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Celovito modeliranje trga električne energije z Lévyjevimi procesi : magistrsko delo
ID
Prislan, Lev
(
Author
),
ID
Velušček, Dejan
(
Mentor
)
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MD5: C1D79E7020CECDCEA7FFE2558B9BCD43
PID:
20.500.12556/rul/1f40d489-ba19-4930-bd20-9c8dd761a048
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Language:
Slovenian
Keywords:
cene električne energije na dnevnem trgu
,
cene električne energije na terminskem trgu
,
CARMA model
,
Lévyjevi procesi
,
stabilni procesi
,
Monte Carlo simulacija
,
skoki
,
primerjava momentov
,
upravljanje s tveganji
,
linearna regresija
Work type:
Master's thesis/paper
Typology:
2.09 - Master's Thesis
Organization:
FMF - Faculty of Mathematics and Physics
Place of publishing:
Ljubljana
Publisher:
[L. Prislan]
Year:
2013
Number of pages:
74 f.
PID:
20.500.12556/RUL-96876
UDC:
519.21
COBISS.SI-ID:
16787289
Publication date in RUL:
17.10.2017
Views:
1555
Downloads:
433
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Secondary language
Language:
English
Keywords:
electricity spot prices
,
electricity future prices
,
CARMA model
,
Lévy processes
,
stable processes
,
Monte Carlo simulation
,
jumps
,
comparison of moments
,
risk management
,
linear regression
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