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An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia
Cartea, Álvaro - 2012
factors influencing the evolution of electricity forward prices in Spain. These factors include the forward prices for natural … gas and CO2 emission rights, as well as the electricity forward prices in Germany and in France and spot prices in Spain …. We also analyse the behavior of the ex-post electricity forward risk premia in Germany, France and Spain, and in …
Persistent link: https://www.econbiz.de/10013101051
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The stoNED age : the departure into a new era of efficiency analysis? ; a Monte Carlo comparison of stoNED and the 'oldies' (SFA and DEA)
Andor, Mark Andreas; Hesse, Frederik - 2013
Based on the seminal paper of Farrell (1957), researchers have developed several methods for measuring efficiency. Nowadays, the most prominent representatives are nonparametric data envelopment analysis (DEA) and parametric stochastic frontier analysis (SFA), both introduced in the late 1970s....
Persistent link: https://www.econbiz.de/10009687787
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The StoNED age : the departure into a new era of efficiency analysis? ; an MC study comparing StoNED and the "oldies" (SFA and DEA)
Andor, Mark Andreas; Hesse, Frederik - 2012
Based on the seminal paper of Farrell (1957), researchers have developed several methods for measuring efficiency. Nowadays, the most prominent representatives are nonparametric data envelopment analysis (DEA) and parametric stochastic frontier analysis (SFA), both introduced in the late 1970s....
Persistent link: https://www.econbiz.de/10009611648
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The StoNED Age : The Departure into a New Era of Efficiency Analysis? – A Monte Carlo Comparison of StoNED and the 'Oldies' (SFA and DEA)
Andor, Mark - 2013
Based on the seminal paper of Farrell (1957), researchers have developed several methods for measuring effi ciency. Nowadays, the most prominent representatives are nonparametric data envelopment analysis (DEA) and parametric stochastic frontier analysis (SFA), both introduced in the late 1970s....
Persistent link: https://www.econbiz.de/10013088557
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The StoNED age : the departure into a new era of efficiency analysis? : a MC study comparing StoNED and the "Oldies" (SFA and DEA) conference paper
Andor, Mark Andreas; Hesse, Frederik - 2013
Based on the seminal paper of Farrell (1957), researchers have developed several methods for measuring e fficiency. Nowadays, the most prominent representatives are nonparametric data envelopment analysis (DEA) and parametric stochastic frontier analysis (SFA), both introduced in the late 1970s....
Persistent link: https://www.econbiz.de/10010341110
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FX smile in the Heston model
Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - 2010
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical...
Persistent link: https://www.econbiz.de/10008663372
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Research Methods in Quantitative Finance
Cottrell, Paul - 2016
Persistent link: https://www.econbiz.de/10012989159
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Corporate Finance
Cottrell, Paul - 2016
Persistent link: https://www.econbiz.de/10012992202
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DeepPricing : pricing convertible bonds based on financial time-series generative adversarial networks
Tan, Xiaoyu; Zhang, Zili; Zhao, Xuejun; Wang, Shuyi - In: Financial innovation : FIN 8 (2022), pp. 1-38
Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible bonds are difficult to value because they depend on variables related to the underlying stock, the fixed-income part, and the interaction between these components. Besides,...
Persistent link: https://www.econbiz.de/10013272634
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Conditional Sig-Wasserstein GANs for Time Series Generation
Ni, Hao - 2020
Generative adversarial networks (GANs) have been extremely successful in generating samples, from seemingly high dimensional probability measures. However, these methods struggle to capture the temporal dependence of joint probability distributions induced by time-series data. Furthermore, long...
Persistent link: https://www.econbiz.de/10012831721