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~subject:"Volatilität"
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Pricing and hedging of energy...
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Subject
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Volatilität
Theorie
60
Theory
59
Derivat
40
Derivative
40
Optionspreistheorie
38
Option pricing theory
37
Stochastic process
36
Stochastischer Prozess
36
Volatility
29
Energiemarkt
22
Energy market
22
Electric power industry
21
Elektrizitätswirtschaft
21
Electricity price
19
Risk premium
19
Strompreis
19
Risikoprämie
18
Wetter
18
Weather
17
Hedging
16
Time series analysis
14
Zeitreihenanalyse
14
Commodity derivative
13
Rohstoffderivat
13
Electricity
12
Elektrizität
12
Risk
12
Option trading
10
Optionsgeschäft
10
Portfolio selection
10
Portfolio-Management
10
Risiko
10
Spot market
10
Spotmarkt
10
Yield curve
10
Zinsstruktur
10
Statistical distribution
9
Statistische Verteilung
9
Modellierung
8
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Free
9
Undetermined
8
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Article
22
Book / Working Paper
7
Type of publication (narrower categories)
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Article in journal
20
Aufsatz in Zeitschrift
20
Aufsatz im Buch
2
Book section
2
Arbeitspapier
1
Conference paper
1
Graue Literatur
1
Konferenzbeitrag
1
Non-commercial literature
1
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1
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Language
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English
29
Author
All
Benth, Fred Espen
29
Groth, Martin
3
Koekebakker, Steen
3
Pircalabu, Anca
3
Felten, Björn
2
Khedher, Asma
2
Kiesel, Rüdiger
2
Kremer, Marcel
2
Paraschiv, Florentina
2
Andresen, Arne
1
Barndorff-Nielsen, Ole E.
1
Christensen, Troels Sønderby
1
Di Nunno, Giulia
1
Di Persio, Luca
1
Hvistendahl Karlsen, Kenneth
1
Kettler, Paul C.
1
Kiesel, Ruediger
1
Krühner, Paul
1
Kufakunesu, Rodwell
1
Kutrolli, Gleda
1
Lavagnini, Silvia
1
Lindberg, Carl
1
Meyer-Brandis, Thilo
1
Nazarova, Anna
1
Ollmar, Fridthjof
1
Ortiz-Latorre, Salvador
1
Piccirilli, Marco
1
Reikvam, Kristin
1
Schmeck, Maren Diane
1
Stefani, Silvana
1
Taib, Che Mohd Imran Che
1
Vanmaele, Michèle
1
Vargiolu, Tiziano
1
Veraart, Almut
1
Vos, Linda
1
Zakamulin, Valeriy
1
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Published in...
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International journal of theoretical and applied finance
5
Applied mathematical finance
2
Energy economics
2
Finance and stochastics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Risks : open access journal
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Alternative investments and strategies : credit, derivatives, CPPI, investments, risk
1
IMA journal of management mathematics
1
Journal of banking & finance
1
Mathematics and financial economics
1
Quantitative finance
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
Working paper
1
Working papers on finance
1
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ECONIS (ZBW)
29
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1
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
Saved in:
2
The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets
Benth, Fred Espen
- In:
Mathematical finance : an international journal of …
21
(
2011
)
4
,
pp. 595-625
Persistent link: https://www.econbiz.de/10009311688
Saved in:
3
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
Saved in:
4
Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation
Benth, Fred Espen
;
Koekebakker, Steen
;
Ollmar, Fridthjof
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 52-66
Persistent link: https://www.econbiz.de/10003611427
Saved in:
5
A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives
Benth, Fred Espen
;
Groth, Martin
;
Kettler, Paul C.
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 843-867
Persistent link: https://www.econbiz.de/10003380284
Saved in:
6
Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model
Benth, Fred Espen
;
Groth, Martin
;
Kufakunesu, Rodwell
- In:
Applied mathematical finance
14
(
2007
)
4
,
pp. 347-363
Persistent link: https://www.econbiz.de/10003543050
Saved in:
7
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
Saved in:
8
The CARMA interest rate model
Andresen, Arne
;
Benth, Fred Espen
;
Koekebakker, Steen
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
Saved in:
9
Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen
;
Di Nunno, Giulia
;
Khedher, Asma
; …
- In:
Applied mathematical finance
22
(
2015
)
1/2
,
pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
Saved in:
10
A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets
Benth, Fred Espen
;
Ortiz-Latorre, Salvador
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-40
Persistent link: https://www.econbiz.de/10011403907
Saved in:
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