Center of Mathematics for Applications
Oslo, N-0317
Norway
University of Oslo
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Contango, backwardation, market price of risk, electricity forwards, market risk premium, forward risk premium, forward bias
interest rate model, short rate, forward rate, term structure, CARMA process, bond pricing, bond option pricing, yield curve, volatility curve, calibration
Volatility, Liquidity, Electricity futures, High-frequency prices, Stochastic modeling, Monte Carlo simulation, Time-weighted realized variance
Asian options, energy markets, trading restrictions, quadratic hedging, moment matching
Power Market, Derivatives Pricing, Independent Increments Processes, Esscher Transform, Risk Premium
functional data analysis, linear concurrent model, temperature, wind speed, smoothing
Energy markets, forward price, Lévy semistationary process, stochastic integration, spot price
Electricity Markets, Forward Prices, Random Fields, Ambit Fields, Levy Basis, Samuelson Effect, Stochastic Volatility
Photovoltaic power generation, stochastic modelling, time series, electricity prices, quanto options
wind power futures, Ornstein-Uhlenbeck process, weather derivatives, market price of risk
Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance
Cointegration, risk premium, CARMA processes, commodity markets, spot and forward relationship, Heath-Jarrow-Morton modeling
Information premium, Electricity markets, Forwards, Options, Enlargement of Filtrations
Day-Ahead Electricity Prices, Market Coupling, Copula Models, Tail Dependence, Financial Transmission Rights, Tail Quantile Forecasting
Day-Ahead Electricity Prices, Interconnected Markets, Stochastic Modeling, Derivative Pricing
Electricity markets, risk premium, information premium,spot-forward relationship, enlargement of filtrations, Gaussian and non-Gaussian Ornstein-Uhlenbeck processes, Hilbert space representation
Ambit fields, commodities, forward prices, spread options
Energy markets, Ornstein-Uhlenbeck process, Stochastic volatility, Subordinators
stochastic volatility, utility indifference option pricing, risk aversion, Lévy processes
multivariate Ornstein-Uhlenbeck process; wind power futures; hedging; risk premium
Solar, irradiation, time series, photovoltaic, energy, seasonality, volatility, bimodal, risk
futures contract, commodity markets, portfolio optimization, stochastic partial differential equations, finite-dimensional realization, invariant foliation
energy markets, forward price, generalised hyperbolic distribution, Lévy semistationary process, volatility modulated Lévy-driven Volterra process, stochastic integration, stochastic volatility, Samuelson effect, spot price
probability density, model uncertainty, risk measure, volatility, option prices
temperature risk, dynamic hedging, futures contracts, continuous-time autoregressive processes
Freight rates, autoregressive models in continuous time, cointegration, Forward freight agreements
Green certificates, Optimal decision rule, Empirical analysis, NIG distribution
Weather Derivatives, Continuous Autoregressive Model, CAT, CDD, HDD, Risk Premium
flow forwards derivatives, term structure, neural networks
Emission reduction, Electricity transport, Stochastic models, Renewable energy, Time series analysis
gas markets, quanto options, HDD futures, temperature, energy, derivatives pricing, weather derivatives
Energy markets, spread options, Asian options, fast Fourier transform, non-Gaussian Ornstein–Uhlenbeck processes, independent increment processes
interest-rate guarantees, utility indifference pricing, hedging, arbitrage-free pricing, correlation, risk