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Pricing energy quanto options...
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Theorie
75
Theory
74
Optionspreistheorie
58
Option pricing theory
57
Stochastic process
46
Stochastischer Prozess
46
Derivat
45
Derivative
45
Volatility
38
Volatilität
38
Energiemarkt
23
Energy market
23
Hedging
21
Electric power industry
20
Elektrizitätswirtschaft
20
Electricity price
19
Risk premium
19
Strompreis
19
Risikoprämie
18
Wetter
18
Weather
17
Portfolio selection
16
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16
Option trading
15
Optionsgeschäft
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Time series analysis
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Yield curve
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Rohstoffderivat
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Electricity
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Elektrizität
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English
180
Undetermined
132
French
1
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Benth, Fred Espen
191
Deelstra, Griselda
89
Vanmaele, Michèle
23
Koekebakker, Steen
20
Grasselli, Martino
16
Rayée, Grégory
14
Kiesel, Rüdiger
12
Barndorff-Nielsen, Ole E.
11
Deelstra, G.
11
Dhaene, Jan
11
Reikvam, Kristin
11
Koehl, Pierre-François
10
Veraart, Almut E. D.
8
BENTH, FRED ESPEN
6
Benth, Fred
6
Cartea, Álvaro
6
Delbaen, Freddy
6
Karlsen, Kenneth Hvistendahl
6
Kiesel, Ruediger
6
Meyer-Brandis, Thilo
6
Saltyte Benth, Jurate
6
Vanmaele, M.
6
Biegler-König, Richard
5
Darkiewicz, Grzegorz
5
Detering, Nils
5
Groth, Martin
5
Hainaut, Donatien
5
Heyman, Dries
5
Hoedemakers, Tom
5
Kufakunesu, Rodwell
5
Lempa, Jukka
5
Ortiz-Latorre, Salvador
5
Proske, Frank
5
Saltyte-Benth, Jurate
5
Veraart, Almut
5
Benth, Fred E.
4
Christensen, Troels Sønderby
4
Di Nunno, Giulia
4
Hieber, Peter
4
Hvistendahl Karlsen, Kenneth
4
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Solvay Brussels School of Economics and Management, Université Libre de Bruxelles
16
arXiv.org
11
School of Economics and Management, University of Aarhus
3
Barcelona Workshop on Mathematical Finance <2017, Barcelona>
1
Birkbeck, Department of Economics, Mathematics & Statistics
1
Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
1
Centre for Advanced Studies <Oslo>
1
Conference on Stochastics of Environmental and Financial Economics <2., 2015, Oslo>
1
Dipartimento di Ingegneria Informatica, Automatica e Gestionale "Antonio Ruberti", Facoltà di Ingegneria dell'Informazione Informatica e Statistica
1
European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management
1
Faculteit Economie en Bedrijfskunde, Universiteit Gent
1
International Actuarial Association / Actuarial Studies in Non-Life Insurance
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
World Scientific Publishing Co. Pte. Ltd.
1
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Energy economics
21
ULB Institutional Repository
16
Applied mathematical finance
15
International journal of theoretical and applied finance
14
Finance and stochastics
12
Papers / arXiv.org
11
Insurance / Mathematics & economics
10
Insurance: Mathematics and Economics
9
Energy Economics
8
Applied Mathematical Finance
7
International Journal of Theoretical and Applied Finance (IJTAF)
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Quantitative finance
5
European journal of operational research : EJOR
4
Finance and Stochastics
4
Journal of banking & finance
4
The journal of energy markets
4
The journal of risk and insurance : the journal of the American Risk and Insurance Association
4
Advanced series on statistical science & applied probability
3
CREATES Research Papers
3
CREATES research paper
3
Journal of economic dynamics & control
3
Advanced mathematical methods for finance
2
Astin bulletin : the journal of the International Actuarial Association
2
Finance : revue de l'Association Française de Finance
2
Journal of Applied Statistics
2
Journal of Economic Dynamics and Control
2
Journal of Risk & Insurance
2
Journal of forecasting
2
Mathematical Finance
2
Mathematics and financial economics
2
Quantitative Finance
2
Research report / Katholieke Universiteit Leuven, Faculty of Economics and Applied Economics, Department of Applied Economics
2
Review of development finance
2
Risks
2
Risks : open access journal
2
Studies in Nonlinear Dynamics & Econometrics
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The energy journal
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
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ECONIS (ZBW)
167
RePEc
93
OLC EcoSci
44
EconStor
4
USB Cologne (EcoSocSci)
2
USB Cologne (business full texts)
1
BASE
1
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1
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:
2
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
Benth, Fred Espen
- In:
Applied mathematical finance
10
(
2003
)
4
,
pp. 302-324
Persistent link: https://www.econbiz.de/10001864238
Saved in:
3
Option theory with stochastic analysis : an introduction to mathematical finance
Benth, Fred Espen
-
2004
Persistent link: https://www.econbiz.de/10001786485
Saved in:
4
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:
5
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:
6
Pricing and hedging Asian-style options on energy
Benth, Fred Espen
;
Detering, Nils
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 849-889
Persistent link: https://www.econbiz.de/10011421055
Saved in:
7
Optimal Portfolios in commodity futures markets
Benth, Fred Espen
;
Lempa, Jukka
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 407-430
Persistent link: https://www.econbiz.de/10010340676
Saved in:
8
Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen
;
Zdanowicz, Hanna
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
Saved in:
9
Quantitative energy finance : modeling, pricing, and hedging in energy and commodity markets
Benth, Fred Espen
(
ed.
)
-
2014
Persistent link: https://www.econbiz.de/10011459115
Saved in:
10
Calibration of temperature futures by changing the mean reversion
Benth, Fred Espen
;
Ortiz-Latorre, Salvador
- In:
The journal of energy markets
10
(
2017
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011999391
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