School of Business and Law at the University of Agder
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Sharpe ratio, skewness, kurtosis, portfolio performance evaluation
interest rate model, short rate, forward rate, term structure, CARMA process, bond pricing, bond option pricing, yield curve, volatility curve, calibration
risk aversion, loss aversion, risk measure, partial moments of distribution, mean-variance utility, quadratic utility, certainty equivalent, risk premium, optimal capital allocation, portfolio performance evaluation
Electricity Market, Gas Market, Weather Derivatives, Temperature, Energy Market, Mean Reversion, Ornstein-Uhlenbeck Processes, Jump Processes, Levy Processes, Futures Contracts, Forward Contracts, Options
Cointegration, risk premium, CARMA processes, commodity markets, spot and forward relationship, Heath-Jarrow-Morton modeling
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