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Spot and Derivative Pricing in the EEX Power Market
Using spot and futures price data from the German EEX Power market, we test the adequacy of various one-factor and two-factor models for electricity spot prices. The models are compared along twoExpand
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Prestressed Concrete Bridges
1 Historical Overview.- 2 Economy and Aesthetics.- 2.1 Design Objectives.- 2.2 Economy.- 2.2.1 Life-Cycle Costs.- 2.2.2 Construction Costs.- 2.2.3 Preliminary Estimates of Superstructure Costs.- 2.3Expand
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Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing
Preface. About the Authors. Chapter 1: Introduction. PART ONE: Probability and Statistics. Chapter 2: Discrete Probability Distributions. Chapter 3: Continuous Probability Distributions. Chapter 4:Expand
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A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses
The Basel II Capital Accord requires banks to determine the capital charge to account for operational losses. Compound Poisson process with Lognormal losses is suggested for this purpose. The paperExpand
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Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Thresholds ?
The Basel II Capital Accord of 2004 sets guidelines on operational risk capital requirements to be adopted by internationally active banks by around year-end 2007. Operational loss databases areExpand
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A GARCH option pricing model with alpha-stable innovations
We develop an option pricing model which is based on a GARCH asset return process with α-stable innovations with truncated tails. Expand
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Calibrated FFT-based density approximations for alpha
  • C. Menn, S. Rachev
  • Mathematics, Computer Science
  • Comput. Stat. Data Anal.
  • 1 April 2006
An algorithm for the approximation of @a-stable densities is developed and compared with similar approximation methodologies. Expand
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Smoothly truncated stable distributions, GARCH-models, and option pricing
  • C. Menn, S. Rachev
  • Economics, Computer Science
  • Math. Methods Oper. Res.
  • 1 July 2009
We introduce the class of smoothly truncated stable distributions (STS distributions) and derive a generalized GARCH option pricing framework based on non-Gaussian innovations. Expand
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Empirical Examination of Operational Loss Distributions
Until very recently, it has been believed that banks are exposed to two main types of risks: credit risk (the counterparty failure risk) and market risk (the risk of loss due to changes in marketExpand
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