On the implied market price of risk under the stochastic numéraire
Sign Up to like & getrecommendations! Published in 2018 at "Annals of Finance"
DOI: 10.1007/s10436-017-0315-y
Abstract: This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. An equivalent martingale measure is… read more here.
Keywords: risk; market price; price risk; market ... See more keywords
Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods
Sign Up to like & getrecommendations! Published in 2021 at "Annals of Operations Research"
DOI: 10.1007/s10479-021-04120-1
Abstract: We analyse systemic risk in the core global banking system using a new network-based spectral eigen-pair method, which treats network failure as a dynamical system stability problem. This is compared with market price-based Systemic Risk… read more here.
Keywords: systemic risk; market price; risk; price ... See more keywords
Assessing the market power of mineral commodity producers
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DOI: 10.1007/s13563-017-0132-9
Abstract: The major producers of most mineral commodities possess large market shares and so can raise the market price by restricting their output. For this reason, many assume that they possess market power. However, this article… read more here.
Keywords: assessing market; market price; market power; market ... See more keywords
Risk-based scheduling of smart apartment building under market price uncertainty using robust optimization approach
Sign Up to like & getrecommendations! Published in 2019 at "Sustainable Cities and Society"
DOI: 10.1016/j.scs.2019.101549
Abstract: Abstract Nowadays market price uncertainty is one of the important challenging issues in the optimal scheduling of smart apartment building (SAB). So, in this paper, a robust optimization approach (ROA) is proposed for robust scheduling… read more here.
Keywords: system; market price; price; market ... See more keywords
How do food safety regulations influence market price? A theoretical analysis
Sign Up to like & getrecommendations! Published in 2017 at "British Food Journal"
DOI: 10.1108/bfj-12-2016-0594
Abstract: This study is in line with the debate concerning the compatibility between the qualitative and quantitative food production objectives. The purpose of this paper is to identify the causal relationship that may exist between public… read more here.
Keywords: food safety; market price; price; safety regulations ... See more keywords
A Novel Intelligent Deep Learning-Based Uncertainty-Guided Network Training in Market Price
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Industrial Informatics"
DOI: 10.1109/tii.2021.3136564
Abstract: In this article, we introduce an intelligent probabilistic uncertainty-guided prediction model for energy market price modeling based on the lower–upper bound estimation method. The proposed method borrows the prediction interval (PI) concept to replace the… read more here.
Keywords: uncertainty guided; prediction; market price; market ... See more keywords
Weather Derivatives and the Market Price of Risk
Sign Up to like & getrecommendations! Published in 2020 at "Journal of the Optical Society of America"
DOI: 10.31390/josa.1.3.07
Abstract: Weather derivatives are becoming prominent features in multiasset class portfolios of alternative risk. The pricing of these securities is nonetheless challenging since it requires an incomplete market framework. We discuss pricing formulas for temperature-based weather… read more here.
Keywords: market price; price risk; risk; weather derivatives ... See more keywords
Dynamic Pricing for Demand Response Considering Market Price Uncertainty
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DOI: 10.3390/en10091245
Abstract: Retail energy providers (REPs) can employ different strategies such as offering demand response (DR) programs, participating in bilateral contracts, and employing self-generation distributed generation (DG) units to avoid financial losses in the volatile electricity markets.… read more here.
Keywords: price; market price; demand response;
The Relationship between the Physical Quality of Rice and the Market Price: A Case Study in Savannakhet, Laos, Using a Bayesian Approach
Sign Up to like & getrecommendations! Published in 2018 at "Sustainability"
DOI: 10.3390/su10114151
Abstract: The visual characteristics of rice grains play a primary role in determining the market price, and are used for grading systems in many rice-consuming countries. Laos is a rice-consuming country in Southeast Asia, but it… read more here.
Keywords: rice; market price; product; market ... See more keywords