Kaiserslautern, 67663
Germany
RPTU Kaiserslautern-Landau
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Pricing electricity futures options, mean-reverting multi-factor models, Itô-Lévy process, enlargement of filtration, anticipating calculus, forward-looking information, insider trading, information premium, optimal consumption and portfolio choice in electricity markets, Fourier transform
Anticipative stochastic calculus, electricity market, price impact model, optimal electricity futures portfolio liquidation, enlargement of filtration, insider trading, forward-looking information, forward integral, arithmetic mean-reverting multi-factor electricity price model
stochastic calculus, stochastic differential equation, Itô-Lévy process, Sato process, mean-reverting multi-factor model, enlargement of filtration, anticipating calculus, insider trading, forward-looking information, option valuation, Fourier transform, hedging temperature futures derivatives
anticipative stochastic calculus, stochastic differential equation, enlargement of filtration, information premium, forward-looking information, pure jump Lévy process, arithmetic model, weather market, precipitation derivative, weather forecast, option pricing, wavelet transform
stochastic calculus; Ornstein-Uhlenbeck process; arithmetic multi-factor model; pure-jump process; multi-curve model; OIS rate; LIBOR rate; basis spread; forward measure; caplet/floorlet pricing; hedging; Greeks; inverse Fourier pricing; enlarged filtration; future information; insider trading
wind power futures, wind power production index, arithmetic multi-factor model, pure-jump Ornstein-Uhlenbeck process, Lévy-type process, Poisson random measure, Fourier transform, stochastic differential equation, Doléans-Dade exponential, risk premium
Electricity futures, option pricing, mean-reverting multi-factor model, Itô-Lévy process, enlargement of filtration, forward-looking information, insider trading, information premium, Fourier transform
Volterra process/integral/equation, stochastic Leibniz formula, initially enlarged filtration, Doléans-Dade exponential, Lévy process, stochastic differential equation (SDE), backward stochastic Volterra integral equation (BSVIE), parameter integral, drift restriction
minimal variance hedging, portfolio optimization, stochastic maximum principle, stochastic control, stochastic differential equation, Malliavin calculus, Clark-Ocone formula, electricity spot/forward/futures price model, option pricing
Lévy process, stochastic differential/integral equation, stochastic control problem, stochastic maximum principle, modeling epidemiologic infection numbers
VIX index/futures/option, variance swap, realized volatility, mean variance hedging, Barndorff-Nielsen Shephard (BNS) stochastic volatility model, information premium, Lévy process, enlarged filtration, stochastic differential equation (SDE), stochastic maximum principle
multi-curve model, OIS rate, LIBOR rate, basis spread, minimal variance hedging, delta hedge, wealth process, self-financing portfolio, replicable claim, arithmetic multi-factor model, jump process, Malliavin calculus, Clark-Ocone formula
Cliquet option pricing, path-dependent exotic option, equity indexed annuity, structured product, sensitivity analysis, greeks, jump-diffusion model, time-homogeneous Lévy process, stochastic differential equation, compound Poisson process, Fourier transform, distribution function
Backward Stochastic Differential Equation (BSDE), Comparison Theorem, Predictive Mean-Field BSDE, Enlarged Filtration, Jump-Diffusion, Lévy Process, Information Yield, Portfolio Selection, Hedging, Wealth Process, Temperature Forecast
Temperature Derivative, CAT Futures, Weather Forecast, Option Pricing, Optimal Portfolio Selection, Information Premium, Minimal Variance Hedging, Enlarged Filtration, Ornstein-Uhlenbeck Process, Stochastic Differential Equation, Stochastic Minimum Principle, Stochastic Control
stochastic calculus, positivity of solution to stochastic differential equation, Ornstein-Uhlenbeck process, enlargement of filtration, future information, insider trading, arithmetic jump-diffusion model, long-term behavior, electricity spot/forward/futures price, option pricing
VIX index, VIX futures, variance swap, realized volatility, information premium, stochastic volatility model, Lévy process, enlarged filtration, stochastic differential equation, inverse Fourier pricing
