Andreas Wagner

Fraunhofer ITWM - Financial Mathematics

Fraunhofer Platz 1

67663 Kaiserslautern

Germany

  • Fraunhofer ITWM - Financial Mathematics

SCHOLARLY PAPERS

2

DOWNLOADS

468

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

Quanto Option Pricing in the Parsimonious Heston Model

Number of pages: 14 Posted: 24 Sep 2009 Last Revised: 02 Oct 2009
Georgi Dimitroff, Alexander Szimayer and Andreas Wagner
Independent, University of Hamburg - Faculty of Economics and Business Administration and Fraunhofer ITWM - Financial Mathematics
Downloads 346 (103,329)
Citation 3

Abstract:

Loading...

Quanto option, option pricing, Heston model, Parsimonious Heston Model

2.

Residual Demand Modeling and Application to Electricity Pricing

Number of pages: 30 Posted: 11 Mar 2012 Last Revised: 15 Oct 2012
Andreas Wagner
Fraunhofer ITWM - Financial Mathematics
Downloads 122 (271,831)
Citation 7

Abstract:

Loading...

residual demand modeling, renewable infeed, wind infeed, solar infeed, electricity demand, German power market, merit-order effect