Technical paper
Market power in the German wholesale electricity market
Research Papers
Impacts of regulatory announcements on CO 2 prices
Research Papers
Questionable usefulness of restricting short sales
The subprime crisis made investors wary of the shares of financial institutions. The share prices of these institutions have experienced exceptionally steep falls, none more so than those of the summer of 2008.
Investigating parameter risk for Solvency II and ICAS
Technical papers
Pricing options on film revenue
This article illustrates two models for cumulative revenues from films, a time-changed gamma process and a compound Poisson process, and how these models can be used to price options. Don Chance, Eric Hillebrand and Jimmy Hilliard find that while both…
Inflation modelling with SABR dynamics
Fabio Mercurio and Nicola Moreni introduce a new forward Consumer Price Index model that is based on a multi-factor volatility structure and leads to SABR-like dynamics for forward inflation rates. Their approach reconciles zero-coupon and year-on-year…