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Arbitrage-Free Shifting of Pri...
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Derivative
Nichtparametrisches Verfahren
12
Optionspreistheorie
10
Schätztheorie
10
order restricted inference
10
Option pricing theory
9
Nonparametric statistics
8
Theorie
8
isotonic regression
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local linear regression
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Estimation theory
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Electric power industry
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Elektrizitätswirtschaft
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Nadaraya-Watson estimator
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Theory
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Yield curve
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Zinsstruktur
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nonparametric regression
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Commodity derivative
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Regression analysis
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Regressionsanalyse
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Risk premium
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Rohstoffderivat
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Binary response model
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Derivat
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Interest rate risk
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Risikoprämie
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Volatility
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Volatilität
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Zinsrisiko
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effective dose level
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Arbitrage
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Electricity
2
Electricity markets
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Elektrizität
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Enlargement of filtrations
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Hedging
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Hilbert space representation
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Information premium
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Biegler-König, Richard
2
Karlsson, Patrik
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Pilz, Kay Frederik
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Schlögl, Erik
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Applied mathematical finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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ECONIS (ZBW)
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Hedging strategies in commodity markets : rolling intrinsic and delta hedging for virtual power plants
Biegler-König, Richard
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 550-582
Persistent link: https://www.econbiz.de/10012516171
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2
The information premium on electricity markets : a new spot-forward relationship for non-storable underlyings
Biegler-König, Richard
(
contributor
)
-
2013
Persistent link: https://www.econbiz.de/10009783468
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3
Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik
;
Pilz, Kay Frederik
;
Schlögl, Erik
-
2016
Persistent link: https://www.econbiz.de/10011778017
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