Pricing Energy, Weather and Emission Derivatives under Future Information

Duisburg, Essen, Universität Duisburg-Essen, Diss., 2012 Duisburg, Essen, Universität Duisburg-Essen, Diss., 2012

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Bibliographische Detailangaben
1. Verfasser:	Hess, Markus
Format:	Web Resource
Sprache:	eng ; ger
Schlagworte:	(stw)Emissionshandel (stw)Energiemarkt (stw)Energiepreis (stw)Insiderhandel (stw)Optimaler Konsum (stw)Prognoseverfahren (stw)Stochastischer Prozess (stw)Wahrscheinlichkeitsrechnung (stw)Wetterderivat asymmetric information change of probability measure commodity market Consumption theory Derivat derivative Derivatives Economy electricity futures option prices electricity market models emission market Emissions trading Energiemarkt Energiepreis Energy Market Energy price enlargement of filtration Environmental Certificate Trading Forecasting method forward-looking/anticipative information future information information premium insider trading Insidergeschäft Insiderregeln issue market Ito-Lévy process jump-diffusion Konsumtheorie multi-factor Ornstein-Uhlenbeck model nonlinear stochastic filtering Optimal consumption optimal consumption rates optimal liquidation of electricity futures portfolios optimally liquidating electricity futures portfolios price impact model probability calculation probability theory Prognoseverfahren Risikoverteilung Risk distribution Stochastic calculus stochastic differential equation Stochastic process Stochastischer Prozess temperature derivatives under weather forecasts Umweltzertifikathandel utility maximizing portfolio selection Wahrscheinlichkeitstheorie weather market Wetter Wirtschaft
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Zusammenfassung:	Duisburg, Essen, Universität Duisburg-Essen, Diss., 2012 Duisburg, Essen, Universität Duisburg-Essen, Diss., 2012