anticipative stochastic calculus, enlargement of filtration, forward integral, insider trading, forward-looking information, electricity futures market, portfolio selection, consumption rates, utility maximization
Cliquet option pricing, path-dependent exotic option, equity indexed annuity, log-return of financial asset, Meixner distribution, Meixner-Lévy process, stochastic differential equation, probability measure change, characteristic function, Fourier transform
compound option, option pricing, stochastic volatility, stochastic differential equation, Malliavin calculus, Clark-Ocone formula, Fourier transform
Radon-Nikodym Density, Doléans-Dade Exponential, Girsanov Theorem, Stochastic Differential Equation, Jump-Diffusion, Enlarged Filtration, Relative Entropy, Stochastic Maximum/Minimum Principle, Stochastic Optimization Problem, Stochastic Control, Esscher Transform
Temperature futures pricing, temperature forecast curve, minimal variance hedging, generalized Langevin equation, stochastic differential equation, Lévy process, Malliavin calculus, Clark-Ocone formula, stochastic maximum principle, Fourier/Laplace transform
electricity spot/forward price modeling, option pricing, mean variance hedging, information premium, stochastic differential equation, generalized/retarded Langevin equation, enlarged filtration, future information
stochastic minimum principle, optimal control, mean/minimal variance hedging, wealth process, self-financing portfolio, anticipative calculus, forward integral, forward stochastic differential equation, enlargement of filtration, future information, insider trading, Lévy process
CBI process, stochastic differential/integral equation, stochastic control problem, stochastic maximum principle, optimal consumption, optimal control of infection numbers
short rate, zero-coupon bond, forward rate, LIBOR rate, spot rate, option pricing, market-consistent calibration, multi-curve model, Lévy process, multi-factor model, Ornstein-Uhlenbeck process, stochastic differential equation, Poisson random measure, Doléans-Dade exponential
utility indifference price, contingent claim, wealth process, risk aversion, information premium, stochastic control problem, stochastic maximum principle, enlarged filtration
minimal variance hedging, portfolio optimization, stochastic maximum principle, stochastic control, stochastic differential equation, Malliavin calculus, Clark-Ocone formula
short rate, forward rate, zero-coupon bond price, option pricing, forward measure, market-consistent calibration, generalized/retarded Langevin equation
volatility index VIX, pricing VIX derivatives, self-exciting stochastic volatility, variance swap price, arbitrage-freeness, leverage effect, jump clustering, random field/measure, CBI process, stochastic differential/integral equation, Fourier transform
Enlarged Filtration, Indistinguishable Processes, Lévy Process, Poisson Random Measure, Martingale Compensator, Radon-Nikodym Density, Doléans-Dade Exponential, Girsanov Theorem, Stochastic Differential Equation, Weather Derivative, Precipitation Swap, Optimal Portfolio Selection
electricity spot/futures price, temperature futures price, minimal variance hedging, stochastic maximum principle, stochastic differential equation, Lévy process, enlarged filtration
precipitation model, precipitation swap price, minimal variance hedging, option pricing, information premium, future information, stochastic differential equation, enlarged filtration, stochastic maximum principle, Malliavin calculus, Fourier transform
minimal variance hedging, portfolio optimization, option pricing, Fourier transform, stochastic maximum principle, stochastic control problem, stochastic differential equation
electricity spot/forward/futures price, arithmetic multi-factor model, pure-jump Ornstein-Uhlenbeck process, Lévy-type process, Poisson random measure, stochastic differential equation, initially enlarged filtration, information premium
electricity spot/futures price, wind power production index, wind power futures price, minimal variance hedging, stochastic differential equation, stochastic maximum principle
wind power production index, pricing wind power futures, random field/measure, CBI process, Markov process, stochastic differential/integral equation, Fourier transform
optimal energy allocation in a car park, utility maximizing portfolio selection, decision making under uncertainty, electricity spot/forward price modeling, wealth process, stochastic differential equation, stochastic maximum principle, optimal control problem