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In January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formally entered into operation.Within the new trading system, the right to emit a particular amount of CO2 becomes a tradable commodity - called EU Allowances (EUAs) - and affected companies, traders and investors will face...
Persistent link: https://www.econbiz.de/10005861246
Implied volatility is one of the key issues in modern quantitative finance, since plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of...
Persistent link: https://www.econbiz.de/10005862106
Many of the concepts in theoretical and empirical finance developed over thepast decades - including the classical portfolio theory, the Black-Scholes-Mertonoption pricing model and the RiskMetrics variance-covariance approach toValue at Risk (VaR) - rest upon the assumption that asset returns...
Persistent link: https://www.econbiz.de/10005862329
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...
Persistent link: https://www.econbiz.de/10003770649
Persistent link: https://www.econbiz.de/10003784944
Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...
Persistent link: https://www.econbiz.de/10008663369
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...
Persistent link: https://www.econbiz.de/10012758573
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a...
Persistent link: https://www.econbiz.de/10005207927
Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...
Persistent link: https://www.econbiz.de/10009323914
Persistent link: https://www.econbiz.de/10008240469