Nils Detering

University of California, Santa Barbara (UCSB)

South Hall 5504

SCHOLARLY PAPERS

5

DOWNLOADS

903

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Model Risk of Contingent Claims

Number of pages: 31 Posted: 13 Feb 2013 Last Revised: 23 Feb 2022
Nils Detering and Natalie Packham
University of California, Santa Barbara (UCSB) and Berlin School of Economics and Law
Downloads 377 (148,987)
Citation 5

Abstract:

Loading...

model risk, parameter uncertainty, hedge error, value-at-risk, expected shortfall

2.

Pricing and Hedging Asian-Style Options in Energy

Number of pages: 35 Posted: 25 Sep 2013 Last Revised: 27 Sep 2014
Fred Espen Benth and Nils Detering
University of Oslo and University of California, Santa Barbara (UCSB)
Downloads 342 (165,781)
Citation 4

Abstract:

Loading...

Asian options, energy markets, trading restrictions, quadratic hedging, moment matching

3.

Measuring the Model Risk of Quadratic Risk Minimizing Hedging Strategies with an Application to Energy Markets

Number of pages: 21 Posted: 25 Feb 2014 Last Revised: 07 Nov 2014
Nils Detering
University of California, Santa Barbara (UCSB)
Downloads 102 (486,290)
Citation 1

Abstract:

Loading...

Model risk, quadratic hedging, jump processes, energy markets

4.

Pricing options on flow forwards by neural networks in Hilbert space

Number of pages: 21 Posted: 28 Mar 2022
Fred Espen Benth, Nils Detering and Luca Galimberti
University of Oslo, University of California, Santa Barbara (UCSB) and Norwegian University of Science and Technology (NTNU)
Downloads 55 (688,808)

Abstract:

Loading...

flow forwards derivatives, term structure, neural networks

5.

When Do You Stop Supporting Your Bankrupt Subsidiary? A Systemic Risk Perspective

Number of pages: 35 Posted: 13 Apr 2023
Maxim Bichuch and Nils Detering
State University of New York (SUNY) - Buffalo and University of California, Santa Barbara (UCSB)
Downloads 27 (893,864)

Abstract:

Loading...

systemic risk, financial contagion, holdings, subsidiaries, multilayered networks