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Energy price risk management
11 references·9 citing·41 second hop
Energy price risk management (2000)Energy price risk management“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, Futures and Other Derivatives (2003)Options, Futures and Other De…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Statistics for Long-Memory Processes (1997)Statistics for Long-Memory Pr…From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)From the bird's eye to the mi…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Managing Financial Risk. (1991)Managing Financial Risk.Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Managing Financial Risk (1989)Managing Financial RiskThe Pricing of Options on Debt Securities (1980)The Pricing of Options on Deb…From Traditional to Computationally Efficient Scientific Computing Algorithms in Option Pricing: Current Progresses with Future Directions (2025)From Traditional to Computati…Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context (2015)Does the carbon market help o…Anti-correlation and multifractal features of Spain electricity spot market (2007)Anti-correlation and multifra…Quantifying risk in the electricity business: A RAROC-based approach (2006)Quantifying risk in the elect…On detecting and modeling periodic correlation in financial data (2004)On detecting and modeling per…Measuring anti-correlations in the nordic electricity spot market by wavelets (2003)Measuring anti-correlations i…Different scaling behaviors of commodity spot and future prices (2002)Different scaling behaviors o…A SIMPLE MODEL OF PRICE FORMATION (2002)A SIMPLE MODEL OF PRICE FORMA…Hurst analysis of electricity price dynamics (2000)Hurst analysis of electricity…The Variation of Certain Speculative Prices (1963)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Institutional Investors and Stock Market Volatility (2006)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Social physics (2022)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)An equilibrium characterization of the term structure (1977)Two-State Option Pricing (1979)CREDIT RISK, CREDIT RATINGS, AND MUNICIPAL BOND YIELDS: A PANEL STUDY (1991)Interest Rate Risk Management (1997)A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models (2001)Fractional Brownian Motions, Fractional Noises and Applications (1968)The Distribution of Exchange Rate Volatility (1999)Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)The pricing of commodity contracts (1976)Optimal Hedging Policies (1984)The Determinants of Firms' Hedging Policies (1985)Estimation of foreign exchange exposure: an application to mining companies in Australia (1994)Ambiguity and underwriter decision processes (1995)A resilience model for cold chain logistics of perishable products (2018)Portfolio Selection: Efficient Diversification of Investments (1959)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)A wavelet-based joint estimator of the parameters of long-range dependence (1999)Modelling Nonlinear Economic Time Series (2010)Informational efficiency of Bitcoin—An extension (2017)
this work references cited by second hop

References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 1997Statistics for Long-Memory Processes606 cited
  • 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
  • 1980The Pricing of Options on Debt Securities173 cited
  • 1989Managing Financial Risk166 cited
  • 1991Managing Financial Risk.79 cited

Cited by

  • 2015Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context139 cited
  • 2003Measuring anti-correlations in the nordic electricity spot market by wavelets117 cited
  • 2000Hurst analysis of electricity price dynamics114 cited
  • 2002A SIMPLE MODEL OF PRICE FORMATION99 cited

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  • 2004On detecting and modeling periodic correlation in financial data85 cited
  • 2007Anti-correlation and multifractal features of Spain electricity spot market68 cited
  • 2002Different scaling behaviors of commodity spot and future prices66 cited
  • 2006Quantifying risk in the electricity business: A RAROC-based approach47 cited
  • 2025From Traditional to Computationally Efficient Scientific Computing Algorithms in Option Pricing: Current Progresses with Future Directions26 cited