Karl Larsson

Örebro University

Fakultetsgatan 1

SE-701 82

Örebro, 70210

Sweden

SCHOLARLY PAPERS

10

DOWNLOADS
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SSRN CITATIONS

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Scholarly Papers (10)

1.

Approximative Valuation of Commodity Swaptions

Number of pages: 27 Posted: 17 Jan 2010 Last Revised: 04 Aug 2011
Karl Larsson
Örebro University
Downloads 706 (55,859)

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commodities, swaps, swaptions, HJM model, stochastic volatility

2.

Jumps and Stochastic Volatility in Oil Prices: Time Series Evidence

Number of pages: 31 Posted: 16 Jan 2010
Karl Larsson and Marcus Nossman
Örebro University and Lund University
Downloads 477 (91,625)

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Oil prices, stochastic volatility, jump diffusion, Markov chain Monte Carlo

3.

Dynamic Extensions and Probabilistic Expansions of the SABR Model

Number of pages: 42 Posted: 17 Jan 2010
Karl Larsson
Örebro University
Downloads 388 (116,442)
Citation 1

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Stochastic volatility, option pricing, perturbations, asymptotic expansions, Malliavin calculus, displaced diffusion

4.

Pricing Electricity Swaptions Under a Stochastic Volatility Term-Structure Model

Number of pages: 26 Posted: 18 Oct 2012 Last Revised: 30 Jun 2013
Rikard Green, Karl Larsson and Marcus Nossman
Energy Quant Solutions Sweden, Örebro University and Lund University
Downloads 182 (248,934)

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5.

A Stochastic Time-Series Model for Solar Irradiation

Number of pages: 30 Posted: 04 Aug 2021
Karl Larsson, Rikard Green and Fred Espen Benth
Örebro University, Energy Quant Solutions Sweden and University of Oslo
Downloads 113 (363,025)

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Solar, irradiation, time series, photovoltaic, energy, seasonality, volatility, bimodal, risk

6.

Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets

Number of pages: 47 Posted: 06 Apr 2016 Last Revised: 23 Oct 2017
Energy Quant Solutions Sweden, Örebro University, Knut Wicksell Centre for Financial Studies, Lund University and Lund University - Department of Economics
Downloads 66 (504,040)
Citation 1

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Energy Markets, Time-Varying Volatility Spillovers, Volatility Impulse Response Function, Skew-Student Asymmetric BEKK

7.

An Empirical Study of the Dynamics of Implied Volatility Indices: International Evidence

Number of pages: 21 Posted: 09 May 2015
Bujar Huskaj and Karl Larsson
Lund University and Örebro University
Downloads 65 (508,013)
Citation 1

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Continuous time, Implied volatility dynamics, Affine, CEV, SEV

8.

An Equilibrium Model for Commodity Prices with Regime Switching Reserve Dynamics

Number of pages: 33 Posted: 22 Mar 2014
Karl Larsson
Örebro University
Downloads 44 (605,046)

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Equilibrium, Commodity, Optimal switching

9.

Parametric Heat Wave Insurance

Number of pages: 28 Posted: 07 Dec 2022
Karl Larsson
Örebro University
Downloads 27 (712,393)

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heat waves, insurance, temperature, time series, climate risk, weather derivatives

10.

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Stochastic volatility, option pricing, perturbations, flows