Avenue Bernard Hirsch BP 50105
ESSEC Business School
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Electricity prices, jump diffusions, statistical estimation, calibration, simulation, energy price risk
Asian options, discrete monitoring, Laplace transform, Fourier transform, Commodity
commodity models, forward price, forward curve, energy, affine models, estimation
Risk Measures, Risk Management, Factor Analysis, Cross-Sections, Interest Rates
Risk measures, Infinite-dimensional stochastic calculus, Cross-sectional analysis
Mortgages, Interest rates, Multiple optimal stopping times, Dynamic programming
Volumetric Risk, Energy Risk, Corporate Financial Risk Management, Contract Design, Derivatives
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2795018.
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volumetric risk, energy risk, corporate financial risk management, contract design, electricity markets
Corporate Risk Management, Commodity Risk, Contract Design
Energy Finance, Forward Pricing, Electricity Markets, Forward Curve Construction
Asian-style options, Price models with jumps, Transform methods, Com- modity markets, Energy markets
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