About: Modeling the skewness and kurtosis of the electricity spot price structure

Facets (new session)
Description
Metadata
Settings
- owl:sameAs
- Inference Rule:

About: Modeling the skewness and kurtosis of the electricity spot price structure Goto Sponge NotDistinct Permalink

An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper we show, that the volatility can be treated not only as a crisp number or described by its probability distribution but also formulated as an interval value. It is supposed that it can be of any value within its extremes (with given possibility) so that it can be specified as a fuzzy number. Subsequently, we run a fuzzy simulation to get the expected value and combine it with geometric Brownian motion to produce Fuzzy Monte Carlo simulation. Hence, we suppose the Black and Scholes world with unknown volatility. Finally, we can get not only the extremes of option prices, but also its fuzzy expected value, depending on the problem specification. In this paper we show, that the volatility can be treated not only as a crisp number or described by its probability distribution but also formulated as an interval value. It is supposed that it can be of any value within its extremes (with given possibility) so that it can be specified as a fuzzy number. Subsequently, we run a fuzzy simulation to get the expected value and combine it with geometric Brownian motion to produce Fuzzy Monte Carlo simulation. Hence, we suppose the Black and Scholes world with unknown volatility. Finally, we can get not only the extremes of option prices, but also its fuzzy expected value, depending on the problem specification. (en) Elektřinu lze považovat za speciální druh komodity. Odlišuje se od ostatních finančních aktiv obtížnou přenositelností, ať už v čase či místě. To vše působí na vyvoj ceny a projevuje se přítomností skoků, špičatosti a šikmosti. V zásadě je možné rozlišit několik skupin modelů využitelných za účelem modelování vývoje spotové ceny elektřiny - modely s difúzní složkou, skokové modely, modely s tendencí návratu k dlouhodobé rovnováze a jejich kombinace. V tomto čánku je vyjádřen alternativní model popisu vývoje spotové ceny elektřiny na bázi variance gama modelu s mean-reversion tendencí jak v lineární tak exponenciální podobě. (cs)
Title	Modeling the skewness and kurtosis of the electricity spot price structure Modeling the skewness and kurtosis of the electricity spot price structure (en) Modelování spotové ceny elektřiny (cs)
skos:prefLabel	Modeling the skewness and kurtosis of the electricity spot price structure Modeling the skewness and kurtosis of the electricity spot price structure (en) Modelování spotové ceny elektřiny (cs)
skos:notation	RIV/61989100:27510/06:00013409!RIV07-MSM-27510___
http://linked.open.../vavai/riv/strany	392-401
http://linked.open...avai/riv/aktivita	Z
http://linked.open...avai/riv/aktivity	Z(MSM6198910007)
http://linked.open...vai/riv/dodaniDat	2007
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	486189
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/06:00013409
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Electricity spot price; weekday market; stochastic processes; diffusion; jumps; mean-reversion; jump-diffusion; Lévy models; Variance gamma (en)
http://linked.open.../riv/klicoveSlovo	Lévy models jumps stochastic processes diffusion mean-reversion Electricity spot price Variance gamma jump-diffusion weekday market
http://linked.open...ontrolniKodProRIV	[73B3E4E5E30D]
http://linked.open...i/riv/mistoVydani	Ostrava
http://linked.open...i/riv/nazevZdroje	Řízení a modelování finančních rizik - Managing and Modelling of Financial Risks
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2006
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
http://linked.open...n/vavai/riv/zamer	Research of the reliability of power systems in connection with non-traditional ecological sources of energy and valuation of unsupplied energy
number of pages	10 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Vysoká škola báňská - Technická univerzita Ostrava. Ekonomická fakulta
https://schema.org/isbn	80-248-1159-6
http://localhost/t...ganizacniJednotka	27510

Faceted Search & Find service v1.16.118 as of Jun 21 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 48 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software