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  1. Chapter and Conference Paper

    Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model

    To price options on emission certificates reduced-form models have proved to be useful. We empirically analyse the performance of the model proposed in Carmona and Hinz [2] and Hinz [8]. As we find evidence for a...

    Ya Wen, Rüdiger Kiesel in Stochastics of Environmental and Financial Economics (2016)

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    Valuation of Structured Financial Products by Adaptive Multiwavelet Methods in High Dimensions

    We introduce a new numerical approach to value structured financial products. These financial products typically feature a large number of underlying assets and require the explicit modeling of the dependence ...

    Rüdiger Kiesel, Andreas Rupp, Karsten Urban in Extraction of Quantifiable Information fro… (2014)