Mahmoud Hamada

RWE Supply and Trading

Vice President Quantitative Analysis

Geneva, 1207

Switzerland

SCHOLARLY PAPERS

7

DOWNLOADS

126

CITATIONS
Rank 37,779

SSRN RANKINGS

Top 37,779

in Total Papers Citations

9

Scholarly Papers (7)

1.

The Compass Rose in Electricity Prices

Number of pages: 30 Posted: 17 Mar 2008
Jonathan A. Batten and Mahmoud Hamada
Universiti Utara Malaysia and RWE Supply and Trading
Downloads 124 (224,368)
Citation 1

Abstract:

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chaos, compass rose, electricity prices, fractal, high-frequency data, Hurst

2.

CAPM and Option Pricing with Elliptically Contoured Distributions

Journal of Risk & Insurance, Vol. 75, Issue 2, pp. 387-409, June 2008
Number of pages: 23 Posted: 08 May 2008
Mahmoud Hamada and Emiliano A. Valdez
RWE Supply and Trading and University of Connecticut - Department of Mathematics
Downloads 2 (629,823)
Citation 8
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Abstract:

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3.

Contingent Claim Pricing Using Probability Distortion Operators: Methods from Insurance Risk Pricing and Their Relationship to Financial Theory

Posted: 04 Feb 2011
Mahmoud Hamada and Michael Sherris
RWE Supply and Trading and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies

Abstract:

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Contingent Claim Pricing, Probability Distortion Functions, Non-expected Utility, Insurance Pricing, Black And Sholes

4.

Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions

Posted: 03 Feb 2011
Mahmoud Hamada, Michael Sherris and John Van der Hoek
RWE Supply and Trading, University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of Adelaide - Faculty of Engineering, Computer and Mathematical Sciences

Abstract:

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Portfolio allocation, dual theory, probability distortion, equilibrium pricing

5.

Pricing Electricity Forwards Using the Real Option Theory

Posted: 03 Feb 2011
Mahmoud Hamada and John Van der Hoek
RWE Supply and Trading and University of Adelaide - Faculty of Engineering, Computer and Mathematical Sciences

Abstract:

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Expected utility, fair pricing, energy derivatives, real option theory, electricity forwards

6.

A Probabilistic Approach for Evaluating Alternatives to Reduce Minimum Send Out Rate at LNG Regasification Terminal

Posted: 03 Feb 2011
Mahmoud Hamada and Alexander Shmatok
RWE Supply and Trading and affiliation not provided to SSRN

Abstract:

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7.

Fair Pricing of Energy Derivatives - A Comparative Study

Posted: 02 Feb 2011
Mahmoud Hamada
RWE Supply and Trading

Abstract:

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Fair pricing, energy derivatives, ARIMA models, extreme value theory, Hill estimator, convenience yield