Recently, model risk in particular parameter uncertainty has been addressed for financial derivatives. During this talk we will review these concepts and apply the methods to energy markets. In particular, we will discuss parameter uncertainty for spread options and implications for power plant valuation.
(Based on joint work with Karl Bannör, Anna Nazarova and Matthias Scherer).
Rüdiger Kiesel: Model Risk for Energy Markets
Rüdiger Kiesel,Uni. Essen/CMA, holder et seminar med tittelen: Model Risk for Energy Markets
Published June 12, 2015 1:22 PM
- Last modified June 12, 2015 1:22 PM