etrm-package: etrm: Energy Trading and Risk Management
In sleire/etrm: Energy Trading and Risk Management
etrm-package R Documentation
etrm: Energy Trading and Risk Management
Description
Tools for energy market risk management (forward curves and trading strategies)
Author(s)
Anders D. Sleire <sleire@gmail.com>
References
F. E. Benth, S. Koekkebakker, and F. Ollmar. Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation.The Journal of Derivatives, 15(1):52–66,2007b. https://doi.org/10.3905/jod.2007.694791
F. E. Benth, J. S. Benth, and S. Koekebakker. Stochastic modelling of electricity and related markets,volume 11. World Scientific, 2008. https://doi.org/10.1142/6811
F. Black. The pricing of commodity contracts.Journal of financial economics, 3(1):167–179, 1976. https://doi.org/10.1016/0304-405X(76)90024-6
T. Bjork. Arbitrage Theory in Continuous Time. Oxford University Press, 3 edition, 2009. https://EconPapers.repec.org/RePEc:oxp:obooks:9780199574742
F. Black and R. W. Jones. Simplifying portfolio insurance. The Journal of Portfolio Management, 14(1):48–51, 1987. https://doi.org/10.3905/jpm.1987.409131
H. E. Leland. Who should buy portfolio insurance? The Journal of Finance, 35(2):581–594, 1980. http://www.jstor.org/stable/2327419
sleire/etrm documentation built on Feb. 5, 2023, 9:02 a.m.
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| etrm-package | R Documentation |
etrm: Energy Trading and Risk Management
Description
Tools for energy market risk management (forward curves and trading strategies)
Author(s)
Anders D. Sleire <sleire@gmail.com>
References
F. E. Benth, S. Koekkebakker, and F. Ollmar. Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation.The Journal of Derivatives, 15(1):52–66,2007b. https://doi.org/10.3905/jod.2007.694791
F. E. Benth, J. S. Benth, and S. Koekebakker. Stochastic modelling of electricity and related markets,volume 11. World Scientific, 2008. https://doi.org/10.1142/6811
F. Black. The pricing of commodity contracts.Journal of financial economics, 3(1):167–179, 1976. https://doi.org/10.1016/0304-405X(76)90024-6
T. Bjork. Arbitrage Theory in Continuous Time. Oxford University Press, 3 edition, 2009. https://EconPapers.repec.org/RePEc:oxp:obooks:9780199574742
F. Black and R. W. Jones. Simplifying portfolio insurance. The Journal of Portfolio Management, 14(1):48–51, 1987. https://doi.org/10.3905/jpm.1987.409131
H. E. Leland. Who should buy portfolio insurance? The Journal of Finance, 35(2):581–594, 1980. http://www.jstor.org/stable/2327419
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