Risk-Neutral Valuation
Pricing and Hedging of Financial Derivatives
Chapter
This survey article reviews the current state of literature on how structural models of credit risk are employed to model the impact of climate risk on financial markets. We discuss how the two prominent types...
Chapter
Spätestens seit Mark Carney, der damalige Governor der Bank of England, in einem Interview mit der Financial Times im Dezember 2018 die Einführung von Stresstests für Carbon Risiken ankündigte, ist die Bedeutu...
Article
As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469–475, 2019), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and convent...
Article
There are several approaches in the literature for the derivation of price forward curves (PFCs) which distinguish among each other by the procedure employed for the derivation of seasonality shapes, smoothing...
Chapter and Conference Paper
This paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows us to incorporate market data e.g. for half-spread ...
Chapter and Conference Paper
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...
Chapter
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 ...
Chapter
Electricity markets feature a non-storable underlying, which implies the break down of traditional cash-and-carry arguments as well as the well-known spot-forward relationship. We introduce the notion of infor...
Article
In recent years commodity markets (in particular electricity, coal, and emissions) encountered extreme price movements and phases of high price volatility. Utility companies are naturally exposed to these kind...
Article
Equilibrium models have been widely used in the literature with the aim of showing theoretical properties of emissions trading schemes. This paper applies equilibrium models to empirically study permit prices ...
Reference Work Entry In depth
Article
This paper examines the empirical properties of hedge fund returns and proposes a fully parametric model capable of adequately describing both univariate and multivariate return properties. The suggested model...
Chapter
Mit Hilfe finanzmathematischer Methoden lassen sich komplexe Risiken in einfachere Bestandteile zerlegen und adäquat bewerten. Damit wird es möglich, für die Übernahme solcher Risiken faire Prämien zu bestimme...
Chapter and Conference Paper
This paper examines the practical usefulness of Extreme Value Theory (EVT) techniques for estimating Value-at-Risk (VaR). Unlike most past studies, the performance of EVT estimators of empirical return distrib...
Chapter
To assess the riskiness of credit-risky portfolios is one of the most challenging tasks in contemporary finance. The decision by the Basel Committee for Banking Supervision to allow sophisticated banks to use ...
Chapter
The problem of estimating volatility is one of the most important topics in modern finance. Accurate specification of volatility is a prerequisite for modelling financial time series, such as interest rates or...
Book
Chapter
In a vector space V, if x and y are vectors, the set of linear combinations αx + αy, with scalars α, β ≥ 0 with sum α + β = 1, represents geometrically the linesegment joining x to y. Each such linear combination...
Chapter
Given a Hilbert space (or more generally, an inner product space) V, suppose V is the direct sum of a closed subspace M and its orthogonal complement MΓ: ...
Chapter
Access to full, accurate, up-to-date information is clearly essential to anyone actively engaged in financial activity or trading. Indeed, information is arguably the most important determinant of success in f...