Sökning: "Jump Diffusion Process Markov Chain Monte Carlo Stochastic Volatility VaR Electricity Markets Market"

Hittade 1 avhandling innehållade orden Jump Diffusion Process Markov Chain Monte Carlo Stochastic Volatility VaR Electricity Markets Market.

1. 1. Essays on Financial Risks and Derivatives with Applications to Electricity Markets and Credit Markets

   Författare :Rikard Green; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Markov Chain Monte Carlo; Jump Diffusion Process; Stochastic Volatility; VaR; Electricity Markets; Market Risk; Forward Curve; Credit Risk; Currency Effects;

   Sammanfattning : Contracts traded on international financial and commodity markets are associated with complex risk structures. In this dissertation we are concerned with two specific types of risks; market risks and credit risks. The first chapter investigates market risks in the context of the Nordic electricity market. LÄS MER