Zobrazeno 1 - 10
of 69
pro vyhledávání: '"Reik, H."'
Publikováno v:
Quantitative Finance, 9, 3, 279-287
This paper provides a two-factor model for electricity futures, which captures the main features of the market and fits the term structure of volatility. The approach extends the one-factor-model of Clewlow and Strickland to a two-factor model and mo
Externí odkaz:
http://www.ssoar.info/ssoar/handle/document/22123
Autor:
Jan van Heys, Reik H. Börger
Publikováno v:
Applied Mathematical Finance. 17:453-469
This work discusses the calibration of instantaneous Libor correlations in the Libor market model. We extend the existing calibration strategies by the incorporation of spread option implied correlation information. The correlation structure implied
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d47b6b7950b23bed5bbbd278e746fa99
https://doi.org/10.1080/13504860903541317
https://doi.org/10.1080/13504860903541317
Autor:
Schulz, M., Reik, H. G.
Publikováno v:
Journal of Applied Physics; Feb1972, Vol. 43 Issue 2, p270-276, 7p
Autor:
Börger, Reik H.
Publikováno v:
Kostenfrei.
Ulm, Univ., Diss., 2007.
Externí odkaz:
http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-60248
The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. While this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this paper we are
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::68b8ad62d866cc03c333ca668238a957
http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0709.pdf
http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0709.pdf
Autor:
Reik H. Boerger
Publikováno v:
International Journal of Portfolio Analysis and Management. 1:314
In this article, we give a lower bound approximation to a stochastic programme that is typical for many complex financial derivatives, e.g., Bermudan options, Rainbow options and swing contracts. The approximation is based on an algorithm that does n
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d04b2b11ef39dbdb753e5283f9ecf092
https://doi.org/10.1504/ijpam.2014.064381
https://doi.org/10.1504/ijpam.2014.064381
Akademický článek
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Autor:
Börger, Reik H.
Publikováno v:
International Journal of Portfolio Analysis and Management; January 2014, Vol. 1 Issue: 4 p314-329, 16p
Autor:
Blunck, M., Reik, H.
Publikováno v:
Zeitschrift für Physik B Condensed Matter & Quanta; 1979, Vol. 32 Issue 2, p147-156, 10p
Autor:
Reik, H., Kaspar, F.
Publikováno v:
Zeitschrift für Physik B Condensed Matter; 1983, Vol. 51 Issue 1, p77-83, 7p