Daniel Oeltz

RIVACON

Im Apfelgrund 4

Friedrichsdorf, 61381

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

62

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Machine Learning and Quality Management of Quantitative Data - With an Application to Energy Finance

Number of pages: 24 Posted: 25 Jun 2019
Richard Biegler-König and Daniel Oeltz
Evonik Steag GmbH and RIVACON
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Abstract:

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quantitative data quality, machine learning, unsupervised learning, autoencoders, financial bootstrapping, energy finance, HPFC (Hourly Price Forward Curve)

2.

A Pairwise Local Correlation Model

Journal of Computational Finance, Forthcoming
Number of pages: 25 Posted: 17 Jan 2019
Frank Koster and Daniel Oeltz
DGZ-DekaBank and RIVACON
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local correlation, Monte Carlo, Gyongy’s theorem, pairwise correlation, local in index correlation, Markovian projection.

3.

Endogenous Credit Spreads and Optimal Debt Financing Structure in the Presence of Liquidity Risk

European Financial Management, Vol. 23, Issue 1, pp. 55-86, 2017
Number of pages: 32 Posted: 10 Jan 2017
Eva Lütkebohmert, Daniel Oeltz and Yajun Xiao
University of Freiburg, Institute for Economic Research, RIVACON and University College Dublin (UCD)
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Abstract:

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funding liquidity, optimal capital structure, rollover risk, structural credit risk models