Florian Weber

Technische Universität München (TUM) - Center for Entrepreneurial and Financial Studies (CEFS)

Arcisstraße 21

München, 80333

Germany

http://www.cefs.de

SCHOLARLY PAPERS

2

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661

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Scholarly Papers (2)

1.

Simulation-Based Valuation of Project Finance - Does Model Complexity Really Matter?

CEFS Working Paper No. 2010-3
Number of pages: 23 Posted: 23 Apr 2010 Last Revised: 29 Sep 2011
Technische Universität München (TUM) - Center for Entrepreneurial and Financial Studies (CEFS), The University of Hong Kong - Faculty of Business and Economics, Technische Universität München - Center for Entrepreneurial and Financial Studies and Technische Universität München (TUM)
Downloads 661 (38,544)

Abstract:

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Project Finance, Investment Valuation, Stochastic Modeling, Monte Carlo Simulation, Forecasting, Model Complexity

2.

Modeling Electricity Spot Prices - Combining Mean-Reversion, Spikes and Stochastic Volatility

European Journal of Finance, Forthcoming
Posted: 21 Feb 2011 Last Revised: 24 Oct 2012
Klaus Mayer, Thomas Schmid and Florian Weber
Technische Universität München (TUM) - Center for Entrepreneurial and Financial Studies (CEFS), The University of Hong Kong - Faculty of Business and Economics and Technische Universität München (TUM) - Center for Entrepreneurial and Financial Studies (CEFS)

Abstract:

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Electricity, Energy markets, Lévy processes, Mean-reversion, Spikes, Stochastic volatility, GARCH