Karl Larsson

Statistics Sweden

Karlav├Ągen 100

Stockholm

Sweden

SCHOLARLY PAPERS

10

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1,590

CITATIONS
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Top 33,229

in Total Papers Citations

6

Scholarly Papers (10)

1.

Approximative Valuation of Commodity Swaptions

Number of pages: 27 Posted: 17 Jan 2010 Last Revised: 04 Aug 2011
Karl Larsson
Statistics Sweden
Downloads 426 (43,296)

Abstract:

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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
Statistics Sweden and Lund University
Downloads 370 (57,473)
Citation 5

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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
Statistics Sweden
Downloads 309 (76,602)
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
Lund University - Department of Economics, Statistics Sweden and Lund University
Downloads 99 (198,876)

Abstract:

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5.

Model Dynamics and Risk Premia in the Short Term Market for Crude Oil

Number of pages: 34 Posted: 30 Dec 2013 Last Revised: 28 Feb 2014
Karl Larsson
Statistics Sweden
Downloads 48 (305,698)

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Crude Oil, Stochastic Volatility, Risk premium, Variance Swaps, Options, Model specification, Jumps

6.

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 Statistics Sweden
Downloads 23 (351,390)

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

7.

Reserve Lifetime and Depletion in Exhaustible Resource Extraction Under Uncertainty

Number of pages: 28 Posted: 01 Mar 2014
Karl Larsson
Statistics Sweden
Downloads 20 (434,464)

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Resource extraction, optimal stopping, reserve lifetime, depletion, real options

8.

An Equilibrium Model for Commodity Prices with Regime Switching Reserve Dynamics

Number of pages: 33 Posted: 22 Mar 2014
Karl Larsson
Statistics Sweden
Downloads 16 (450,085)

Abstract:

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Equilibrium, Commodity, Optimal switching

9.

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
Lund University - Department of Economics, Statistics Sweden, Knut Wicksell Centre for Financial Studies, Lund University and Lund University - Department of Economics
Downloads 0 (371,579)

Abstract:

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

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Stochastic volatility, option pricing, perturbations, flows