RAROC methodology we...

In this paper we assess the short-term forecasting power of different time series models in the electricity spot market. In particular we calibrate AR/ARX ("X" stands for exogenous/fundamental variable—system load in our study), AR/ARX-GARCH, TAR/TARX and Markov regime-switching models to...

This paper introduces a behavioural model and an algorithm that allow define classes of investors and draw the size each of them from financial data. The nonparametric pricing kernel estimated from stocks and options quotes allows to derive an estimate of the market utility. At the micro level...

Diese Dissertation entwickelt neue lokal adaptive Methoden zur Schaetzung und Vorhersage von Zeitreihendaten. Diese Methoden sind fuer die Volatilitaetsschaetzung von Finanzmarktrenditen und fuer Regressions- und Autoregressionsprobleme konstruiert worden. Die vorgeschlagenen Ansaetze werden als...

Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...

In vielen Anwendungen ist es notwendig, die stochastische Schwankungen der maximalen Abweichungen der nichtparametrischen Schätzer von Quantil zu wissen, zB um die verschiedene parametrische Modelle zu überprüfen. Einheitliche Konfidenzbänder sind daher für nichtparametrische Quantil...