SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Model Risk and Power Plant Valuation
16 references·1 citing·42 second hop
Model Risk and Power Plant Valuation (2013)Model Risk and Power Plant ValuationRobust risk measurement and model risk (2013)Robust risk measurement and m…A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)A Non‐Gaussian Ornstein–Uhlen…Understanding the Fine Structure of Electricity Prices* (2006)Understanding the Fine Struct…RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (2006)RISK MEASURES AND CAPITAL REQ…MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)MODEL UNCERTAINTY AND ITS IMP…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Pricing in Electricity Market…Energy and power risk management : new developments in modeling, pricing and hedging (2003)Energy and power risk managem…On the coherence of expected shortfall (2002)On the coherence of expected …Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Convex measures of risk and trading constraints (2002)Convex measures of risk and t…On law invariant coherent risk measures (2001)On law invariant coherent ris…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Coherent Measures of Risk (1999)Coherent Measures of RiskPricing and hedging derivative securities in markets with uncertain volatilities (1995)Pricing and hedging derivativ…Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitSpeculative Trading of Electricity Contracts in Interconnected Locations (2016)Speculative Trading of Electr…An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Multivariate Archimax copulas (2014)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Coherent Risk Measures on General Probability Spaces (2002)Lectures on Stochastic Programming (2009)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Renewable energy investments under different support schemes: A real options approach (2012)The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Convex Duality in Constrained Portfolio Optimization (1992)Stochastic Finance: An Introduction in Discrete Time (2002)Theory and Applications of Robust Optimization (2011)Distributionally Robust Convex Optimization (2014)Optimization of conditional value-at-risk (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)Econometric Models and Economic Forecasts (1990)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Market price of risk implied by Asian-style electricity options and futures (2007)Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (2007)Stochastic modeling of financial electricity contracts (2007)Toward a knowledge‐based theory of the firm (1996)The Promise of Enterpreneurship as a Field of Research (2000)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)
this work references cited by second hop

References

  • 1921Risk, Uncertainty and Profit9,967 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,827 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality473 cited
  • 2006Understanding the Fine Structure of Electricity Prices*386 cited
  • 2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS373 cited
  • 2003Energy and power risk management : new developments in modeling, pricing and hedging348 cited
  • 2007A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing244 cited
  • 2013Robust risk measurement and model risk

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

207 cited
  • 2006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES180 cited
  • Cited by

    • 2016Speculative Trading of Electricity Contracts in Interconnected Locations16 cited