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Now showing items 1-10 of 98
(Research report / Forskningsrapport, 1995)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2021)
With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for wind ...
(Chapter / Bokkapittel / AcceptedVersion; Peer reviewed, 2014)
In this paper we derive power futures prices from a two-factor spot model being a generalization of the classical Schwartz–Smith commodity dynamics. We include non-Gaussian effects by introducing Lévy processes as the ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2014)
In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein–Uhlenbeck (OU) process driven by a Brownian motion and accounts for the small variations. ...
(Research report / Forskningsrapport, 1996)
(Research report / Forskningsrapport, 2001)
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We ...
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 1995)
(Research report / Forskningsrapport, 1996)
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. ...