Reik H. Boerger

RWE AG

Risk Management

Essen, DE

Germany

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 21,575

SSRN RANKINGS

Top 21,575

in Total Papers Downloads

2,242

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Cross-Commodity Analysis and Applications to Risk Management

Journal of Futures Markets, Vol. 29, No. 3, January 2009
Number of pages: 20 Posted: 18 Apr 2007 Last Revised: 16 Nov 2009
RWE AG, University of Oxford, University of Duisburg-Essen - Faculty of Economic Science and affiliation not provided to SSRN
Downloads 1,971 (7,581)

Abstract:

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Commodity, Hedging, Risk Management, Power Plant

2.

Valuation of Structured Retail Electricity Contracts With Market Models

Journal of Energy Markets, Forthcoming
Number of pages: 18 Posted: 04 Nov 2009 Last Revised: 17 Aug 2011
Kevin Metka and Reik H. Boerger
University of Ulm and RWE AG
Downloads 155 (193,478)

Abstract:

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Electricity Markets, Analysis of Electricity Contracts, Option Premia, Longstaff-Schwartz Algorithm, Multicallable Products

3.

Explicit Approximations of Multi-Asset Option Prices Including Greeks

Number of pages: 15 Posted: 30 Oct 2011
Reik H. Boerger
RWE AG
Downloads 116 (243,024)

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rainbow option, multi-asset option, swing option, sensitivities, Greeks, pricing, risk analysis

4.

Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options

Applied Mathematical Finance, Vol. 17, No. 5, 2010
Posted: 15 Nov 2009 Last Revised: 17 Aug 2011
Jan van Heys and Reik H. Boerger
affiliation not provided to SSRN and RWE AG

Abstract:

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LMM, Libor Market Model, calibration, correlation, market analysis, CMS spread option

5.

A Two-Factor Model for the Electricity Forward Market

Quantitative Finance, Vol. 9, No. 3, 2009
Posted: 02 May 2007 Last Revised: 16 Nov 2009
Ruediger Kiesel, Gero Schindlmayr and Reik H. Boerger
University of Duisburg-Essen - Faculty of Economic Science, affiliation not provided to SSRN and RWE AG

Abstract:

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Energy derivatives, Futures, Option, Two-Factor Model, Volatility Term Structure