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ArticleEnergy price risk management

Rafał Weron2000

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Energy price risk management

96 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Stochastic processes and financial applications Market Dynamics and Volatility Risk Management in Financial Firms

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References

2016“Options, Futures, and Other Derivatives”2003Options, Futures and Other Derivatives 1996Statistics for Long-Memory Processes.2000An Introduction to Econophysics: Correlations and Complexity in Finance 1990Pricing Interest-Rate-Derivative Securities 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market 1997Statistics for Long-Memory Processes 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

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2015Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context 2003Measuring anti-correlations in the nordic electricity spot market by wavelets 2000Hurst analysis of electricity price dynamics 2002A SIMPLE MODEL OF PRICE FORMATION 2004On detecting and modeling periodic correlation in financial data 2006Quantifying risk in the electricity business: A RAROC-based approach

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Year2000

Typearticle

Published2000-09-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations96

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0378-4371(00)00276-4

openalex_workW2169964232

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2025From Traditional to Computationally Efficient Scientific Computing Algorithms in Option Pricing: Current Progresses with Future Directions