Technical paper/Normal distribution
A simple and robust approach for expected shortfall estimation
This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.
Stochastic modeling of photovoltaic power generation and electricity prices
This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming